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We propose a general framework to describe the impact of different events in the order book, that generalizes previous work on the impact of market orders. Two different modeling routes can be consid...
In this article asymptotic expressions for the final prediction error (FPE) and the accumulated prediction error (APE) of the least squares predictor are obtained in regression models with nonstationa...
Dynamic economic theories usually have implications on and only on the conditional mean dynamics of economic processes. Using a generalized spectral derivative approach, Hong and Lee (2005, Review of ...
We suggest using a class of semiparametric dynamic panel data models to capture individual variations in panel data. The model assumes linearity in some continuous/discrete variables that can be exo...
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
This paper considers the estimation and testing of a within-group two-stage least squares (TSLS) estimator for instruments with varying degrees of weakness in a longitudinal (panel) Data model. We sho...
We study quantile regression estimation for dynamic models with partially varying coefficients so that the values of some coefficients may be functions of informative covariates. Estimation of both pa...
We develop a general theory to test correct specification of multiplicative error models of non-negative time-series processes, which include the popular autoregressive conditional duration (ACD) mode...
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Advanced inference techniques allow one to reconstruct the pattern of interaction from high dimensional data sets. We focus here on the statistical properties of inferred models and argue that inferen...
Detecting and modelling structural changes in GARCH processes have attracted increasing attention in time series econometrics. In this paper, we propose a new approach to testing structural changes in...
We suggest quantile regression methods for a class of smooth coefficient time series models. We use both local polynomial and local constant fitting schemes to estimate the smooth coefficients in a qu...
In this paper, we study a weak instrumental variables model for longitudinal data. A two stage least-squares estimator (the instrumental variables estimator) is presented. We show that the asymp-totic...
This paper studies functional coefficient regression models with nonstationary time series data, allowing also for stationary covariates. A local linear fitting scheme is developed to estimate the coe...
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed-form o...

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