[PDF] Top 20 Manajemen | Fakultas Ekonomi Universitas Maritim Raja Ali Haji jbes%2E2009%2E07221

... KEY WORDS: Anderson–Rubin test; Confidence interval; Instrumental variables estimation; Pairs bootstrap; Residual bootstrap; Two-stage least squares; Weak instruments; Wild boot-strap.. [r] ... Lihat dokumen lengkap

... First, the authors survey new methods for inference in models with possibly weak instruments, especially in view of dealing with parameter subset inference in a GMM context.. The test st[r] ... Lihat dokumen lengkap

... INTRODUCTION This article considers the problem of testing for structural changes in the trend function of a univariate time series without any prior knowledge as to whether the noise c[r] ... Lihat dokumen lengkap

... MAPPING THE SEMISTRUCTURAL MODEL INTO A POPULATION OBJECTIVE FUNCTION Local identification of the parameters of the model 4–6 requires that the objective function have a unique extremum[r] ... Lihat dokumen lengkap

... PROCEDURES ROBUST TO WEAK INSTRUMENTS The ideal weak identification robust procedure would pos-sess two properties: 1 it should control for size no matter how strong or weak identificat[r] ... Lihat dokumen lengkap

... 318 Journal of Business & Economic Statistics, July 2009 with varying degrees of instrument weakness and endogeneity where instrument weakness is measured by the value of the concentrat[r] ... Lihat dokumen lengkap

... Three alternative confidence sets for the parameters of the NKPC model: Case i: Kleibergen–Mavroeidis instruments; revised data.. Case ii: Kleibergen–Mavroeidis instruments; real-time in[r] ... Lihat dokumen lengkap

... ESTIMATES ROBUST TO WEAK IDENTIFICATION Kleibergen and Mavroeidis 2009 estimate the Phillips curve using the methodology developed by Kleibergen 2005, which leads to valid confidence se[r] ... Lihat dokumen lengkap

... Stability Tests Besides testing for a fixed value of the parameters, the weak instrument robust statistics can be used to test for changes in the parameters over time, that is, to obtai[r] ... Lihat dokumen lengkap

... We show that a version of the Robins test, which we call the new method of projection, based on an efficient score-type statistic performs nearly as well as the MQLR statistic and provid[r] ... Lihat dokumen lengkap

... We present results on bias in ordinary least aquares OLS regression estimators with exogenous censoring and in instrumental variable IV estimators when the censored regressor is endogeno[r] ... Lihat dokumen lengkap

... 4.1 Missing Instruments Dufour refers to the simulation study conducted by Dufour and Taamouti 2007, which shows the sensitivity of the lim-iting distributions of the KLM and MQLR stati[r] ... Lihat dokumen lengkap

... In this article, we propose MIDAS regression and Kalman filter methods for using asset price data to construct daily forecasts of upcoming survey releases.. Our methods also allow us to [r] ... Lihat dokumen lengkap

... TESTING FOR DEEPNESS AND STEEPNESS IN MSIk PROCESSES As emphasized byClements and Krolzig 2003, asymme-try hypotheses in Markov-switching models can be tested us-ing Wald tests.. Testus[r] ... Lihat dokumen lengkap

... Instead of directly forecasting the movements based on the estimated factor dynamics, we use the dynamic term structure model as a decomposition tool and decompose each interest-rate ser[r] ... Lihat dokumen lengkap

... Possible cycle interrelationships Specification Graphical example Independent cycles Synchronous common cycle Nonsynchronous common cycle with lead timeκ Nonsynchronous common cycle[r] ... Lihat dokumen lengkap

... As another example, for nested model tests of equal predic-tive ability, Clark and McCracken 2001,2005 and McCracken 2007 show that standard test statistics are not asymptotically normal[r] ... Lihat dokumen lengkap

... Effectively we 1 take a small-data dynamic factor approach to business conditions analysis, 2 recognize the potential practical value of extending the approach to mixed-frequency data se[r] ... Lihat dokumen lengkap

... Not surprisingly, we find that for large banks, estimates of efficiency, productiv-ity, and technical change based on the hyperbolic distance mea-sure are more similar to those produced [r] ... Lihat dokumen lengkap

... In contrast, the results for the asymmetric peak model specification IIb, given in panel VII, demonstrate obvious benefits to overfitting the propensity score, as well as little substant[r] ... Lihat dokumen lengkap