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Two Methods Of Econometric Estimation And Their Applications

Posted on:2007-01-07Degree:MasterType:Thesis
Country:ChinaCandidate:N HongFull Text:PDF
GTID:2189360242460843Subject:Probability theory and mathematical statistics
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Econometrics is the first Norwegian economist R.Fish proposed. Econometrics is in the national economic activities one of the most widely used economics branches. Since the day of its birth, it shows the strong vitality of the economy is now subject to occupy very important position. The last 10 years, there econometrics breakthroughs, such as the Association for the entire theory, game theory, Bayesian methods in the application of the disciplines, econometrics is a new topic.This paper introduces the basic nature of GMM and its application. Although GMM method late in 1982 by Hasen and others made before, but it requires the use of GMM method for the basic assumptions less and, therefore, in financial and other fields have a wide application. In this paper the concept of GMM estimation, it is by the moment method (MM) from the development and evolution. Theorem form of the text given to the asymptotic distribution of GMM estimated that it is incremental distributions. After discussing the recognition given bound over GMM test statistics, the estimated binding and non-binding estimates under the assumption that test statistics, it has drawn its likelihood ratio statistic. Next GMM and discussed several common methods of estimation, such as the OLS, IV,2SLS, MLE, proved they are a special case of GMM. In a certain sense, the past few decades financial GMM empirical method is the most important innovation. This paper will be used in the form of an unconditional inspection asset pricing model, testing the Shanghai stock market support CAPM.In mathematical statistics, change problem is a relatively new issue. Changes in the general point that the study began Page (1954) published an article in Biometrika consecutive sample tests on the article. This paper discusses the Bayesian approach to the transfer of points, specifically in the index from the national distribution of independent random variables change; In the analysis took into account the nation's index of conjugate priors, as conjugate priors include hyper parameters, the application will be used to estimate their ML- II; Finally, the empirical analysis.
Keywords/Search Tags:the generalized method of moments, change point, Bayesian method
PDF Full Text Request
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