Finite Sample Econometrics

By Aman Ullah. 2004

158 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

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Citations in the corpus

Adaptivity and Computation-Statistics Tradeoffs for Kernel and Distance based High Dimensional Two Sample Testing (2015, neutral): “…results are obtained in a fashion similar to Proposition 8 for variance of uncentered quadratic forms, or Proposition 9 for V ar ( Y T Y Y T δ ) , or from the results of Bao and Ullah [2010] about momnents of products of non-normal quadratic forms (Pg. 255 of Ullah [2004] for the Gaussian case).”
Bias in the estimation of the mean reversion parameter in continuous time models (2012, background): “(25) and (26), we need to define y = X Σ 1 2 and assume µ = 0 in Exercise 4 in Ullah (2004, Page 12).”
Testing Slope Homogeneity in Large Panels (2005, unknown): “(b) Under the alternative hypothesis β̂MG − β̂FE should tend to a non-zero vector.”
Large Panels with Common Factors and Spatial Correlation (2011, background): “Using results on moments for quadratic forms established in the literature (see Ullah (2004)), we have V ar e2:t = V ar " 1 N 0Rt":t 2# = E " 1 N2 "0:tR 0 t 0Rt":t 2# E 1 N2 "0:tR 0 t 0Rt":t 2 = Tr 1 N2 R0t 0Rt " 2 + 2Tr " 1 N2 R0t 0Rt " 2# + NX i=1 0i4 3 4 i m2ii;t Tr 1 N2 R0t 0Rt " 2 = 2Tr " 1 N2…”
A general method for third-order bias and variance corrections on a nonlinear estimator (2015, methodology): “JEL Classification: C10, C15, C21”
A bias-adjusted LM test of error cross-section independence (2008, unknown): “The adjustments are obtained using the results in Ullah (2004), so that the centering of the LM statistic is correct for fixed T and N .”