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We consider a polynomial regression model, where the covariate is measured with Gaussian errors. The measurement error variance
is supposed to be known. The covariate is normally distributed with known mean and variance. Quasi score (QS) and corrected
score (CS) are two consistent estimation methods, where the first makes use of the distribution of the covariate (structural
method), while the latter does not (functional method). It may therefore be surmised that the former method is (asymptotically)
more efficient than the latter one. This can, indeed, be proved for the regression parameters. We do this by introducing a
third, so-called simple score (SS), estimator, the efficiency of which turns out to be intermediate between QS and CS. When
one includes structural and functional estimators for the variance of the error in the equation, SS is still more efficient
than CS. When the mean and variance of the covariate are not known and have to be estimated as well, one can still maintain
that QS is more efficient than SS for the regression parameters. 相似文献
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Valentyn Panchenko Sergiy Gerasymchuk Oleg V. Pavlov 《Journal of Economic Dynamics and Control》2013,37(12):2623-2642
In this paper we investigate the effects of network topologies on asset price dynamics. We introduce network communications into a simple asset pricing model with heterogeneous beliefs. The agents may switch between several belief types according to their performance. The performance information is available to the agents only locally through their own experience and the experience of other agents directly connected to them. We model the communications with four commonly considered network topologies: a fully connected network, a regular lattice, a small world, and a random graph. The results show that the network topologies influence asset price dynamics in terms of the regions of stability, amplitudes of fluctuations and statistical properties. 相似文献
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