Statistics with Estimated Parameters

Statistics with Estimated Parameters

This paper studies a general problem of making inferences for functions of two sets of parameters where, when the first set is given, there exists a statistic with a known distribution. We study the distribution of this statistic when the first set of parameters is unknown and is replaced by an esti...

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Bibliographic Details
Main Authors: YANG, Zhenlin, TSE, Yiu Kuen, Bai, Zhidong
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
Asymptotic distribution
finite sample performance
index parameter
variance deflation
variance inflation
Econometrics
Economics
Online Access:https://ink.library.smu.edu.sg/soe_research/434
https://ink.library.smu.edu.sg/context/soe_research/article/1433/viewcontent/YangZL2007SS17n220.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/434
https://ink.library.smu.edu.sg/context/soe_research/article/1433/viewcontent/YangZL2007SS17n220.pdf

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