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Forecasting based on Very Small Samples and Additional Non-Sample Information

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  • Brännäs, Kurt

    ()
    (Department of Economics, Umeå University)

  • Hellström, Jörgen

    ()
    (Department of Economics, Umeå University)

Abstract

Generalized method of moments estimation and forecasting is introduced for very small samples when additional non-sample information is available. Small simulation experiments are conducted for the linear model with errors-in-variables and for a Poisson regression model. Two empirical illustrations are included. One is based on Ukrainian imports and the other on private schools in a Swedish county.

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File URL: http://www.econ.umu.se/DownloadAsset.action?contentId=127148&languageId=3&assetKey=ues472
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Bibliographic Info

Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 472.

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Length: 15 pages
Date of creation: 21 Aug 1998
Date of revision:
Publication status: Published in Festschrift for tarmo Pukkila on his 60th Birthday., Liski, Erkki P, isotalo, Jarkko, Niemelä, Jarmo, Puntanen, Simo, Styan, George P H (eds.), 2006, chapter 3, pages 63-77, University of Tampere.
Handle: RePEc:hhs:umnees:0472

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Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
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Web page: http://www.econ.umu.se/
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Keywords: Generalized method of moments; additional information; forecasting; Ukrainian imports; private schools;

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References

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  1. Thursby, Jerry G & Thursby, Marie C, 1984. "How Reliable Are Simple, Single Equation Specifications of Import Demand?," The Review of Economics and Statistics, MIT Press, vol. 66(1), pages 120-28, February.
  2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  3. Gourieroux Christian & Monfort Alain & Trognon A, 1982. "Pseudo maximum lilelihood methods : applications to poisson models," CEPREMAP Working Papers (Couverture Orange) 8203, CEPREMAP.
  4. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521405515, April.
  5. Kennedy, Peter, 1991. "An Extension of Mixed Estimation, with an Application to Forecasting New Product Growth," Empirical Economics, Springer, vol. 16(4), pages 401-15.
  6. Brannas, Kurt, 1995. "Prediction and control for a time-series count data model," International Journal of Forecasting, Elsevier, vol. 11(2), pages 263-270, June.
  7. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477451, April.
  8. Boylan, T. A. & Cuddy, M. P. & O'Muircheartaigh, I., 1980. "The functional form of the aggregate import demand equation : A comparison of three European economies," Journal of International Economics, Elsevier, vol. 10(4), pages 561-566, November.
  9. Arthur Lewbel, 1997. "Constructing Instruments for Regressions with Measurement Error when no Additional Data are Available, with an Application to Patents and R&D," Econometrica, Econometric Society, vol. 65(5), pages 1201-1214, September.
  10. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477444, April.
  11. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521471626, April.
  12. Caroline Minter Hoxby, 1994. "Do Private Schools Provide Competition for Public Schools?," NBER Working Papers 4978, National Bureau of Economic Research, Inc.
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Cited by:
  1. Hellstrom, Jorgen, 2001. "Unit root testing in integer-valued AR(1) models," Economics Letters, Elsevier, vol. 70(1), pages 9-14, January.

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