Estimation When a Parameter Is on a Boundary: Theory and Applications
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- Tae-Hwan Kim, 2005.
"Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 3(3), pages 315-343.
- Kim, Tae-Hwan & White, Halbert & Stone, Douglas, 2000. "Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights," University of California at San Diego, Economics Working Paper Series qt5h98h28m, Department of Economics, UC San Diego.
- Hilmer, Christiana E. & Holt, Matthew T., 2000. "A Comparison Of Resampling Techniques When Parameters Are On A Boundary: The Bootstrap, Subsample Bootstrap, And Subsample Jackknife," 2000 Annual meeting, July 30-August 2, Tampa, FL 21810, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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KeywordsAsymptotic distribution; boundary; equality restrictions; extremum estimator; GARCH(1; q*) model; generalized method of moments estimator; inequality restrictions; integrated regressors; least squares estimator; maximum likelihood estimator; locally asymptotically mixed normal; locally asymptotically normal; method of simulated moments estimator; nonlinear equality and inequality restrictions; parameter restrictions; partially linear model; random coefficients regression; quasi-maximum likelihood estimator; restricted estimator; semiparametric estimator; stochastic trends; unit root model;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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