Forecasting based on Very Small Samples and Additional Non-Sample Information
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.
|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.|
|Contact details of provider:|| Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden|
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
Web page: http://www.econ.umu.se/
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- Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984.
"Pseudo Maximum Likelihood Methods: Applications to Poisson Models,"
Econometric Society, vol. 52(3), pages 701-20, May.
- Gourieroux Christian & Monfort Alain & Trognon A, 1982. "Pseudo maximum lilelihood methods : applications to poisson models," CEPREMAP Working Papers (Couverture Orange) 8203, CEPREMAP.
- 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.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- 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.
- 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.
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