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Efficient GMM Estimation of Spatial Dynamic Panel Data Models
Spatial autoregression Dynamic panels Fixed effects Generalized method of moment
2016/1/26
In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with fixed effects when n is large, and T can be large, but small relative to n. The GMM es...
Efficient GMM Estimation of Spatial Dynamic Panel Data Models
Spatial autoregression Dynamic panels Fixed effects
2016/1/20
In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with fixed effects when n is large, and T can be large, but small relative to n. The GMM es...
Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration
Dynamic panels Fixed e¤ects Quasi-maximum likelihood estima- tion Bias correction Generalized method of moments Spatial cointegration
2016/1/19
Yu, de Jong and Lee (2008) establish asymptotic properties of quasi-maximum likelihood estimators for a stable spatial dynamic panel model with …xed e¤ects when both the number of individuals n and th...
Effcient GMM estimation of spatial dynamic panel data models with fixed effects
Spatial autoregression Dynamic panels Fixed e¤ects Generalized method of moment Many moments
2016/1/19
In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with …xed e¤ects when n is large, and T can be large, but small relative to n. The GMM esti...
QML estimation of spatial dynamic panel data models with time varying spatial weights matrices
Spatial autoregression Dynamic panels Time varying spatial weights matrix Fixed ef- fects Maximum likelihood
2016/1/19
This paper investigates the quasi-maximum likelihood estimation of spatial dynamic panel data mod-els where spatial weights matrices can be time varying. We …nd that QML estimate is consistent and asy...
Quadratic Approximate Dynamic Programming for Input-Affine Systems
approximate dynamic programming stochastic control convex optimization
2015/7/9
We consider the use of quadratic approximate value functions for stochastic control problems with input-affine dynamics and convex stage cost and constraints. Evaluating the approximate dynamic progra...
Equation-free dynamic renormalization in a glassy compaction model
In combination with dynamic renormalization evolutionary dynamics accelerated simulator glass dynamic phenomenon
2014/12/25
Combining dynamic renormalization with equation-free computational tools, we study the apparently asymptotically self-similar evolution of void distribution dynamics in the diffusion-deposition proble...
Structural and Functional Discovery in Dynamic Networks with Non-negative Matrix Factorization
Structural Functional Discovery Dynamic Networks Non-negative Matrix Factorization
2013/6/17
Time series of graphs are increasingly prevalent in modern data and pose unique challenges to visual exploration and pattern extraction. This paper describes the development and application of matrix ...
Dynamic Clustering via Asymptotics of the Dependent Dirichlet Process Mixture
Dynamic Clustering Asymptotics Dependent Dirichlet Process Mixture
2013/6/17
This paper presents a novel algorithm, based upon the dependent Dirichlet process mixture model (DDPMM), for clustering batch-sequential data containing an unknown number of evolving clusters. The alg...
Dynamic Covariance Models for Multivariate Financial Time Series
Dynamic Covariance Models Multivariate Financial Time Series
2013/6/14
The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problem...
An ANOVA Test for Parameter Estimability using Data Cloning with Application to Statistical Inference for Dynamic Systems
Maximum Likelihood Estimation Over -Parametrized Models Markov Chain Monte Carlo Parameter Identifiability Differential Equation Models
2013/6/14
Models for complex systems are often built with more parameters than can be uniquely identified by available data. Because of the variety of causes, identifying a lack of parameter identifiability typ...
Modeling Temporal Activity Patterns in Dynamic Social Networks
Activity Profile Modeling Twitter Data-Fitting Explanation Prediction Hidden Markov Model Coupled Hidden Markov Model Social Network In uence User Clustering
2013/6/14
The focus of this work is on developing probabilistic models for user activity in social networks by incorporating the social network influence as perceived by the user. For this, we propose a coupled...
A Robust Bayesian Dynamic Linear Model to Detect Abrupt Changes in an Economic Time Series: The Case of Puerto Rico
Dynamic Models Consumer Price Index Bayesian Robustness
2013/4/28
Economic indicators time series are usually complex with high frequency data. The traditional time series methodology requires at least a preliminary transformation of the data to get stationarity. On...
The RAppArmor Package: Enforcing Security Policies in R Using Dynamic Sandboxing on Linux
R Security Linux Sandbox AppArmor
2013/5/2
With the increasing availability of public cloud computing facilities and scientific super computers, there is a great potential for making R available through public or shared resources. This allows ...
Modeling US house prices by spatial dynamic structural equation models
house prices Bayesian inference dynamic factor models spatio-temporal models cointegration lattice data
2013/4/27
This article proposes a spatial dynamic structural equation model for the analysis of housing prices at the State level in the USA. The study contributes to the existing literature by extending the us...