Method of moment estimation in time-changed Lévy models

2011 ◽  
Vol 28 (2) ◽  
Author(s):  
Jan Kallsen ◽  
Johannes Muhle-Karbe
Keyword(s):  
Method Of Moment ◽  
Moment Estimation

scholarly journals Impact of Project and Programme Aid on Economic Growth: A Cross Country Analysis

2018 ◽  
Vol 57 (2) ◽  
pp. 145-174
Author(s):  
Pervez Zamurrad Janjua ◽  
Malik Muhammad ◽  
Muhammad Usman
Keyword(s):  
Economic Growth ◽  
Principal Component ◽  
Economic Policies ◽  
Method Of Moment ◽  
System Equation ◽  
Moment Estimation ◽  
Country Analysis ◽  
Procurement Reform ◽  
Cross Country ◽  
The Impact

This study examines the impact of foreign aid instruments, namely Project Aid and Programme Aid, on economic growth of 27 aid-receiving countries. The study constructs a system of three equations, i.e. growth, investment and human capital. Using the Generalised Method of Moment estimation technique, the study concludes that while Project Aid has a positive and significant impact on economic growth, Programme Aid has an insignificant impact on economic growth. Additionally, the study finds that economic policies do enhance effectiveness of aid at aggregate level. Therefore, the capacity of aid-recipient countries to effectively use their resources for economic development needs due consideration. Keywords: Project Aid, Programme Aid, Economic Growth, Conditionality, Procurement Reform, System Equation Method, Generalised Method of Moment (GMM), Principal Component Analysis

scholarly journals Method of moment estimation in the COGARCH(1,1) model

2007 ◽  
Vol 10 (2) ◽  
pp. 320-341 ◽  
Author(s):  
S. Haug ◽  
C. Klüppelberg ◽  
A. Lindner ◽  
M. Zapp
Keyword(s):  
Method Of Moment ◽  
Moment Estimation

scholarly journals Modelling Under Uncertainty Business Competitive With Robust Estimation Measurement Model

2021 ◽  
Vol 12 (3) ◽  
pp. 4410-4417
Author(s):  
Marischa Elveny Et.al
Keyword(s):  
Organizational Behavior ◽  
Robust Regression ◽  
Measurement Model ◽  
Significance Test ◽  
Customer Behavior ◽  
Method Of Moment ◽  
Moment Estimation ◽  
Present Information ◽  
Dependent Variables ◽  
A Company

Business insight can be characterized as a bunch of procedures and apparatuses for the obtaining and change of crude information into significant and valuable data for business examination purposes. Information requires strategies and programs that competing organizations in which e-metrics cannot ignore it. Electronic-Metrics or commonly known as e-metrics are data created based on electronic-based customer behavior (e-customer behavior). Extracting information on a competitive organization involves a similarity that is used to find a connection or linkage between organizational behavior. Various new ways are used to achieve success, one of which is with an electronic-based business, but with such a large number of variations, the uncertainty in business is also increasingly difficult to predict. Especially in predicting what activities will often occur in the next few years. Prediction is a process of systematically estimating something that is most likely to happen in the future based on past and present information. To keep up with the development of the company, it is necessary to optimize the metrics for the business. The purpose of optimization is to find the minimum or maximum value of a problem, whether the value of a company produces the desired results. Optimization can be done with robust nonparametric regression, where robust regression is used to detect outliers and provide results that are resistant to outliers. MM (Method of Moment) estimation is one of the estimates in robust regression that can be used for detected outlier data on the independent and dependent variables. Based on the parameter significance test, it was found that merchants who sell food are more profitable than other merchants. With a difference in iteration value 23.9 and a comparison of iteration value 53.1. Based on the parameter significance test conducted, it was found that merchants who sell food are more.

scholarly journals Nexus of Economic Growth on Happiness and Inequality: Reexamine the Paradox

2020 ◽  
pp. 35-49
Author(s):  
Debraj Roka
Keyword(s):  
Economic Growth ◽  
Random Effect ◽  
Estimation Method ◽  
Positive Association ◽  
Dynamic Panel Data ◽  
Gdp Growth ◽  
Method Of Moment ◽  
Explanatory Variables ◽  
Moment Estimation ◽  
Production And Distribution

Economic Growth is the essence of capitalism and it has the paradoxical relation on happiness and an inverse relationship with inequality. Capitalism is fueling the inequality in terms of access, opportunities, production, and distribution. The paper entitled “Nexus of Economic Growth on Happiness and Inequality” is reexamined the paradox which estimated the effect of economic growth and income on happiness and inequality by analyzing 1080 observations from 2008 to 2016 period covered 120 countries. The main explained variable of this paper is happiness and major interested explanatory variables are GDP per capita, GDP growth and inequality. The paper applied fixed and random effect and Linear Dynamic Panel Data (LDPD)/generalized method of moment estimation method as its estimation strategy. This paper investigated the positive association between GDP growth and income with happiness and found that the increase of economic growth and income lead to increase inequality which has a negative association with happiness.

Corporate cash holdings and disclosure violations: an empirical investigation of Jordanian listed companies

2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Safaa Alsmadi ◽  
Ahmad Alkhataybeh ◽  
Mohammad Ziad Shakhatreh
Keyword(s):  
Positive Impact ◽  
Capital Expenditure ◽  
Stock Exchange ◽  
Cash Holdings ◽  
Listed Companies ◽  
Method Of Moment ◽  
Content Type ◽  
Equity Issues ◽  
Moment Estimation ◽  
The Impact

Purpose This study aims to examine the impact of low-quality financial statements; that is, disclosure violations reported by the Securities Exchange Commission related to the level of cash holdings (CH) of firms listed on the Amman Stock Exchange (ASE). Design/methodology/approach Using panel data from 107 ASE-listed companies from 2009 to 2018, the study uses generalized method of moment estimation to examine the research hypothesis. This study hypothesize that disclosure violations can affect the level of CH and control for several variables that affect this level. Findings The results show that disclosure violations significantly affect the level of CH and that cash flow, capital expenditure and debt issues have a significantly positive impact on corporate CH. On the other hand, the market to book ratio and sales growth were found to be insignificant. Research limitations/implications The limitations of the research include the fact that information on research and development and equity issues were not available, so were not included in the examination. Practical implications It is recommended that managers enhance the quality of disclosures since this allows them to hold lower levels of cash and exploit more investment opportunities. Policymakers are recommended to supervise firm disclosures closely and create ratings for disclosure quality. Originality/value To the best of the author’s knowledge, this is the first empirical research on the association between proven low-quality disclosures and the level of corporate CH among Jordanian listed companies.

Does crop specialization improve agricultural productivity and commercialization? Insight from the Northern Savannah Ecological Zone of Ghana

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Samuel Sekyi ◽  
Christopher Quaidoo ◽  
Emmanuel Agyapong Wiafe
Keyword(s):  
Agricultural Productivity ◽  
Farm Households ◽  
Parameter Estimates ◽  
Method Of Moment ◽  
Ecological Zone ◽  
Content Type ◽  
Moment Estimation ◽  
Market Opportunities ◽  
Feed The Future ◽  
Generalized Method Of Moment

PurposeThis paper aims to analyze the effects of crop specialization on agricultural productivity and commercialization for farmers who produce high-value crops in the Northern Savannah Ecological Zone of Ghana.Design/methodology/approachThe study used the USAID/Ghana Feed the Future (FTF) survey, which collected data on high-value crops (i.e. maize, rice and soya). Data for the analysis consists of 2,903 farm households. The study utilized the three-stage generalized method of moment estimation technique to deal with the potential endogeneity of crop specialization within the context of productivity and commercialization and heteroscedasticity issues in the data.FindingsThe study found that crop specialization positively relates to agricultural productivity and commercialization, suggesting that increased crop specialization in the production of high-value stimulates productivity and opens market opportunities for farm households. These findings imply that crop specialization seems more beneficial to farmers as it significantly improves productivity and commercialization.Research limitations/implicationsThe study was conducted in the Northern Savannah Ecological Zone of Ghana and not the entire country.Originality/valueTo the best of the authors' knowledge, this study is the first to have jointly modeled crop specialization, agricultural productivity and commercialization. The main advantage of using this system approach is that it uses more information, thereby providing more precise parameter estimates.

Economic Policy Uncertainty and Entrepreneurship: A Bad for a Good?

2021 ◽  
pp. 097135572097481
Author(s):  
Bach Nguyen ◽  
Christophe Schinckus ◽  
Nguyen Phuc Canh ◽  
Su Dinh Thanh
Keyword(s):  
Economic Policy ◽  
Negative Impact ◽  
Cultural Norms ◽  
Policy Uncertainty ◽  
Method Of Moment ◽  
Exogenous Shock ◽  
Economic Policy Uncertainty ◽  
Moment Estimation ◽  
Unbalanced Panel Data ◽  
General Method

The study examines the influences of the global/domestic economic policy uncertainty (EPU) on entrepreneurship in a sample of 23 economies over the period 2006–2016. Employing the two-step system General Method of Moment estimation for unbalanced panel data, our study provides surprising evidence, indicating that EPU may not always be harmful to entrepreneurship. Precisely, in contrast with existing literature emphasising the negative impact of the uncertainty on entrepreneurship, our article suggests that EPU seems to boost pro-entrepreneurial social and cultural norms (i.e., encouraging actions for creation of new businesses). As such, we suggest that uncertainty may serve as an exogenous shock, filtering ‘good’ business ventures from ‘not-so-good’ ones.

scholarly journals The Performance of Estimators for Generalization of Crack Distribution

2021 ◽  
Vol 20 ◽  
pp. 106-111
Author(s):  
Supitcha Mamuangbon ◽  
Kamon Budsaba ◽  
Andrei Volodin
Keyword(s):  
Gaussian Distribution ◽  
Inverse Gaussian Distribution ◽  
Parameters Estimation ◽  
Inverse Gaussian ◽  
Method Of Moment ◽  
Crack Distribution ◽  
Moment Estimation ◽  
The Family ◽  
First Four Moments ◽  
Special Case

In this research, we propose a new four parameter family of distributions called Generalized Crack distribution. We generalizes the family three parameter Crack distribution. The Generalized Crack distribution is a mixture of two parameter Inverse Gaussian distribution, Length-Biased Inverse Gaussian distribution, Twice Length-Biased Inverse Gaussian distribution, and adding one more weight parameter . It is a special case for , where and is the weighted parameter. We investigate the properties of Generalized Crack distribution including first four moments, parameters estimation by using the maximum likelihood estimators and method of moment estimation. Evaluate the performance of the estimators by using bias. The results of simulation are presented in numerically and graphically.

scholarly journals Estimasi Parameter Regresi Linear Pada Kasus Data Outlier Menggunakan Metode Estimasi Method Of Moment

2019 ◽  
Vol 1 (1) ◽  
pp. 38
Author(s):  
Hisyam Ihsan ◽  
Wahidah Sanusi ◽  
N Nurfadillah
Keyword(s):  
Regression Model ◽  
Moment Method ◽  
Robust Regression ◽  
Estimation Method ◽  
Regression Method ◽  
Regression Equation ◽  
Method Of Moment ◽  
Corn Production ◽  
Moment Estimation ◽  
Outlier Data

Abstrak. Penelitian ini membahas salah satu metode regresi robust yaitu metode estimasi Method of Moment. Regresi robust merupakan metode regresi yang digunakan ketika terdapat outlier pada model. Tujuan dari penelitian ini adalah menentukan model persamaan regresi robust menggunakan metode estimasi Method of Moment. Sebelum mengestimasi parameter dengan metode Method of Moment terlebih dahulu data diidentifikasi menggunakan metode DfFITS untuk mengetahui apakah data tersebut mengandung outlier. Setelah data dianalisis dan terdeteksi adanya outlier kemudian dilakukan pengestimasian parameter menggunakan metode estimasi Method of Moment untuk mendapatkan model regresi yang tidak terpengaruh adanya data outlier. Berdasarkan hasil analisis diperoleh persamaan model regresi metode estimasi Method of Momen yaitu . dengan nilai . Hal ini berarti pengaruh luas panen dan produktivitas terhadap jumlah produksi jagung sebesar 92,3% sisanya dipengaruhu oleh variabel lain.Kata Kunci :Regresi Robust, Outlier, Estimasi Method of Moment.Abstract.This research examined one of a robust regression method which was Moment of Moment estimation method. Robust regression is a regression method used when there is an outlier on the model. The purpose of this research was to determine the model of robust regression equation using Method of Moment estimation method. Before estimating the parameters by Method of Moment method, firstly the data was identified using the DfFITS to determine whether the data contains an outlier. After the data was analyzed and the outlier was detected, the researcher estimated the parameter using Method of Moment estimation method to get the regression model that was not affected by the outlier data. Based on the analysis result, the equation of regression model of Method of Moment estimation method was Y = -34305 + 5 X1 + 634 X2 with the value of R 2 = 0.923. Thus, the effect of harvested area and productivity on the amount of corn production was 92.3% while the rest was affected by other variables.Keyword: Robust Regression, Outlier, Method of Moment Estimation

Sign in / Sign up

Export Citation Format

Share Document