References of "Sowell, Fallaw"
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See detailThe ESP estimator
Holcblat, Benjamin UL; Sowell, Fallaw

Scientific Conference (2019, October 08)

Detailed reference viewed: 35 (1 UL)
See detailThe ESP estimator
Holcblat, Benjamin UL; Sowell, Fallaw

Presentation (2019, January 21)

Detailed reference viewed: 21 (1 UL)
Peer Reviewed
See detailOn solutions to estimating equations and the empirical saddlepoint approximation of their distribution
Holcblat, Benjamin UL; Sowell, Fallaw

Scientific Conference (2018, December 15)

Detailed reference viewed: 15 (1 UL)
Peer Reviewed
See detailThe Empirical Saddlepoint Estimator
Holcblat, Benjamin UL; Sowell, Fallaw

Scientific Conference (2018, December 04)

Detailed reference viewed: 15 (1 UL)
Peer Reviewed
See detailThe Empirical Saddlepoint Estimator
Holcblat, Benjamin UL; Sowell, Fallaw

Scientific Conference (2018, November 28)

Detailed reference viewed: 14 (1 UL)
See detailOn the Empirical Saddlepoint Approximation with Application to Asset Pricing
Holcblat, Benjamin UL; Sowell, Fallaw

Presentation (2018, November 06)

Detailed reference viewed: 15 (1 UL)
Peer Reviewed
See detailOn the Empirical Saddlepoint Approximation with Application to Asset Pricing
Holcblat, Benjamin UL; Sowell, Fallaw

Scientific Conference (2018, June 11)

Detailed reference viewed: 14 (1 UL)
See detailOn the Empirical Saddlepoint Approximation with Application to Asset Pricing
Holcblat, Benjamin UL; Sowell, Fallaw

Presentation (2018, March 29)

Detailed reference viewed: 14 (1 UL)
Peer Reviewed
See detailThe Empirical Saddlepoint Estimator
Holcblat, Benjamin UL; Sowell, Fallaw

Scientific Conference (2017, December 17)

Previous studies have shown that existing moment-based estimation approaches have poor small-sample performance in some applications. We propose an alternative that is based on the ESP (empirical ... [more ▼]

Previous studies have shown that existing moment-based estimation approaches have poor small-sample performance in some applications. We propose an alternative that is based on the ESP (empirical saddlepoint) approximation of the solutions to the empirical moment conditions. Saddlepoint approximations are known to perform well in small sample. The novel estimator proposed, which we call the ESP estimator, is the mode of the ESP approximation. We show that it is consistent and asymptotically normal, and we study its higher-order bias. We propose novel test statistics based on the ESP estimator. Finally, we also investigate the finite-sample properties of the ESP estimator and related test statistics through Monte-Carlo simulations. [less ▲]

Detailed reference viewed: 71 (6 UL)