JSTOR Daily

Generalized method of moments estimation for linear regression with clustered failure time data

We propose a generalized method of moments approach to the accelerated failure time model with correlated survival data. We study the semiparametric rank estimator using martingale-based moments. We ...
JSTOR Daily

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

This is a preview. Log in through your library . Abstract We suggest moment estimators for the parameters of a continuous time GARCH(1,1) process based on equally spaced observations. Using the fact ...
Kellogg School of Management

Efficient Method of Moments Estimation of a Stochastic Volatility Model: A Monte Carlo Study

Citations: Andersen, Torben Gustav, Hyung-Jin Chung, Bent Sorensen. 1999. Efficient Method of Moments Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Econometrics.
Simon Fraser University

Analysis of Variance for Mixed and Random Effect Models

Just as PROC GLM is the flagship procedure for fixed-effect linear models, the MIXED procedure is the flagship procedure for random- and mixed-effect linear models. PROC MIXED fits a variety of mixed ...