Source : NEP (New Economics Papers) | RePEc Simultaneous Statistical Inference in Dynamic Factor Models Date: 2012-05 By: Thorsten Dickhaus URL: http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2012-033&r=ecm Keywords: family-wise error rate, false discovery rate, likelihood ratio statistic, multiple hypothesis testing, multivariate chi-squared distribution, time series regression, Wald statistic JEL: C12 Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models [...]

Source : NEP (New Economics Papers) | RePEc Estimating the Quadratic Covariation Matrix for an Asynchronously Observed Continuous Time Signal Masked by Additive Noise Date: 2012-04 By: Sujin Park Oliver Linton URL: http://d.repec.org/n?u=RePEc:fmg:fmgdps:dp703&r=ecm   Testing for Linear Cointegration Against Smooth-Transition Cointegration Date: 2012-02-13 By: Li, Dao (Department of Business, Economics, Statistics and Informatics) URL: http://d.repec.org/n?u=RePEc:hhs:oruesi:2012_006&r=ecm   [...]

Source : NEP (New Economics Papers) | RePEc Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap Date: 2012-04 By: D.S. Poskitt Gael M. Martin Simone D. Grose URL: http://d.repec.org/n?u=RePEc:msh:ebswps:2012-8&r=ecm   Keywords: Analytical bias correction, bootstrap bias correction, confidence interval, coverage, precision, log periodogram estimator, local Whittle estimator. JEL: C18 Consistent Estimation of [...]

Source : NEP (New Economics Papers) | RePEc Efficient estimation in regression discontinuity designs via asymmetric kernels Date: 2012-02-24 By: Fe, Eduardo URL: http://d.repec.org/n?u=RePEc:pra:mprapa:38164&r=ecm   Keywords: Regression Discontinuity; Asymmetric Kernels; Local Linear Regression JEL: C13 Semiparametric estimation of random coefficients in structural economic models Date: 2012-04 By: Stefan Hoderlein (Institute for Fiscal Studies and Boston College) [...]

Source : NEP (New Economics Papers) | RePEc Symmetric Jackknife Instrumental Variable Estimation Date: 2012-04-05 By: Bekker, Paul A. Crudu, Federico URL: http://d.repec.org/n?u=RePEc:pra:mprapa:37853&r=ecm   Keywords: Instrumental Variables; Heteroskedasticity; many Instruments; Jackknife JEL: C13 Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA Date: 2012-04-04 By: Márcio Laurini (IBMEC Business School) Márcio Alves Diniz (Departament of [...]