Econométrie: working papers (RePEc, 06/02/2011)

Source : NEP (New Economics Papers) | RePEc

  • Non-Parametric Maximum Likelihood Density Estimation and Simulation-Based Minimum Distance Estimators
Date: 2010-12-16
By: Gach, Florian
Pötscher, Benedikt M.
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:27512&r=ecm
Keywords: Indirect inference; simulation-based minimum distance estimation; non-parametric maximum likelihood; density estimation; efficiency
JEL: C13
  • Bayesian Adaptive Bandwidth Kernel Density Estimation of Irregular Multivariate Distributions
Date: 2010-12
By: Shuowen Hu
D.S. Poskitt
Xibin Zhang
URL: http://d.repec.org/n?u=RePEc:msh:ebswps:2010-21&r=ecm
Keywords: conditional density; global bandwidth; Kullback-Leibler information; marginal likelihood; Markov chain Monte Carlo; S&P500 index
JEL: C11
  • Inference about Clustering and Parametric Assumptions in Covariance Matrix Estimation
Date: 2010-11
By: Mikko Packalen (Department of Economics, University of Waterloo)
Tony Wirjanto (School of Accounting & Finance and Department of Statistics and Actuarial Science, University of Waterloo)
URL: http://d.repec.org/n?u=RePEc:wat:wpaper:1012&r=ecm
JEL: C10
  • Computing and estimating information matrices of weak arma models
Date: 2010
By: Boubacar Mainassara, Yacouba
Carbon, Michel
Francq, Christian
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:27685&r=ecm
Keywords: Asymptotic relative efficiency (ARE); Bahadur’s slope; Information matrices; Lagrange Multiplier test; Nonlinear processes; Wald test; Weak ARMA models
JEL: C13
  • Spatial Stochastic Frontier Models
Date: 2010
By: Erniel B. Barrios
Rouselle F. Lavado (Philippine Institute for Development Studies)
URL: http://d.repec.org/n?u=RePEc:eab:microe:2434&r=ecm
Keywords: stochastic frontier models, technical efficiency, spatial externalities, spatial-temporal model, backfitting
JEL: C01
  • Testing the Box-Cox Parameter for an Integrated Process
Date: 2010-12-01
By: Jian Huang
Masahito Kobayashi
Michael McAleer (University of Canterbury)
URL: http://d.repec.org/n?u=RePEc:cbt:econwp:10/77&r=ecm
Keywords: Box-Cox transformation; Brownian Motion; Constant Elasticity of Volatility; Mean Reversion; Nonstandard distribution
  • A Simple Analytic Procedure for Estimating the True Random Effects Stochastic Frontier Model
Date: 2010-12
By: Peng-Hsuan Ke (Institute of Economics, Academia Sinica, Taipei, Taiwan)
Wen-Jen Tsay (Institute of Economics, Academia Sinica, Taipei, Taiwan)
URL: http://d.repec.org/n?u=RePEc:sin:wpaper:10-a007&r=ecm
Keywords: Random effects, panel stochastic frontier model
  • An omnibus test to detect time-heterogeneity in time series.
Date: 2010-12
By: Dominique Guegan (Centre d’Economie de la Sorbonne – Paris School of Economics)
Philippe de Peretti (Centre d’Economie de la Sorbonne)
URL: http://d.repec.org/n?u=RePEc:mse:cesdoc:10098&r=ecm
Keywords: Test, time-homogeneity, maximum entropy bootstrap.
JEL: C01
  • Bayesian estimation of GARCH model with an adaptive proposal density
Date: 2010-12
By: Tetsuya Takaishi
URL: http://d.repec.org/n?u=RePEc:arx:papers:1012.5986&r=ecm
  • Bank Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
Date: 2010
By: Sermin Gungor
Richard Luger
URL: http://d.repec.org/n?u=RePEc:bca:bocawp:10-36&r=ecm
Keywords: Econometric and statistical methods; Financial markets
JEL: C12
  • Portmanteau goodness-of-fit test for asymmetric power GARCH models
Date: 2010
By: Carbon, Michel
Francq, Christian
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:27686&r=ecm
Keywords: ARCH models; Leverage effect; Portmanteau test; Goodness-of-fit test; Diagnostic checking
JEL: C12
  • Model selection in hidden Markov models : a simulation study
Date: 2010
By: Michele Costa (Università di Bologna)
Luca De angelis (Università di Bologna)
URL: http://d.repec.org/n?u=RePEc:bot:quadip:104&r=ecm
Keywords: Model selection procedure, Hidden Markov model, Monte Carlo experiment, information criteria, likelihood ratio test. Selezione del modello, Modello markoviano latente, Esperimento Monte Carlo, Criterio di informazione, Test del rapporto di verosimiglianza
  • Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors
Date: 2010-12-01
By: Felix Chan
Michael McAleer (University of Canterbury)
Marcelo C. Medeiros
URL: http://d.repec.org/n?u=RePEc:cbt:econwp:10/79&r=ecm
Keywords: Nonlinear time series; regime-switching; smooth transition; STAR; GARCH; log-moment; moment conditions; asymptotic theory
JEL: E43
  • Identification and Estimation of Social Interactions through Variation in Equilibrium Influence
Date: 2010-12
By: Mikko Packalen (Department of Economics, University of Waterloo)
URL: http://d.repec.org/n?u=RePEc:wat:wpaper:1013&r=ecm
JEL: C31
  • Real-time Forecasting of Inflation and Output Growth in the Presence of Data Revisions
Date: 2010
By: Clements, Michael P. (University of Warwick)
Galvão, Ana Beatriz (Queen Mary University of London)
URL: http://d.repec.org/n?u=RePEc:wrk:warwec:953&r=ecm
Keywords: real-time data ; news and noise revisions ; optimal forecasts ; multi-vintage models. JEL Classification: C53
  • Hypothesis Testing in Linear Regression when K/N is Large
Date: 2010-12-20
By: Calhoun, Gray
URL: http://d.repec.org/n?u=RePEc:isu:genres:32216&r=ecm
Keywords: Dimension Asymptotics; F-Test; Ordinary Least Squares
JEL: C12
  • Applying a CART-based approach for the diagnostics of mass appraisal models
Date: 2010-12-01
By: Antipov, Evgeny
Pokryshevskaya, Elena
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:27646&r=ecm
Keywords: CART; model diagnostics; mass appraisal; real estate; Random forest; heteroscedasticity
JEL: C45
  • Probabilistic Forecasts of Volatility and its Risk Premia
Date: 2010-12-20
By: Worapree Maneesoonthorn
Gael M. Martin
Catherine S. Forbes
Simone Grose
URL: http://d.repec.org/n?u=RePEc:msh:ebswps:2010-22&r=ecm
Keywords: Volatility Forecasting; Non-linear State Space Models; Non-parametric Variance Measures; Bayesian Markov Chain Monte Carlo; VIX Futures; Risk Aversion.
JEL: C11
  • Probabilistic Characterization of Directional Distances and their Robust Versions
Date: 2010-09-30
By: Simar, Léopold
Vanhems, Anne
URL: http://d.repec.org/n?u=RePEc:tse:wpaper:23435&r=ecm
Keywords: Directional distance function; partial frontier; conditional measures of efficiency
JEL: C13
  • Mass appraisal of residential apartments: An application of Random forest for valuation and a CART-based approach for model diagnostics
Date: 2010-07-29
By: Antipov, Evgeny
Pokryshevskaya, Elena
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:27645&r=ecm
Keywords: Random forest; mass appraisal; CART; model diagnostics; real estate; automatic valuation model
JEL: C14
  • Examining the Evidence of Purchasing Power Parity by Recursive Mean Adjustment
Date: 2010-12
By: Hyeongwoo Kim
Young-Kyu Moh
URL: http://d.repec.org/n?u=RePEc:abn:wpaper:auwp2010-08&r=ecm
Keywords: Recursive Mean Adjustment, Finite Sample Performance, Purchasing Power Parity, Half-Life
JEL: C12
  • Reproducible Econometric Simulations
Date: 2010
By: Christian Kleiber
Achim Zeileis (University of Basel)
URL: http://d.repec.org/n?u=RePEc:bsl:wpaper:11/10&r=ecm
JEL: C
  • TFP convergence across European regions: a comparative spatial dynamics analysis
Date: 2010
By: Adriana Di Liberto
Stefano Usai
URL: http://d.repec.org/n?u=RePEc:cns:cnscwp:201030&r=ecm
Keywords: TFP; technology catching up; panel data; exploratory spatial data analysis
JEL: C23
  • Consistent estimation of conditional conservatism
Date: 2010-11
By: Manuel Cano-Rodríguez
Manuel Núñez-Nickel
URL: http://d.repec.org/n?u=RePEc:cte:idrepe:id-10-07&r=ecm
Keywords: Accounting conservatism, Conditional conservatism, Unconditional conservatism, The Basu model, Aggregation effect
  • A comprehensive literature classification of simulation optimisation methods
Date: 2010-05-24
By: Hachicha, Wafik
Ammeri, ahmed
Masmoudi, Faouzi
Chachoub, Habib
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:27652&r=ecm
Keywords: Simulation Optimization; classification methods; literature survey
JEL: C44

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