Econométrie: working papers (RePEc, 20/01/2011)

Source : NEP (New Economics Papers) | RePEc

  • Testing Conditional Symmetry Without Smoothing
Date: 2011-01
By: Tao Chen (University of Connecticut)
Gautam Tripathi (University of Connecticut)
JEL: C12
  • Combining predictive densities using Bayesian filtering with applications to US economics data
Date: 2010-12-21
By: Monica Billio (University of Venice, GRETA Assoc. and School for Advanced Studies in Venice)
Roberto Casarin (University of Breccia and GRETA Assoc)
Francesco Ravazzolo (Norges Bank (Central Bank of Norway))
Herman K. van Dijk (Econometrics and Tinbergen Institutes, Erasmus University Rotterdam)
Keywords: Density Forecast Combination, Survey Forecast, Bayesian Filtering, Sequential Monte Carlo
JEL: C11
  • « An Aysmptotically Optimal Modification of the Panel LIML Estimation for Individual Heteroscedasticity »
Date: 2010-12
By: Naoto Kunitomo (Faculty of Economics, University of Tokyo)
Kentaro Akashi (Institute of Statistical Mathematics)
  • Confidence Sets Based on Inverting Anderson-Rubin Tests
Date: 2011-01
By: Russell Davidson (McGill University)
James G. MacKinnon (Queen’s University)
Keywords: bootstrap, confidence interval, instrumental variables, LIML, Sargan test, weak instruments
JEL: C15
  • Testing the One-Part Fractional Response Model against an Alternative Two-Part Model
Date: 2011-01-05
By: Oberhofer, Harald (University of Salzburg)
Pfaffermayr, Michael (Department of Economics and Statistics, University of Innsbruck)
Keywords: Fractional response models; two-part model; Wald test; P-test
JEL: C12
  • Ordered Response Models and Non-Random Personality Traits: Monte Carlo Simulations and a Practical Guide
Date: 2010-11-30
By: Ingo Geishecker
Maximilian Riedl
Keywords: fixed effects ordered logit, ordered responses, happiness
JEL: C23
  • Frontier Techniques: Contrasting the Performance of (Single-) Truncated Order Regression Methods and Replicated Moments
Date: 2010-08-10
By: Ana Paula Martins
Keywords: Stochastic Frontier Model, Generalized Method of Order Statistics, Minimum Distance Method of Order Statistics, Inverse Order Regression, Replicated Moments, Linear Models.
JEL: C24
  • Evaluating the strength of identification in DSGE models. An a priori approach
Date: 2010
By: Nikolay Iskrev
JEL: C32
  • Identification and Estimation of Preference Distributions When Voters Are Ideological
Date: 2010-12-31
By: Antonio Merlo (Department of Economics, University of Pennsylvania)
Aureo de Paula (Department of Economics, University of Pennsylvania)
Keywords: Voting, Voronoi tessellation,identification, nonparametric
JEL: D72
  • A monthly indicator of employment in the euro area: real time analysis of indirect estimates
Date: 2010-12-30
By: Moauro, Filippo
Keywords: temporal disaggregation methods; multivariate structural time series models; mixed-frequency models; EM algorithm; Kalman filter and smoother
JEL: C51
  • Option pricing under time varying correlation with conditional dependence: A copula based approach to recover the index skew from the constituent dynamics.
Date: 2010-12
By: Matthias Fengler
Helmut Herwartz
Christian Werner
Keywords: Copula Dynamic Conditional Correlation, Basket Options, Multivariate GARCH Models, Change of Measure, Esscher Transform
JEL: C32
  • Spatial Decentralization and Program Evaluation: Theory and an Example from Indonesia
Date: 2010-09
By: Nidhiya Menon (Department of Economics, Brandeis University)
Mark M. Pitt (Brown University)
Keywords: Spatial Decentralization, Program Evaluation, Instrumental Variables, Indonesia
JEL: C21
  • Corporate bond spreads and real activity in the euro area – Least Angle Regression forecasting and the probability of the recession
Date: 2011-01
By: Marco Buchmann (European Central Bank, DG Financial Stability, Financial Stability Assessment Division, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany.)
Keywords: Corporate bond spreads, point and density forecasting, automatic model building, least angle regression.
  • Production Under Uncertainty: A Simulation Study
Date: 2010-12
By: Sriram Shankar (School of Economics, University of Queensland)
Chris O’Donnell (School of Economics, University of Queensland)
John Quiggin (School of Economics, University of Queensland)
Keywords: CES, Cobb-Douglas, OLS, output-cubical, risk-neutral, state-allocable, state-contingent
JEL: C15
  • Forecasting damped trend exponential smoothing: an algebraic viewpoint.
Date: 2010
By: Giacomo Sbrana (BETA/CNRS, Université de Strasbourg, France.)
  • Alternative Approaches to Measuring House Price Inflation
Date: 2011-01-07
By: Diewert, Erwin
Keywords: Property price indexes, hedonic regressions, stratification techniques, rolling year indexes, Fisher ideal indexes

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