Econométrie: working papers (RePEc, 26/01/2011)

Source : NEP (New Economics Papers) | RePEc

  • A Simple Panel-CADF Test for Unit Roots
Date: 2011-01
By: Costantini, Mauro (Department of Economics, University of Vienna, Vienna, Austria)
Lupi, Claudio (Department SEGeS, Faculty of Economics, University of Molise, Campobasso, Italy)
Keywords: Unit root, panel data, approximate p-values, Monte Carlo
JEL: C22
  • Instrument Variable Estimation of a Spatial Autoregressive Panel Model with Random Effects
Date: 2011-01
By: Badi H. Baltagi (Center for Policy Research, Maxwell School, Syracuse University, Syracuse, NY 13244-1020)
Long Liu (Department of Economics, College of Business, University of Texas at San Antonio, One UTSA Circle, TX 78249-0633)
Keywords: Panel Data, Spatial Model, Two Stage Least Squares, Error Components.
JEL: C13
  • Folklore Theorems, Implicit Maps and New Unit Root Limit Theory
Date: 2011-01
By: Peter C.B. Phillips (Cowles Foundation, Yale University)
Keywords: Binding function, Delta method, Exact bias, Implicit continuous maps, Indirect inference, Maximum likelihood
JEL: C23
  • First Difference MLE and Dynamic Panel Estimation
Date: 2011-01
By: Chirok Han (Korea University)
Peter C.B. Phillips (Cowles Foundation, Yale University)
Keywords: Asymptote, Bounded support, Dynamic panel, Efficiency, First difference MLE, Likelihood, Quartic equation, Restricted extremum estimator
JEL: C22
  • Specification Testing for Nonlinear Cointegrating Regression
Date: 2011-01
By: Qiying Wang (University of Sydney)
Peter C.B. Phillips (Cowles Foundation, Yale University)
Keywords: Intersection local time, Kernel regression, Nonlinear nonparametric model, Ornstein-Uhlenbeck process, Specification tests, Weak convergence
JEL: C14
  • Bias in Estimating Multivariate and Univariate Diffusions
Date: 2011-01
By: Xiaohu Wang (Singapore Management University)
Peter C.B. Phillips (Cowles Foundation, Yale University)
Jun Yu (Singapore Management University)
Keywords: Bias, Diffusion, Euler approximation, Trapezoidal approximation, Milstein approximation
JEL: C15
  • Bayesian prior elicitation in DSGE models: macro- vs micro-priors
Date: 2011-01
By: Marco J. Lombardi (European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany.)
Giulio Nicoletti (Banca d’Italia, Via Nazionale, 91, 00184 Roma, Italy.)
Keywords: DSGE Models, Bayesian Estimation, Prior Distribution, Impulse Response Function.
  • Change point for multinomial data using phi-divergence test statistics
Date: 2011-01
By: Apostolos Batsidis
Nirian Martín
Leandro Pardo
Konstantinos Zografos
Keywords: Multinomial sampling, Change-point, Phi-divergence test-statistics
  • OneStep REstimation in Linear Models with Stable Errors
Date: 2011-01
By: Marc Hallin
Yves-Caoimhin Swan
Thomas Verdebout
David Veredas
Keywords: Stable distributions, local asymptotic normality, R-estimation,; asymptotic relative efficiencies
  • Modelling Volatility by Variance Decomposition
Date: 2011
By: Cristina Amado (Universidade do Minho – NIPE)
Timo Teräsvirta (CREATES, School of Economics and Management, Aarhus University)
Keywords: Conditional heteroskedasticity; Structural change; Lagrange multiplier test; Misspeci.cation test; Nonlinear time series; Time-varying parameter model.
JEL: C12
  • Bias from the use of mean-based methods on test scores
Date: 2011-01-03
By: Koerselman, Kristian (Swedish Institute for Social Research, Stockholm University)
Keywords: dmissible statistics; test scores; educational achievement; item response theory; IQ; PISA.
JEL: C40
  • Bias Correction of ML and QML Estimators in the EGARCH(1,1) Model
Date: 2010-06-10
By: Antonis Demos (
Dimitra Kyriakopoulou
  • Long memory in an oil market: a spectral approach
Date: 2010-11-16
By: Yuriy Balagula (Department of Economics, European University at St. Petersburg)
Yulia Abakumova (Department of Economics, European University at St. Petersburg)
In the paper, we propose a spectral approach to estimation of the long-memory effect in time series and its practical application for oil prices analysis.
Keywords: econometrics, long memory, oil price
JEL: C32
  • Inconsistent VAR Regression with Common Explosive Roots
Date: 2011-01
By: Peter C.B. Phillips (Cowles Foundation, Yale University)
Tassos Magdalinos (University of Nottingham)
Keywords: Co-explosive behavior, Common roots, Endogeneity, Forward instrumentation, Geometric multiplicity, Reverse martingale
JEL: C22
  • Dynamic Evaluation of Job Search Assistance
Date: 2011-01
By: Kastoryano, Stephen (University of Amsterdam)
van der Klaauw, Bas (VU University Amsterdam)
Keywords: treatment evaluation, dynamic enrollment, empirical evaluation
JEL: C22
  • Using Large Data Sets to Forecast Sectoral Employment
Date: 2011-01
By: Rangan Gupta (University of Pretoria)
Alain Kabundi (University of Johannesburg)
Stephen M. Miller (University of Connecticut and University of Nevada, Las Vegas)
Josine Uwilingiye (University of Johannesburg)
Keywords: Sectoral Employment, Forecasting, Factor Augmented Models, Large-Scale BVAR models
JEL: C32
  • Unter verallgemeinerter Mittelwertbildung abgeschlossene Familien von Copulas
Date: 2010
By: Klein, Ingo
Keywords: copula,generalized linear means,Spearman’s ρ,tail dependence

Civil War, GDP, Russia, Soviet Union, World War I



  • Excessive Wages and the Return on Capital
Date: 2011-01-10
By: Thomas Moutos (DIEES, AUEB)
Sarantis Kalyvitis (DIEES, AUEB)
Margarita Katsimi (DIEES, AUEB)
Keywords: capital return, �excessive� wages, productivity, endogeneity.
JEL: E24
  • An Instrumental Variables Approach to Estimating Tax Revenue Elasticities: Evidence from Sub-Saharan Africa
Date: 2011-01
By: Markus Brückner (School of Economics, University of Adelaide)
Keywords: tax revenues, growth, instrumental variables
JEL: E62
  • The Prospect of Migration, Sticky Wages, and âEducated Unemploymentâ
Date: 2011-01
By: Stark, Oded
Fan, C. Simon
Keywords: Labor and Human Capital, E24, F22, J24, O15,

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