Econométrie: working papers (RePEc, 04/02/2011)

Source : NEP (New Economics Papers) | RePEc

  • Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions
Date: 2011-01
By: Vogelsang, Timothy J. (Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria)
Wagner, Martin (Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria)
URL: http://d.repec.org/n?u=RePEc:ihs:ihsesp:263&r=ecm
Keywords: Bandwidth, cointegration, fixed-b asymptotics, Fully Modified OLS, IM-OLS, kernel
JEL: C31
  • Consistent Estimation of the Fixed Effects Ordered Logit Model
Date: 2011-01
By: Baetschmann, Gregori (University of Zurich)
Staub, Kevin (University of Zurich)
Winkelmann, Rainer (University of Zurich)
URL: http://d.repec.org/n?u=RePEc:iza:izadps:dp5443&r=ecm
Keywords: ordered response, panel data, correlated heterogeneity, incidental parameters
JEL: C23
  • Forecasting Covariance Matrices: A Mixed Frequency Approach
Date: 2011-01-18
By: Roxana Halbleib (European Center for Advanced Research in Economics and Statistics (ECARES), Université libre de Bruxelles, Solvay Brussels School of Economics and Management and CoFE)
Valeri Voev (School of Economics and Management, Aarhus University and CREATES)
URL: http://d.repec.org/n?u=RePEc:aah:create:2011-03&r=ecm
Keywords: Volatility forecasting, High-frequency data, Realized variance
JEL: C32
  • Forecasts in a Slightly Misspecified Finite Order VAR
Date: 2011-01
By: Ulrich K. Müller
James H. Stock
URL: http://d.repec.org/n?u=RePEc:nbr:nberwo:16714&r=ecm
EL: C11
  • Asymptotics for the conditional-sum-of-squares estimator in fractional time series models
Date: 2011-01
By: Morten Ørregaard Nielsen (Queen’s University and CREATES)
URL: http://d.repec.org/n?u=RePEc:qed:wpaper:1259&r=ecm
Keywords: Asymptotic normality, conditional-sum-of-squares estimator, consistency, fractional integration, fractional time series, likelihood inference, long memory, nonstationary, uniform convergence
JEL: C22
  • Prediction-based estimating functions: review and new developments
Date: 2011-01-19
By: Michael Sørensen (University of Copenhagen and CREATES)
URL: http://d.repec.org/n?u=RePEc:aah:create:2011-05&r=ecm
Keywords: Aasymptotic normality, consistency, diffusion with measurement errors, Gaussian process, integrated diffusion, linear predictors, non-Markovian models, optimal estimating function, partially observed system, Pearson diffusion.
JEL: C22
  • A Note on Estimating Wishart Autoagressive Model
Date: 2010-12
By: Roxana Halbleib
URL: http://d.repec.org/n?u=RePEc:eca:wpaper:2013/73606&r=ecm
Keywords: Wishart autoagressive process; asymptotic properties; realized covariance; log-normal distribution
JEL: C32
  • Asymmetric Baxter-King filter
Date: 2011-01-17
By: Buss, Ginters
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:28176&r=ecm
Keywords: real time estimation; Christiano-Fitzgerald filter; Monte Carlo simulation; band pass filter
JEL: C13
  • A Grouped Factor Model
Date: 2010-10-01
By: Chen, Pu
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:28083&r=ecm
Keywords: Factor Models; Generalized Principal Component Analysis; Model Selection
JEL: C63
  • The Discrete–Continuous Correspondence for Frequency-Limited Arma Models and the Hazards of Oversampling
Date: 2011-01
By: David Stephen Pollock
URL: http://d.repec.org/n?u=RePEc:lec:leecon:11/14&r=ecm
Keywords: Stochastic Differential Equations; Band-Limited Stochastic Processes; Oversampling
  • Sensitivity Analysis of SAR Estimators
Date: 2011-01
By: Liu, Shuangzhe (University of Canberra, Canberra, Australia)
Polasek, Wolfgang (Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria)
Sellner, Richard (Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria)
URL: http://d.repec.org/n?u=RePEc:ihs:ihsesp:262&r=ecm
Keywords: Spatial autoregressive models, least squares estimators, sensitivity analysis, Taylor Approximations, Kantorovich inequality
JEL: C11
  • An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis
Date: 2011-01-24
By: Gianluca Cubadda (:Faculty of Economics, University of Rome « Tor Vergata »)
Umberto Triacca (Università dell’Aquila)
URL: http://d.repec.org/n?u=RePEc:rtv:ceisrp:184&r=ecm
Keywords: VAR Models; ARIMA Models; Final Equations
JEL: C32
  • Testing the local volatility assumption: a statistical approach
Date: 2011-01-13
By: Mark Podolskij (University of Heidelberg and CREATES)
Mathieu Rosenbaum (École Polytechnique Paris)
URL: http://d.repec.org/n?u=RePEc:aah:create:2011-04&r=ecm
Keywords: Local Volatility Models, Stochastic Volatility Models, Test Statistics, Semi-Martingales, Limit Theorems.
JEL: C10
  • Asymptotic Distribution of JIVE in a Heteroskedastic IV Regression with Many Instruments
Date: 2010-10
By: Chao, Swanson, Hausman, Newey, and Woutersen
URL: http://d.repec.org/n?u=RePEc:jhu:papers:567&r=ecm
  • Band-Limited Stochastic Processes in Discrete and Continuous Time
Date: 2011-01
By: David Stephen Pollock
URL: http://d.repec.org/n?u=RePEc:lec:leecon:11/11&r=ecm
Keywords: Stochastic Differential Equations; Band-Limited Stochastic Processes; Aliasing and Interference
  • A Tale of 3 Cities: Model Selection in Over-, Exact, and Under-specified Equations
Date: 2011
By: Jennifer L. Castle
David F. Hendry
URL: http://d.repec.org/n?u=RePEc:oxf:wpaper:523&r=ecm
Keywords: Model selection, congruence, mis-specification, impulse-indicator saturation, Autometrics
JEL: C51
  • Identifying Trend and Age Effects in Sickness Absence from Individual Data: Some Econometric Problems
Date: 2010-12-18
By: Biørn, Erik (Dept. of Economics, University of Oslo)
URL: http://d.repec.org/n?u=RePEc:hhs:osloec:2010_020&r=ecm
Keywords: Sickness absence; health-labour interaction; cohort-age-time problem; self-selection; latent heterogeneity; bivariate censoring; truncated binormal distribution; panel data
JEL: C23
  • The dynamics of real exchange rates – A reconsideration
Date: 2011-01
By: Heinen, Florian
Kaufmann, Hendrik
Sibbertsen, Philipp
URL: http://d.repec.org/n?u=RePEc:han:dpaper:dp-463&r=ecm
Keywords: Nonlinearities, Markov switching, Smooth transition, Specification testing, Real exchange rates
JEL: C12
  • Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors
Date: 2010-12
By: Roxana Halbleib
Valerie Voev
URL: http://d.repec.org/n?u=RePEc:eca:wpaper:2013/73585&r=ecm
Keywords: Forecasting; Fractional integration; Stochastic dominance; Portfolio optimization; Realized covariance
JEL: C32
  • Alternative Methods of Seasonal Adjustment
Date: 2011-01
By: David Stephen Pollock
Emi Mise
URL: http://d.repec.org/n?u=RePEc:lec:leecon:11/12&r=ecm
Keywords: Wiener–Kolmogorov Filtering; Frequency-Domain Methods; The Trend-Cycle Component
  • Cyclical Dynamics of Industrial Production and Employment: Markov Chain-based Estimates and Tests
Date: 2011-01
By: Sumru Altug (Koç University and CEPR)
Baris Tan (Koç University)
Gozde Gencer (Yapikredi Bank)
URL: http://d.repec.org/n?u=RePEc:koc:wpaper:1101&r=ecm
Keywords: Markov chain models, economic indicators, cross-country analysis
JEL: C22
  • Transfer Functions
Date: 2011-01
By: David Stephen Pollock
URL: http://d.repec.org/n?u=RePEc:lec:leecon:11/15&r=ecm
Keywords: Impulse response; Frequency response; Spectral density
  • Using Model Selection Algorthims to Obtain Reliable Coefficient Estimates
Date: 2011-01-01
By: Jennifer Castle
Xiaochuan Qin
W. Robert Reed (University of Canterbury)
URL: http://d.repec.org/n?u=RePEc:cbt:econwp:11/03&r=ecm
Keywords: Model selection algorithms; Information Criteria; General-to-Specific modeling; Bayesian Model Averaging; Portfolio Models; AIC; SIC; AICc; SICc; Monte Carlo Analysis; Autometrics
JEL: C52
  • Bayesian Analysis of a Triple-Threshold GARCH Model with Application in Chinese Stock Market
Date: 2010-06-18
By: Zhu, Junjun
Xie, Shiyu
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:28195&r=ecm
Keywords: Threshold; Griddy-Gibbs sampling; MCMC method; GARCH
JEL: G15
  • A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis
Date: 2011-01
By: Luca RICCETTI (Universita’ Politecnica delle Marche, Dipartimento di Economia)
URL: http://d.repec.org/n?u=RePEc:anc:wpaper:355&r=ecm
Keywords: Portfolio Choice
JEL: C52
  • The sensitivity of the Scaled Model of Error with respect to the choice of the correlation parameters: A Simulation Study
Date: 2010-11-23
By: Graziani, Rebecca (Department of Decision Sciences, Bocconi University, Milano)
Keilman, Nico (Dept. of Economics, University of Oslo)
URL: http://d.repec.org/n?u=RePEc:hhs:osloec:2010_022&r=ecm
Keywords: Scaled model of error; Stochastic population forecast; Probabilistic cohort component model; Sensitivity; Correlation
JEL: C15
  • Statistical Signal Extraction and Filtering: Notes for the Ercim Tutorial, December 9th 2010
Date: 2010-12
By: David Stephen Pollock
URL: http://d.repec.org/n?u=RePEc:lec:leecon:11/13&r=ecm
These notes have been written to accompany a tutorial session held at the London School of Economics as a prelude to the ERCIM conference of December 2010.
  • On the Order of Magnitude of Sums of Negative Powers of Integrated Processes
Date: 2011-01
By: Pötscher, Benedikt M.
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:28287&r=ecm
Bounds on the order of magnitude of sums of negative powers of integrated processes are derived.
Keywords: integrated proesses; sums of negative powers; order of magnitude; martingale transform
JEL: C22

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