Econométrie: working papers (RePEc, 09/02/2011)

Source : NEP (New Economics Papers) | RePEc

  • Bayesian Model Averaging in the Instrumental Variable Regression Model
Date: 2011-01
By: Gary Koop (University of Strathclyde)
Roberto Leon-Gonzalez (National Graduate Institute for Policy Studies)
Rodney Strachan (The Australian National University)
Keywords: Bayesian, endogeneity, simultaneous equations, reversible jump Markov chain Monte Carlo
JEL: C11
  • Nonparametric Identification and Estimation of Transformation Models
Date: 2011-01
By: Pierre-Andre Chiappori (Columbia University)
Ivana Komunjer (University of California San Diego)
Dennis Kristensen (Columbia University)
Keywords: nonparametric identification; transformation models; kernel estimation
  • Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks
Date: 2010-12
By: Claudio Morana
JEL: C22
  • A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models
Date: 2011-01-01
By: Luc Bauwens
Gary Koop
Dimitris Korobilis
Jeroen Rombouts
Keywords: Forecasting, change-points, Markov switching, Bayesian inference.,
JEL: C11
  • Welfare analysis using nonseparable models
Date: 2011-01
By: Stefan Hoderlein (Institute for Fiscal Studies and Brown)
Anne Vanhems (Institute for Fiscal Studies and Toulouse Business School)
  • Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios
Date: 2011
By: Candelon Bertrand
Hurlin Christophe
Tokpavi Sessi (METEOR)
Keywords: monetary economics ;
  • Where is the Economics in Spatial Econometrics?
Date: 2011-01
By: Bernard Fingleton (Department of Economics, University of Strathclyde.)
Luisa Corrado (Faculty of Economics, University of Cambridge)
Keywords: Spatial econometrics, endogenous spatial lag, exogenous spatial lag, spatially dependent errors, network dependence, externalities, the W matrix, panel data with spatial effects, multilevel models with spatial effects.
JEL: C21
  • Bootstrap Sequential Tests to Determine the Stationary Units in a Panel
Date: 2011
By: Smeekes Stephan (METEOR)
Keywords: econometrics;
  • « A Unified Approach to Non-minimaxity of Sets of Linear Combinations of Restricted Location Estimators »
Date: 2011-01
By: Tatsuya Kubokawa (Faculty of Economics, University of Tokyo)
William E. Strawderman (Department of Statistics, Rutgers University)
  • Reproducible Econometric Simulations
Date: 2011-02
By: Christian Kleiber
Achim Zeileis
Keywords: computational experiment, reproducibility, simulation, software.
  • Asset Allocation with Aversion to Parameter Uncertainty: A Minimax Regression Approach
Date: 2011
By: Sessi Topkavi
Keywords: Asset allocation, estimation error, aversion to uncertainty, min-imax regression, Bayesian mean-variance portfolios, least favorable prior
  • Multivariate GARCH estimation via a Bregman-proximal trust-region method
Date: 2011-01
By: St\’ephane Chr\’etien
Juan-Pablo Ortega
  • Heuristic model selection for leading indicators in Russia and Germany
Date: 2011-01-27
By: Ivan Savin
Peter Winker
Keywords: Leading indicators, business cycle forecasts, VAR, model selection, genetic algorithms.
  • A new method for detecting differential item functioning in the Rasch model
Date: 2011-01
By: Carolin Strobl
Julia Kopf
Achim Zeileis
Keywords: item response theory, IRT, Rasch model, dierential item functioning, DIF, structural change, multidimensionality.
  • Markov-switching GARCH models in finance: a unifying framework with an application to the German stock market
Date: 2011-01
By: Gerrit Reher
Bernd Wilfling
Keywords: Markov-switching models; GARCH models; Dynamics of stock index returns
  • Admissible mixing distributions for a general class of mixture survival models with known asymptotics
Date: 2011-01
By: Trifon I. Missov (Max Planck Institute for Demographic Research, Rostock, Germany)
Maxim S. Finkelstein (Max Planck Institute for Demographic Research, Rostock, Germany)
Keywords: mortality
  • Evaluating DSGE model forecasts of comovements
Date: 2011
By: Edward Herbst
Frank Schorfheide
Keywords: Econometric models ; Forecasting
  • Dissimilarities between categorical variables
Date: 2011-01
By: Rodrigo Peñaloza (Departamento de Economia (Department of Economics) Faculdade de Economia, Administração, Contabilidade e Ciência da Informação e Documentação (FACE) (Faculty of Economics, Administration, Accounting and Information Science) Universidade de Brasília)
Keywords: nominal variables, transvariation, degree of dependence
JEL: C49

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