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)
URL: http://d.repec.org/n?u=RePEc:rim:rimwps:09_11&r=ecm
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)
URL: http://d.repec.org/n?u=RePEc:kud:kuieca:2011_01&r=ecm
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
URL: http://d.repec.org/n?u=RePEc:icr:wpmath:36-2010&r=ecm
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
URL: http://d.repec.org/n?u=RePEc:cir:cirwor:2011s-13&r=ecm
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)
URL: http://d.repec.org/n?u=RePEc:ifs:cemmap:01/11&r=ecm
  • Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios
Date: 2011
By: Candelon Bertrand
Hurlin Christophe
Tokpavi Sessi (METEOR)
URL: http://d.repec.org/n?u=RePEc:dgr:umamet:2011002&r=ecm
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)
URL: http://d.repec.org/n?u=RePEc:str:wpaper:1101&r=ecm
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)
URL: http://d.repec.org/n?u=RePEc:dgr:umamet:2011003&r=ecm
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)
URL: http://d.repec.org/n?u=RePEc:tky:fseres:2011cf786&r=ecm
  • Reproducible Econometric Simulations
Date: 2011-02
By: Christian Kleiber
Achim Zeileis
URL: http://d.repec.org/n?u=RePEc:inn:wpaper:2011-02&r=ecm
Keywords: computational experiment, reproducibility, simulation, software.
  • Asset Allocation with Aversion to Parameter Uncertainty: A Minimax Regression Approach
Date: 2011
By: Sessi Topkavi
URL: http://d.repec.org/n?u=RePEc:drm:wpaper:2011-1&r=ecm
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
URL: http://d.repec.org/n?u=RePEc:arx:papers:1101.5475&r=ecm
  • Heuristic model selection for leading indicators in Russia and Germany
Date: 2011-01-27
By: Ivan Savin
Peter Winker
URL: http://d.repec.org/n?u=RePEc:com:wpaper:046&r=ecm
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
URL: http://d.repec.org/n?u=RePEc:inn:wpaper:2011-01&r=ecm
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
URL: http://d.repec.org/n?u=RePEc:cqe:wpaper:1711&r=ecm
Keywords: Markov-switching models; GARCH models; Dynamics of stock index returns
JEL: C5
  • 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)
URL: http://d.repec.org/n?u=RePEc:dem:wpaper:wp-2011-004&r=ecm
Keywords: mortality
JEL: J1
  • Evaluating DSGE model forecasts of comovements
Date: 2011
By: Edward Herbst
Frank Schorfheide
URL: http://d.repec.org/n?u=RePEc:fip:fedpwp:11-5&r=ecm
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)
URL: http://d.repec.org/n?u=RePEc:brs:wpaper:351&r=ecm
Keywords: nominal variables, transvariation, degree of dependence
JEL: C49

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