Econométrie: working papers (RePEc, 22/02/2011)

Source : NEP (New Economics Papers) | RePEc

  • Identification-robust estimation and testing of the zero-beta CAPM
Date: 2011-02-01
By: Marie-Claude Beaulieu
Jean-Marie Dufour
Lynda Khalaf
URL: http://d.repec.org/n?u=RePEc:cir:cirwor:2011s-21&r=ecm
Keywords: capital asset pricing model, CAPM; Black, mean-variance efficiency, non-normality, weak identification, Fieller, multivariate linear regression, uniform linear hypothesis, exact test, Monte Carlo test, bootstrap, nuisance parameters, GARCH, portfolio repacking.,
  • Asymptotic properties of weighted least squares estimation in weak parma models
Date: 2011-02-01
By: Francq, Christian
Roy, Roch
Saidi, Abdessamad
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:28721&r=ecm
Keywords: Weak periodic autoregressive moving average models; Seasonality; Weighted least squares; Asymptotic normality; Strong consistency; Weak periodic white noise; Strong mixing.
JEL: C22
  • Modelling asset correlations: A nonparametric approach
Date: 2011-01
By: Aslanidis, Nektarios
Casas, Isabel
URL: http://d.repec.org/n?u=RePEc:syd:wpaper:2123/7171&r=ecm
Keywords: Portfolio Evaluation; DCC; Local Linear Estimator; Nonparametric Correlations; Semiparametric Conditional Correlation Model
  • Out-Of-Sample Comparisons of Overfit Models
Date: 2011-02-10
By: Calhoun, Gray
URL: http://d.repec.org/n?u=RePEc:isu:genres:32462&r=ecm
Keywords: Generalization Error; Forecasting; ModelSelection; t-test; Dimension Asymptotics
JEL: C01
  • On the criticality of inferred models
Date: 2011-02
By: Iacopo Mastromatteo
Matteo Marsili
URL: http://d.repec.org/n?u=RePEc:arx:papers:1102.1624&r=ecm
  • Model Selection in Equations with Many ‘Small’ Effects
Date: 2011
By: Jennifer L. Castle
Jurgen A. Doornik
David F. Hendry
URL: http://d.repec.org/n?u=RePEc:oxf:wpaper:528&r=ecm
Keywords: Model selection, high dimensionality, principal components, non-linearity, Monte Carlos
JEL: C51
  • Modeling Data Revisions
Date: 2011-02-08
By: Juan Manuel Julio Román
URL: http://d.repec.org/n?u=RePEc:col:000094:007929&r=ecm
  • FaMIDAS: A Mixed Frequency Factor Model with MIDAS structure
Date: 2011-01
By: Cecilia Frale (MEF-Ministry of the Economy and Finance-Italy, Treasury Department)
Libero Monteforte (Bank of Italy and MEF-Ministry of the Economy and Finance-Italy, Treasury Department)
URL: http://d.repec.org/n?u=RePEc:bdi:wptemi:td_788_11&r=ecm
Keywords: mixed frequency models, dynamic factor models, MIDAS,forecasting.
JEL: E32
  • Some Remarks on Consistency and Strong Inconsistency of Bayesian Inference
Date: 2011-02-08
By: Kociecki, Andrzej
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:28731&r=ecm
Keywords: invariant models; coherence; strong inconsistency; groups
JEL: C11
  • Empirical Economic Model Discovery and Theory Evaluation
Date: 2011
By: David F. Hendry
URL: http://d.repec.org/n?u=RePEc:oxf:wpaper:529&r=ecm
Keywords: Empirical discovery, theory evaluation, model selection, Autometrics
JEL: B40
  • Plant-Level Productivity and Imputation of Missing Data in the Census of Manufactures
Date: 2011-01
By: T. Kirk White
Jerome P. Reiter
Amil Petrin
URL: http://d.repec.org/n?u=RePEc:cen:wpaper:11-02&r=ecm
  • Inference of Signs of Interaction Effects in Simultaneous Games with Incomplete Information, Second Version
Date: 2010-06-29
By: Aureo de Paula (Department of Economics, University of Pennsylvania)
Xun Tang (Department of Economics, University of Pennsylvania)
URL: http://d.repec.org/n?u=RePEc:pen:papers:11-003&r=ecm
Keywords: identification, inference, multiple equilibria, incomplete information games
JEL: C01
  • How wrong can you be? Implications of incorrect utility function specification for welfare measurement in choice experiments
Date: 2010-11
By: Hanley, Nick
Riera, Antoni
Torres, Cati
URL: http://d.repec.org/n?u=RePEc:stl:stledp:2010-12&r=ecm
Keywords: Monte Carlo analysis; choice experiments; efficiency; accuracy; welfare measurement; attributes; utility specification
  • Do Food Stamps Cause Obesity? A Generalised Bayesian Instrumental Variable Approach in the Presence of Heteroscedasticity
Date: 2011-02-08
By: Salois, Matthew
Balcombe, Kelvin
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:28745&r=ecm
Keywords: Bayesian; Food Stamps; Food Insecurity; Instrumental Variabls; Heteroscedasticity; Obesity.
JEL: I38
  • On multivariate control charts
Date: 2011-02-10
By: Frisén, Marianne (Statistical Research Unit, Department of Economics, School of Business, Economics and Law, Göteborg University)
URL: http://d.repec.org/n?u=RePEc:hhs:gunsru:2011_002&r=ecm
Keywords: Surveillance; monitoring; quality control; multivariate evaluation; sufficiency
JEL: C10
  • Persistence of regional unemployment : Application of a spatial filtering approach to local labour markets in Germany
Date: 2011-02-10
By: Patuelli, Roberto
Schanne, Norbert (Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany])
Griffith, Daniel A.
Nijkamp, Peter
URL: http://d.repec.org/n?u=RePEc:iab:iabdpa:201103&r=ecm
Keywords: Arbeitslosenquote, Persistenz, Schätzung, regionale Disparität
JEL: C31
  • Methods and evaluations for surveillance in industry, business, finance, and public health
Date: 2011-02-10
By: Frisén, Marianne (Statistical Research Unit, Department of Economics, School of Business, Economics and Law, Göteborg University)
URL: http://d.repec.org/n?u=RePEc:hhs:gunsru:2011_003&r=ecm
Keywords: expected delay; gradual change; likelihood ratio; monitoring; multivariate surveillance
JEL: C10
  • Spectral Analysis Informs the Proper Frequency in the Sampling of Financial Time Series Data
Date: 2011
By: Taufemback, Cleiton
Da Silva, Sergio
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:28720&r=ecm
Keywords: Econophysics; Spectral analysis; Aliasing; Sampling; Financial time series
JEL: C81
  • Statistical Inference for Time-changed Brownian Motion Credit Risk Models
Date: 2011-02
By: T. R. Hurd
Zhuowei Zhou
URL: http://d.repec.org/n?u=RePEc:arx:papers:1102.2412&r=ecm
  • A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market
Date: 2011-02
By: Michael C. M\ »unnix
Rudi Sch\ »afer
URL: http://d.repec.org/n?u=RePEc:arx:papers:1102.1099&r=ecm
  • The Factors of Growth of Small Family Businesses: A Robust Estimation of the Behavioral Consistency in the Panel Data Models
Date: 2011-02
By: Vladimír Benáček (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic)
Eva Michalíková (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic)
URL: http://d.repec.org/n?u=RePEc:fau:wpaper:wp2011_06&r=ecm
Keywords: Family business, robust estimator, LTS, fixed effects
JEL: C01
  • A Monte Carlo Study of Old and New Frontier Methods for Efficiency Measurement
Date: 2011-02
By: Krüger, Jens
URL: http://d.repec.org/n?u=RePEc:dar:ddpeco:48892&r=ecm
Keywords: Monte Carlo experiment, efficiency measurement, nonparametric stochastic methods
  • Towards Unrestricted Public Use Business Microdata: The Synthetic Longitudinal Business Database
Date: 2011-02
By: Satkartar K. Kinney
Jerome P. Reiter
Arnold P. Reznek
Javier Miranda
Ron S. Jarmin
John M. Abowd
URL: http://d.repec.org/n?u=RePEc:cen:wpaper:11-04&r=ecm
  • Estimation and evaluation of DSGE models: progress and challenges
Date: 2011
By: Frank Schorfheide
URL: http://d.repec.org/n?u=RePEc:fip:fedpwp:11-7&r=ecm
Keywords: Econometric models ; Stochastic analysis
  • Mathematical Models and Economic Forecasting: Some Uses and Mis-Uses of Mathematicsin Economics
Date: 2011
By: David F. Hendry
URL: http://d.repec.org/n?u=RePEc:oxf:wpaper:530&r=ecm
Keywords: Economic forecasting, structural breaks, model selections, expectations, impulse-indicator saturation, mathematical analyses
JEL: C02
  • Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
Date: 2011-02
By: Duan Wang
Boris Podobnik
Davor Horvati\’c
H. Eugene Stanley
URL: http://d.repec.org/n?u=RePEc:arx:papers:1102.2240&r=ecm

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