Econométrie: working papers (RePEc, 02/03/2011)

Source : NEP (New Economics Papers) | RePEc

  • Kernel-Smoothed Conditional Quantiles of Correlated Bivariate Discrete Data
Date: 2011-01-17
By: Jan G. de Gooijer (University of Amsterdam)
Ao Yuan (Howard University, Washington)
Keywords: Binning; Bootstrap; Confidence interval; Jittering; Nonparametric
JEL: C14
  • Nonlinear Forecasting with Many Predictors using Kernel Ridge Regression
Date: 2011-01-11
By: Peter Exterkate (Erasmus University Rotterdam)
Patrick J.F. Groenen (Erasmus University Rotterdam)
Christiaan Heij (Erasmus University Rotterdam)
Dick van Dijk (Erasmus University Rotterdam)
Keywords: High dimensionality; nonlinear forecasting; ridge regression; kernel methods
JEL: C53
  • Semiparametric Estimation of Locally Stationary Diffusion Models
Date: 2010-08
By: Bonsoo Koo
Oliver Linton
Keywords: diffusion processes, local stationarity, term structure dynamics, density matching, option pricing.
JEL: C14
  • Biased-Reduced Maximum Likelihood Estimation for the Zero-Inflated Poisson Distribution
Date: 2011-02-15
By: Jacob Schwartz
David E. Giles (Department of Economics, University of Victoria)
Keywords: Zero-inflated Poisson, bias reduction, maximum likelihood estimation, bootstrap
JEL: C13
  • An Alternative Bayesian Approach to Structural Breaks in Time Series Models
Date: 2011-02-08
By: Sjoerd van den Hauwe (Erasmus University Rotterdam)
Richard Paap (Erasmus University Rotterdam)
Dick J.C. van Dijk (Erasmus University Rotterdam)
Keywords: Structural breaks; Bayesian analysis; forecasting; MCMC methods; nonlinear time series
JEL: C11
  • Nonparametric Quantile Regression with Heavy-Tailed and Strongly Dependent Errors
Date: 2010-12
By: Toshio Honda
Keywords: conditional quantile, random design, check function, local linear regression, stable distribution, linear process, long-range dependence, martingale central limit theorem
  • Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data
Date: 2011-01-06
By: Monica Billio (University Ca’Foscari di Venezia)
Roberto Casarin (University Ca’Foscari di Venezia)
Francesco Ravazzolo (Norges Bank)
Herman K. van Dijk (Erasmus University Rotterdam)
Keywords: Density Forecast Combination; Survey Forecast; Bayesian Filtering; Sequential Monte Carlo
JEL: C11
  • An instrumental variable model of multiple discrete choice
Date: 2011-02
By: Andrew Chesher (Institute for Fiscal Studies and University College London)
Adam Rosen (Institute for Fiscal Studies and University College London)
Konrad Smolinski (Institute for Fiscal Studies)
  • A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Date: 2010-03-16
By: Drew Creal (University of Chicago, Booth School of Business)
Siem Jan Koopman (VU University Amsterdam)
André Lucas (VU University Amsterdam)
Keywords: dynamic dependence; multivariate Student’s t distribution; copula
JEL: C10
  • A KPSS better than KPSS. Rank tests for short memory stationarity
Date: 2010-10
By: Matteo Pelagatti (Department of Statistics, Università degli Studi di Milano-Bicocca)
Pranab Sen (Department of Statistics and Operations Research, University of North Carolina at Chapel Hill)
Keywords: Stationarity test, Unit roots, Robustness, Rank statistics, Theil-Sen estimator, Asymptotic eciency
JEL: C12
  • Semiparametric Estimation of Markov Decision Processeswith Continuous State Space
Date: 2010-08
By: Oliver Linton
Sorawoot Srisuma
Keywords: Discrete Markov Decision Models, Kernel Smoothing, Markovian Games, Semi-parametric Estimation, Well-Posed Inverse Problem.D
  • A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods
Date: 2010-06-21
By: David Ardia (University of Fribourg, aeris CAPITAL AG, Switzerland)
Nalan Basturk (Erasmus University Rotterdam)
Lennart Hoogerheide (Erasmus University Rotterdam)
Herman K. van Dijk (Erasmus University Rotterdam)
Keywords: marginal likelihood; Bayes factor; importance sampling; bridge sampling; adaptive mixture of Student-t distributions
JEL: C11
  • Some Exact Tests for Manifest Properties of Latent Trait Models
Date: 2010-04-26
By: Jan G. de Gooijer (University of Amsterdam, the Netherlands)
Ao Yuan (Howard University, Washington DC, USA)
Keywords: Conditional distribution; Exact test; Monte Carlo; Markov chain Monte Carlo
JEL: C12
  • Loch Linear Fitting under Near Epoch Dependence: Uniform Consistency with Convergence Rate
Date: 2010-08
By: Degui Li
Oliver Linton
Zudi Lu
Keywords: local linear fitting, near epoch dependence, convergence rates, uniform consistency.
JEL: C13
  • A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation
Date: 2011-01-06
By: Lennart Hoogerheide (Erasmus University Rotterdam)
Anne Opschoor (Erasmus University Rotterdam)
Herman K. van Dijk (Erasmus University Rotterdam)
Keywords: mixture of Student-t distributions; importance sampling; Kullback-Leibler divergence; Expectation Maximization; Metropolis-Hastings algorithm; predictive likelihoods; mixture GARCH models; Value at Risk
JEL: C11
  • A dynamic hybrid model based on wavelets and fuzzy regression for time series estimation
Date: 2011-02
By: Olfa Zaafrane
Anouar Ben Mabrouk
  • On the Univariate Representation of Multivariate Volatility Models with Common Factors
Date: 2011
By: Hecq Alain
Laurent Sébastien
Palm Franz (METEOR)
Keywords: financial economics and financial management ;
  • Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production
Date: 2010-02-03
By: Charles S. Bos (VU University Amsterdam)
Siem Jan Koopman (VU University Amsterdam)
Keywords: Common stochastic variance; Kalman filter; State space model; unobserved components time series model
JEL: C22
  • Estimation of Finite Sequential Games
Date: 2010-11
By: Shiko Maruyama (School of Economics, University of New South Wales)
Keywords: Inference In Discrete Games; Sequential Games; Monte Carlo Integration; GHK Simulator; Subgame Perfection; Perfect Information
JEL: C35
  • Quantile Uncorrelation and Instrumental Regression
Date: 2010-09
By: Tatiana Komorova
Thomas Severini
Elie Tamer
  • Aggregation in Large Dynamic Panels
Date: 2011-02
By: Pesaran, Hashem (University of Cambridge)
Chudik, Alexander (University of Cambridge)
Keywords: aggregation, large dynamic panels, long memory, weak and strong cross section dependence, VAR models, impulse responses, factor models, inflation persistence
JEL: C43
  • Are Panel Unit Root Tests Useful for Real-Time Data?
Date: 2011
By: Gengenbach Christian
Hecq Alain
Urbain Jean-Pierre (METEOR)
Keywords: macroeconomics ;
  • Coherent mortality forecasting: the product-ratio method with functional time series models
Date: 2011-02-04
By: Rob J Hyndman
Heather Booth
Farah Yasmeen
Keywords: Mortality forecasting, coherent forecasts, functional data, Lee-Carter method, life expectancy, mortality, age pattern of mortality, sex-ratio
JEL: J11
  • Modeling Trigonometric Seasonal Components for Monthly Economic Time Series
Date: 2010-02-04
By: Irma Hindrayanto (VU University Amsterdam)
John A.D. Aston (University of Warwick, UK)
Siem Jan Koopman (VU University Amsterdam)
Marius Ooms (VU University Amsterdam)

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