Econométrie: working papers (RePEc, 07/03/2011)

Source : NEP (New Economics Papers) | RePEc

  • Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models
Date: 2011-02-01
By: Jean-Marie Dufour
Tarek Jouini
URL: http://d.repec.org/n?u=RePEc:cir:cirwor:2011s-25&r=ecm
Keywords: echelon form, linear estimation, generalized least squares, GLS; two-step linear estimation, three-step linear estimation, asymptotically efficient, maximum likelihood, ML, stationary process, invertible process, Kronecker indices, simulation,
JEL: C13
  • Robust Sign-Based and Hodges-Lehmann Estimators in Linear Median Regressions with Heterogenous Serially Dependent Errors
Date: 2011-02-01
By: Elise Coudin
Jean-Marie Dufour
URL: http://d.repec.org/n?u=RePEc:cir:cirwor:2011s-24&r=ecm
Keywords: sign test, median regression, Hodges-Lehmann estimator, p-value; least absolute deviations, quantile regression; simultaneous inference, Monte Carlo tests, projection methods, nonnormality, heteroskedasticity; serial dependence; GARCH; stochastic volatility.,
JEL: C13
  • Depth-Based Runs Tests for Multivariate Central Symmetry
Date: 2011-02
By: Christophe Ley
Davy Paindaveine
URL: http://d.repec.org/n?u=RePEc:eca:wpaper:2013/76999&r=ecm
Keywords: Anti-ranks; Central symmetry testing; statistical depth; Multivariate runs; Spatial signs
  • Semiparametric Innovation-Based Tests of Orthogonality and Causality Between Two Infinite-Order Cointegrated Ceries with Application to Canada/US Monetary Interactions
Date: 2011-02-01
By: Chafik Bouhaddioui
Jean-Marie Dufour
URL: http://d.repec.org/n?u=RePEc:cir:cirwor:2011s-23&r=ecm
Keywords: Infinite-order cointegrated vector autoregressive process; independence; causality; residual cross-correlation; consistency; asymptotic power,
  • Multivariate High-Frequency-Based Volatility (HEAVY) Models
Date: 2011
By: Diaa Noureldin
Neil Shephard
Kevin Sheppard
URL: http://d.repec.org/n?u=RePEc:oxf:wpaper:533&r=ecm
Keywords: HEAVY model, GARCH, multivariate volatility, realized covariance, covariance targeting, multi-step forecasting, Wishart distribution
JEL: C32
  • Large Deviations of Generalized Method of Moments and Empirical  Likelihood Estimators
Date: 2011-02
By: Taisuke Otsu (Cowles Foundation, Yale University)
URL: http://d.repec.org/n?u=RePEc:cwl:cwldpp:1783&r=ecm
Keywords: Generalized method of moments, Empirical likelihood, Large deviations
JEL: C13
  • Moderate Deviations of Generalized Method of Moments and  Empirical Likelihood Estimators
Date: 2011-02
By: Taisuke Otsu (Cowles Foundation, Yale University)
URL: http://d.repec.org/n?u=RePEc:cwl:cwldpp:1785&r=ecm
Keywords: Generalized method of moments, Empirical likelihood, Moderate deviations, Large deviations
JEL: C13
  • An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices
Date: 2011-02-01
By: Marie-Claude Beaulieu
Jean-Marie Dufour
Lynda Khalaf
Maral Kichian
URL: http://d.repec.org/n?u=RePEc:cir:cirwor:2011s-22&r=ecm
Keywords: structural change, time-varying parameter, energy prices, coal, gas, crude oil, unidentified nuisance parameter, exact test, Monte Carlo test, Kalman filter, normality test,
JEL: C22
  • Semiparametrically Efficient Inference Based on Signed Ranks in Symmetric Independent Component Models
Date: 2011-02
By: Paulina Ilmonen
Davy Paindaveine
URL: http://d.repec.org/n?u=RePEc:eca:wpaper:2013/76045&r=ecm
Keywords: Independent component analysis; Invariance principle; Local asymptotic normality; Rank-based inference; Semiparametric efficiency; Signed ranks
  • Modelling Pricing Behavior with Weak AâPriori Information: Exploratory Approach
Date: 2010-10
By: Russo, Carlo
Sabbatini, Massimo
URL: http://d.repec.org/n?u=RePEc:ags:iefi10:100478&r=ecm
Keywords: Agribusiness, Agricultural and Food Policy, Farm Management, Food Consumption/Nutrition/Food Safety, Research Methods/ Statistical Methods,
  • The fine structure of spectral properties for random correlation matrices: an application to financial markets
Date: 2011-02-19
By: Livan, Giacomo
Alfarano, Simone
Scalas, Enrico
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:28964&r=ecm
Keywords: random matrix theroy; financial econometrics; correlation matrix
JEL: C51
  • Minimax Optimality of CUSUM for an Autoregressive Model
Date: 2011-02-10
By: Knoth, Sven (Institute of Mathematics and Statistics, Helmut Schmidt University Hamburg)
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_004&r=ecm
Keywords: Autoregressive; Change point; Monitoring; Online detection
JEL: C10
  • Forecasting breaks and forecasting during breaks
Date: 2011
By: Jennifer L. Castle
Nicholas W.P. Fawcett
David F. Hendry
URL: http://d.repec.org/n?u=RePEc:oxf:wpaper:535&r=ecm
Keywords: Economic forecasting, structural breaks, information sets, non-linearity
JEL: C1
  • Testing for Sufficient Information in Structural VARs
Date: 2011-02-22
By: Mario Forni
Luca Gambetti
URL: http://d.repec.org/n?u=RePEc:aub:autbar:863.11&r=ecm
Keywords: Structural VAR, non-fundamentalness, information, FAVAR models, technology shocks.
JEL: C32
  • Phase Space Reconstruction from Time Series Data: Where History Meets Theory
Date: 2010-10
By: Huffaker, Ray
URL: http://d.repec.org/n?u=RePEc:ags:iefi10:100455&r=ecm
Keywords: Agribusiness, Agricultural and Food Policy, Farm Management, Food Consumption/Nutrition/Food Safety, Research Methods/ Statistical Methods,
  • Minding impacting events in a model of stochastic variance
Date: 2011-02
By: Silvio M. Duarte Queiros
Evaldo M. F. Curado
Fernando D. Nobre
URL: http://d.repec.org/n?u=RePEc:arx:papers:1102.4819&r=ecm
  • The canonical econophysics approach to the flash crash of May 6, 2010
Date: 2011
By: Mazzeu, Joao
Otuki, Thiago
Da Silva, Sergio
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:29138&r=ecm
Keywords: flash crash; econophysics; stable distribution; extreme events
JEL: C46
  • The Inference Fallacy From Bernoulli to Kolmogorov
Date: 2011-02
By: Xavier De Scheemaekere
Ariane Szafarz
URL: http://d.repec.org/n?u=RePEc:sol:wpaper:2013/77259&r=ecm
Keywords: Probability; Bernoulli; Kolmogorov; Statistics; Law of Large Numbers
JEL: N01
  • Classifying life course trajectories: A comparison of latent class and sequence analysis
Date: 2011-02
By: Nicola Barban
Francesco Billari
URL: http://d.repec.org/n?u=RePEc:don:donwpa:041&r=ecm
Keywords: sequence analysis; latent class analysis; life course analysis; categorical time series
  • Inflation persistence and the rationality of inflation expectations
Date: 2010-12
By: Brissimis, Sophocles
Migiakis, Petros
URL: http://d.repec.org/n?u=RePEc:pra:mprapa:29052&r=ecm
Keywords: Inflation; rational expectations; high persistence
JEL: C32
  • No News in Business Cycles
Date: 2011-02-21
By: Mario Forni
Luca Gambetti
Luca Sala
URL: http://d.repec.org/n?u=RePEc:aub:autbar:862.11&r=ecm
Keywords: structural factor model, news shocks, invertibility, fundamentalness.
JEL: C32

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