Econométrie: working papers (RePEc, 30/05/2011)

Source : NEP (New Economics Papers) | RePEc

  1. Empirical Likelihood for Regression Discontinuity Design

Date:

2011-05

By:

Taisuke Otsu (Cowles Foundation, Yale University)
Ke-Li Xu (Dept. of Economics, Texas A&M University and University of Alberta School of Business)

URL:

http://d.repec.org/n?u=RePEc:cwl:cwldpp:1799&r=ecm

Keywords:

Empirical likelihood, Nonparametric methods, Regression discontinuity design, Treatment effect

JEL:

C12
  1. Statistical Inference in Possibly Integrated/Cointegrated Vector Autoregressions: Application to Testing for Structural Changes

Date:

2011-04

By:

Eiji Kurozumi
Khashbaatar Dashtseren

URL:

http://d.repec.org/n?u=RePEc:hst:ghsdps:gd11-187&r=ecm

Keywords:

multiple breaks, stationary, unit root, cointegration

JEL:

C12
  1. When Long Memory Meets the Kalman Filter: A Comparative Study

Date:

2011-05-02

By:

Stefano Grassi (Aarhus University and CREATES)
Paolo Santucci de Magistris (Aarhus University and CREATES)

URL:

http://d.repec.org/n?u=RePEc:aah:create:2011-14&r=ecm

Keywords:

ARFIMA models, Kalman Filter, Missing Observations, Measurement Error, Level Shifts.

JEL:

C10
  1. Parameter Identification in a Estimated New Keynesian Open Economy Model

Date:

2011-04-01

By:

Adolfson, Malin (Monetary Policy Department, Central Bank of Sweden)
Lindé, Jesper (Division of International Finance)

URL:

http://d.repec.org/n?u=RePEc:hhs:rbnkwp:0251&r=ecm

Keywords:

Identification; Bayesian estimation; Monte-Carlo methods; Maximum Likelihood estimation; New-Keynesian DSGE Model; Open economy.

JEL:

C13
  1. Inference and decision for set identified parameters using posterior lower and upper probabilities

Date:

2011-05

By:

Toru Kitagawa (Institute for Fiscal Studies and UCL)

URL:

http://d.repec.org/n?u=RePEc:ifs:cemmap:16/11&r=ecm
  1. A Robust Study of Regression Methods for Crop Yield Data

Date:

2011-05

By:

Zhu, Ying
Ghosh, Sujit K.

URL:

http://d.repec.org/n?u=RePEc:ags:aaea11:103426&r=ecm

Keywords:

Research Methods/ Statistical Methods, Risk and Uncertainty,
  1. High-dimensional instrumental variables regression and confidence sets

Date:

2011-05-09

By:

Eric Gautier (CREST – Centre de Recherche en Économie et Statistique – INSEE – École Nationale de la Statistique et de l’Administration Économique, ENSAE – École Nationale de la Statistique et de l’Administration Économique – ENSAE ParisTech)
Alexandre Tsybakov (CREST – Centre de Recherche en Économie et Statistique – INSEE – École Nationale de la Statistique et de l’Administration Économique, LPMA – Laboratoire de Probabilités et Modèles Aléatoires – CNRS : UMR7599 – Université Pierre et Marie Curie – Paris VI – Université Paris-Diderot – Paris VII)

URL:

http://d.repec.org/n?u=RePEc:hal:wpaper:hal-00591732&r=ecm

Keywords:

Instrumental variables ; Sparsity ; STIV estimator ; Endogeneity ; High-dimensional regression ; Conic programming ; Optimal instruments ; Hereroscedasticity ; Confidence intervals ; Non-Gaussian errors ; Variable selection ; Unknown variance ; Sign consistency
  1. Bayesian estimation of non-stationary Markov models combining micro and macro data

Date:

2011-07-24

By:

Storm, Hugo
Heckelei, Thomas

URL:

http://d.repec.org/n?u=RePEc:ags:aaea11:103645&r=ecm

Keywords:

Bayesian estimation, Markov transitions, prior information, multinomial logit, ordered multinomial logit, Agricultural and Food Policy, Research Methods/ Statistical Methods,
  1. Testing multivariate economic restrictions using quantiles: the example of Slutsky negative semidefiniteness

Date:

2011-05

By:

Holger Dette
Stefan Hoderlein (Institute for Fiscal Studies and Boston College)
Natalie Neumeyer

URL:

http://d.repec.org/n?u=RePEc:ifs:cemmap:14/11&r=ecm
  1. Estimating and Testing Non-Linear Models Using Instrumental Variables

Date:

2011-05

By:

Lance Lochner
Enrico Moretti

URL:

http://d.repec.org/n?u=RePEc:nbr:nberwo:17039&r=ecm

JEL:

C01
  1. Bias-correction in vector autoregressive models: A simulation study

Date:

2011-05-13

By:

Tom Engsted (Aarhus University and CREATES)
Thomas Q. Pedersen (Aarhus University and CREATES)

URL:

http://d.repec.org/n?u=RePEc:aah:create:2011-18&r=ecm

Keywords:

Bias reduction, VAR model, analytical bias formula, bootstrap, iteration, Yule-Walker, non-stationary system, skewed and fat-tailed data.

JEL:

C13
  1. Finite Mixture for Panels with Fixed Effects

Date:

2011-04

By:

Deb, P;
Trivedi, P;

URL:

http://d.repec.org/n?u=RePEc:yor:hectdg:11/03&r=ecm
  1. Modeling and forecasting realized range volatility

Date:

2011-02

By:

Massimiliano Caporin (University of Padova)
Gabriel G. Velo (University of Padova)

URL:

http://d.repec.org/n?u=RePEc:pad:wpaper:0128&r=ecm

Keywords:

Statistical analysis of financial data, Econometrics, Forecasting methods, Time series analysis, Realized Range Volatility, Realized Volatility, Long-memory, Volatility forecasting

JEL:

C22
  1. Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations

Date:

2011

By:

Cristina Amado (Universidade do Minho – NIPE)
Timo Teräsvirta (CREATES, School of Economics and Management, Aarhus University)

URL:

http://d.repec.org/n?u=RePEc:nip:nipewp:15/2011&r=ecm

Keywords:

Multivariate GARCH model; Time-varying unconditional variance; Lagrange multiplier test; Modelling cycle; Nonlinear time series.

JEL:

C12
  1. Copula-Based Nonlinear Models of Spatial Market Linkages

Date:

2011-05-03

By:

Goodwin, Barry K.
Holt, Matthew T.
Prestemon, Jeffrey P.
Onel, Gulcan

URL:

http://d.repec.org/n?u=RePEc:ags:aaea11:103715&r=ecm

Keywords:

Spatial Market Linkages, Copula Models, State-dependence, Forest Products, Research Methods/ Statistical Methods,
  1. Some econometric results for the Blanchard-Watson bubble model

Date:

2011-05-09

By:

Søren Johansen (University of Copenhagen and CREATES)
Theis Lange (University of Copenhagen and CREATES)

URL:

http://d.repec.org/n?u=RePEc:aah:create:2011-17&r=ecm

Keywords:

Time series, explosive processes, bubble models.

JEL:

C32
  1. Quantile regression with aggregated data

Date:

2011-05-13

By:

Nicoletti, Cheti
Best, Nicky G.

URL:

http://d.repec.org/n?u=RePEc:ese:iserwp:2011-12&r=ecm
  1. Calibration of shrinkage estimators for portfolio optimization

Date:

2011-05

By:

Victor DeMiguel
Alberto Martín Utrera
Francisco J. Nogales

URL:

http://d.repec.org/n?u=RePEc:cte:wsrepe:ws111510&r=ecm

Keywords:

Portfolio choice, Estimation error, Shrinkage estimators, Smoothed bootstrap
  1. Sample Size and Robustness of Inferences from Logistic Regression in the Presence of Nonlinearity and Multicollinearity

Date:

2011

By:

Bergtold, Jason S.
Yeager, Elizabeth A.
Featherstone, Allen

URL:

http://d.repec.org/n?u=RePEc:ags:aaea11:103771&r=ecm

Keywords:

Logistic Regression Model, Multicollinearity, Nonlinearity, Robustness, Small Sample Bias, Research Methods/ Statistical Methods,
  1. On the role of time in nonseparable panel data models

Date:

2011-05

By:

Stefan Hoderlein (Institute for Fiscal Studies and Boston College)
Yuya Sasaki

URL:

http://d.repec.org/n?u=RePEc:ifs:cemmap:15/11&r=ecm
  1. Why are Trend Cycle Decompositions of Alternative Models So Different?

Date:

2011-03

By:

Shigeru Iwata
Han Li

URL:

http://d.repec.org/n?u=RePEc:hst:ghsdps:gd10-171&r=ecm

Keywords:

Beveridge-Nelson decomposition, Unobserved Component Models

JEL:

E44
  1. Forecasting aggregate and disaggregates with common features

Date:

2011-04

By:

Antoni, Espasa
Iván, Mayo

URL:

http://d.repec.org/n?u=RePEc:cte:wsrepe:ws110805&r=ecm

Keywords:

Common trends, Common serial correlation, Inflation, Euro Area, UK, US, Cointegration, Single-equation econometric models
  1. Examples of L^2-Complete and Boundedly-Complete Distributions

Date:

2011-05

By:

Donald W.K. Andrews (Cowles Foundation, Yale University)

URL:

http://d.repec.org/n?u=RePEc:cwl:cwldpp:1801&r=ecm

Keywords:

C14
  1. Efficient Estimation of Copula Mixture Model: An Application to the Rating of Crop Revenue Insurance

Date:

2011

By:

Ghosh, Somali
Woodard, Joshua D.
Vedenov, Dmitry V.

URL:

http://d.repec.org/n?u=RePEc:ags:aaea11:103738&r=ecm

Keywords:

Copulas, Crop Insurance, Cross-Validation, Empirical distribution, GRIP, Indemnities, Out-Of-Sample Log-Likelihood, Agricultural Finance, Q14,
  1. Spatio-Temporal Modeling of Southern Pine Beetle Outbreaks with a Block Bootstrapping Approach

Date:

2011

By:

Chen, Xuan
Goodwin, Barry K.

URL:

http://d.repec.org/n?u=RePEc:ags:aaea11:103668&r=ecm

Keywords:

Southern Pinebeetle, Block Bootstrapping, Risk and Uncertainty,
  1. Measurement of Yield distribution: A Time-Varying Distribution Model

Date:

2011

By:

Tsung Yu, Yang

URL:

http://d.repec.org/n?u=RePEc:ags:aaea11:103422&r=ecm

Keywords:

Time-Varying Distribution, Mixture Distribution, Crop Insurance, Agricultural Finance, Crop Production/Industries, Research Methods/ Statistical Methods, Risk and Uncertainty,
  1. Determining the change in welfare estimates from introducing measurement error in non-linear choice models

Date:

2011-05-02

By:

Gibson, Fiona L.
Burton, Michael P.

URL:

http://d.repec.org/n?u=RePEc:ags:uwauwp:103428&r=ecm

Keywords:

contingent valuation, attitudes, structural equation modeling, recycled water, Environmental Economics and Policy, Research Methods/ Statistical Methods, Q51, Q53, C13,
  1. Structural stochastic volatility in asset pricing dynamics: Estimation and model contest

Date:

2011

By:

Franke, Reiner
Westerhoff, Frank

URL:

http://d.repec.org/n?u=RePEc:zbw:bamber:78&r=ecm

Keywords:

Method of simulated moments,moment coverage ratio,herding,discrete choice approach,transition probability approach

JEL:

D84
  1. Characterizing Spatial Pattern in Ecosystem Service Values when Distance Decay Doesnât Apply: Choice Experiments and Local Indicators of Spatial Association

Date:

2011

By:

Johnston, Robert J.
Ramachandran, Mahesh
Schultz, Eric T.
Segerson, Kathleen
Besedin, Elena Y.

URL:

http://d.repec.org/n?u=RePEc:ags:aaea11:103374&r=ecm

Keywords:

Willingness to Pay, Hot Spot, Stated Preference, Ecosystem Service, Valuation, Environmental Economics and Policy, Research Methods/ Statistical Methods,
  1. Average elasticity in the framework of the fixed effects logit model

Date:

2011-05

By:

Yoshitsugu Kitazawa (Faculty of Economics, Kyushu Sangyo University)

URL:

http://d.repec.org/n?u=RePEc:kyu:dpaper:49&r=ecm

Keywords:

average elasticity; fixed effects logit model

JEL:

C23
  1. Limiting Distribution of the Score Statistic under Moderate Deviation from a Unit Root in MA(1)

Date:

2011-02

By:

Ryota Yabe

URL:

http://d.repec.org/n?u=RePEc:hst:ghsdps:gd10-170&r=ecm
  1. What you don’t see can’t hurt you? Panel data analysis and the dynamics of unobservable factors

Date:

2011-05-14

By:

Hernandez, Monica
Pudney, Stephen

URL:

http://d.repec.org/n?u=RePEc:ese:iserwp:2011-13&r=ecm
  1. The Continuous Wavelet Transform: A Primer

Date:

2011

By:

Luís Francisco Aguiar (Universidade do Minho – NIPE)
Maria Joana Soares (Universidade do Minho – Departamento de Matemática)

URL:

http://d.repec.org/n?u=RePEc:nip:nipewp:16/2011&r=ecm

Keywords:

Continuous Wavelet Transform, Cross-Wavelet Transform, Wavelet Coherency, Partial Wavelet Coherency, Multiple Wavelet Coherency, Wavelet Phase-Difference; Economic fluctuations
  1. First in Class? The Performance of Latent Class Model

Date:

2011

By:

Chen, Min
Lupi, Frank

URL:

http://d.repec.org/n?u=RePEc:ags:aaea11:103449&r=ecm

Keywords:

Monte Carlo Simulations, Latent Class Model, Environmental Economics and Policy,

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