Econométrie: working papers (RePEc, 24/08/2011)

Source : NEP (New Economics Papers) | RePEc

  1. A Simple Nonparametric Approach to Estimating the Distribution of Random Coefficients in Structural Models

Date:

2011-08

By:

Jeremy T. Fox
Kyoo il Kim

URL:

http://d.repec.org/n?u=RePEc:nbr:nberwo:17283&r=ecm
 

JEL:

C14
  1. Distributions of the Maximum Likelihood and Minimum Contrast Estimators Associated with the Fractional Ornstein-Uhlenbeck Process

Date:

2011-08

By:

Tanaka, Katsuto

URL:

http://d.repec.org/n?u=RePEc:hit:econdp:2011-07&r=ecm
 
  1. Almost Unbiased Estimation in Simultaneous Equations Models with Strong and / or Weak Instruments

Date:

2011-08

By:

Iglesias, Emma M.
Phillips, Garry D.A. (Cardiff Business School)

URL:

http://d.repec.org/n?u=RePEc:cdf:wpaper:2011/19&r=ecm
 

Keywords:

Combined <em>k</em>-class estimators; Bias correction; Weak instruments; Endogenous and exogenous parameter estimators; Permanent Income Hypothesis

JEL:

C12
  1. Out-of-sample forecast tests robust to the choice of window size

Date:

2011

By:

Barbara Rossi
Atsushi Inoue

URL:

http://d.repec.org/n?u=RePEc:fip:fedpwp:11-31&r=ecm
 

Keywords:

Forecasting
  1. Estimation in Functional Regression for General Exponential Families

Date:

2011-08

By:

Winston Wei Dou
David Pollard
Harrison H. Zhou

URL:

http://d.repec.org/n?u=RePEc:arx:papers:1108.3552&r=ecm
 
  1. Testing for Heterogeneous Treatment Effects in Experimental Data: False Discovery Risks and Correction Procedures

Date:

2011-07

By:

Fink, Günther
McConnell, Margaret
Vollmer, Sebastian

URL:

http://d.repec.org/n?u=RePEc:han:dpaper:dp-477&r=ecm
 
  1. The Robustness of the Higher-Order 2SLS and General k-Class Bias Approximations to Non-Normal Disturbances

Date:

2011-08

By:

Phillips, Garry D.A. (Cardiff Business School)
Liu-Evans, Gareth

URL:

http://d.repec.org/n?u=RePEc:cdf:wpaper:2011/20&r=ecm
 
  1. Modelling trades-through in a limited order book using Hawkes processes

Date:

2011

By:

Toke, Ioane Muni
Pomponio, Fabrizio

URL:

http://d.repec.org/n?u=RePEc:zbw:ifwedp:201132&r=ecm
 

Keywords:

Hawkes processes,limit order book,trades-through,highfrequency trading,microstructure

JEL:

C32
  1. One For All or All For One? Using Multiple-listing Information in Event Studies

Date:

2011-08-14

By:

Glenn Boyle (University of Canterbury)
Lulu Gu
W. Robert Reed (University of Canterbury)

URL:

http://d.repec.org/n?u=RePEc:cbt:econwp:11/30&r=ecm
 

Keywords:

event study; multiple listings; mergers and acquisitions; China

JEL:

C12
  1. Distributions of Quadratic Functionals of the Fractional Brownian Motion Based on a Martingale Approximation

Date:

2011-06

By:

Tanaka, Katsuto

URL:

http://d.repec.org/n?u=RePEc:hit:econdp:2011-06&r=ecm
 
  1. Time-Bridge Estimators of Integrated Variance

Date:

2011-08

By:

A. Saichev
D. Sornette

URL:

http://d.repec.org/n?u=RePEc:arx:papers:1108.2611&r=ecm
 
  1. The Exact Law of Large Numbers for Independent Random Matching

Date:

2011-08

By:

Darrell Duffie
Yeneng Sun

URL:

http://d.repec.org/n?u=RePEc:nbr:nberwo:17280&r=ecm
 

JEL:

C02

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