Econométrie: working papers (RePEc, 02/12/2011)

Source : NEP (New Economics Papers) | RePEc

  • The Hodrick-Prescott (HP) Filter as a Bayesian Regression Model
    Date: 2011-11
    By: Wolfgang Polasek (Institute for Advanced Studies, Vienna, Austria; University of Porto, Porto, Portugal)
    URL: http://d.repec.org/n?u=RePEc:rim:rimwps:46_11&r=ecm
    Keywords: Hodrick-Prescott (HP) smoothers, model selection by marginal likelihoods, multi-normal-gamma distribution, Spatial sales growth data, Bayesian econometrics
    JEL: C11
  • The Extended Hodrick-Prescott (HP) Filter for Spatial Regression Smoothing
    Date: 2011-11
    By: Wolfgang Polasek (Institute for Advanced Studies, Vienna, Austria; University of Porto, Porto, Portugal)
    URL: http://d.repec.org/n?u=RePEc:rim:rimwps:45_11&r=ecm
    Keywords: Hodrick-Prescott (HP) smoothers, smoothed square loss function, spatial smoothing, smoothness prior, Bayesian econometrics
    JEL: C11
  • Semiparametric transformation model with endogeneity: a control function approach
    Date: 2011-05-13
    By: Van Keilegom, Ingrid
    Vanhems, Anne
    URL: http://d.repec.org/n?u=RePEc:tse:wpaper:24640&r=ecm
    Keywords: Additive models; Control function; Endogeneity; Instrumental variable
  • Tests for m-dependence Based on Sample Splitting Methods
    Date: 2011-08
    By: Seongman Moon (Universidad Carlos III de Madrid)
    Carlos Velasco (Universidad Carlos III de Madrid)
    URL: http://d.repec.org/n?u=RePEc:sgo:wpaper:1108&r=ecm
    Keywords: m-dependence, sample splitting, pooled method,Wald method, minimum/maximum/median method, expectations hypothesis.
    JEL: C14
  • On the Properties of Regression Tests of Asset Return Predictability
    Date: 2011-08
    By: Seongman Moon (Universidad Carlos III de Madrid)
    Carlos Velasco (Universidad Carlos III de Madrid)
    URL: http://d.repec.org/n?u=RePEc:sgo:wpaper:1111&r=ecm
    Keywords: present value model, predictive regression, local-to-unity assumption, conditional test, Q-test, t-test.
    JEL: C12
  • Asymptotic theory for iterated one-step Huber-skip estimators
    Date: 2011-11-16
    By: Søren Johansen (University of Copenhagen and CREATES)
    Bent Nielsen (Department of Economics, University of Oxford)
    URL: http://d.repec.org/n?u=RePEc:aah:create:2011-40&r=ecm
    Keywords: Huber-skip, iteration, one-step M-estimators, unit roots.
    JEL: C32
  • Global Bahadur representation for nonparametric censored regression quantiles and its applications
    Date: 2011-11
    By: Efang Kong
    Oliver Linton (Institute for Fiscal Studies and Cambridge University)
    Yingcun Xia
    URL: http://d.repec.org/n?u=RePEc:ifs:cemmap:33/11&r=ecm
  • Bias Reduction for the Maximum Likelihood Estimator of the Parameters of the Generalized Rayleigh Family of Distributions
    Date: 2011-11-17
    By: David E. Giles (Department of Economics, University of Victoria)
    Xiao Ling
    URL: http://d.repec.org/n?u=RePEc:vic:vicewp:1111&r=ecm
    Keywords: Generalized Rayleigh distribution; maximum likelihood; bias; mean squared error; bias correction
    JEL: C13
  • Estimating Correlated Jumps and Stochastic Volatilities
    Date: 2011-11
    By: Jiří Witzany (University of Economics, Prague, Czech Republic)
    URL: http://d.repec.org/n?u=RePEc:fau:wpaper:wp2011_35&r=ecm
    Keywords: jump-diffusion, stochastic volatility, MCMC, Value at Risk, Monte Carlo
    JEL: C11
  • Predicting Recessions: A New Approach For Identifying Leading Indicators and Forecast Combinations
    Date: 2011-10-13
    By: Turgut Kisinbay
    Chikako Baba
    URL: http://d.repec.org/n?u=RePEc:imf:imfwpa:11/235&r=ecm
    Keywords: Business cycles , Economic forecasting , Economic indicators , Economic recession , Forecasting models , United States ,
  • Testing for Collusion in Asymmetric First-Price Auctions
    Date: 2011-11
    By: Gaurab Aryal
    Maria F. Gabrielli
    URL: http://d.repec.org/n?u=RePEc:acb:cbeeco:2011-564&r=ecm
    JEL: C1
  • Mixed fractional Brownian motion, short and long-term Dependence and economic conditions: the case of the S&P-500 Index
    Date: 2011-10-20
    By: Dominique, C-René
    Rivera-Solis, Luis Eduardo
    URL: http://d.repec.org/n?u=RePEc:pra:mprapa:34860&r=ecm
    Keywords: Gaussian Processes; Mixed Fractional Brownian Motion; Hurst Exponent; Local Self-similarity; Persistence; Anti-persistence; Definiteness of covariance Functions; Dissipative dynamic systems
    JEL: C32
  • A Monte Carlo simulation comparing DEA, SFA and two simple approaches to combine efficiency estimates
    Date: 2011
    By: Andor, Mark
    Hesse, Frederik
    URL: http://d.repec.org/n?u=RePEc:zbw:cawmdp:51&r=ecm
    Keywords: efficiency,data envelopment analysis,stochastic frontier analysis,simulation,regulation
    JEL: C1
  • Hedonic Prices and Implicit Markets: Estimating Marginal Willingness to Pay for Differentiated Products Without Instrumental Variables
    Date: 2011-11
    By: Kelly C. Bishop
    Christopher Timmins
    URL: http://d.repec.org/n?u=RePEc:nbr:nberwo:17611&r=ecm
    JEL: Q51
  • Early Warning Indicators of Crisis Incidence: Evidence from a Panel of 40 Developed Countries
    Date: 2011-11
    By: Jan Babecký (Czech National Bank)
    Tomáš Havránek (Czech National Bank)
    Jakub Matìjù (Czech National Bank)
    Marek Rusnák (Czech National Bank)
    Kateøina Šmídková (Czech National Bank)
    Boøek Vašíèek (Czech National Bank)
    URL: http://d.repec.org/n?u=RePEc:fau:wpaper:wp2011_36&r=ecm
    Keywords: Early warning indicators, Bayesian model averaging, panel VAR, dynamic panel, macro-prudential policies.
    JEL: C33

 

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