Econométrie: working papers (RePEc, 26/03/2012)

Source : NEP (New Economics Papers) | RePEc

  1. Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation

Date:

2012-01

By:

Corsi, Fulvio
Peluso, Stefano
Audrino, Francesco

URL:

http://d.repec.org/n?u=RePEc:usg:econwp:2012:02&r=ecm
 

Keywords:

High frequency data; Realized covariance matrix; Market microstructure noise; Missing data; Kalman filter; EM algorithm; Maximum likelihood

JEL:

C13
  1. Comparing Features of Convenient Estimators for Binary Choice Models With Endogenous Regressors

Date:

2012-02-15

By:

Yingying Dong (California State University, Irvine)
Arthur Lewbel (Boston College)
Thomas Tao Yang (Boston College)

URL:

http://d.repec.org/n?u=RePEc:boc:bocoec:789&r=ecm
 

Keywords:

Binary choice, Binomial Response, Endogeneity, Measurement Error, Heteroskedasticity, discrete endogenous, censored, random coefficients, Identification, Latent Variable Model.

JEL:

C25
  1. Large time-varying parameter VARs

Date:

2012-01

By:

Gary Koop
Dimitris Korobils

URL:

http://d.repec.org/n?u=RePEc:gla:glaewp:2012_04&r=ecm
 

Keywords:

Bayesian VAR; forecasting; time-varying coefficients; state-space model

JEL:

C11
  1. Bayesian Testing of Granger Causality in Markov-Switching VARs

Date:

2012

By:

Matthieu Droumaguet
Tomasz Wozniak

URL:

http://d.repec.org/n?u=RePEc:eui:euiwps:eco2012/06&r=ecm
 

Keywords:

Granger Causality; Markov Switching Models; Hypothesis Testing; Posterior Odds Ratio; Gibbs Sampling

JEL:

C11
  1. The Measurement Error Problem in Dynamic Panel Data Analysis: Modeling and GMM Estimation

Date:

2012-02-13

By:

Biørn, Erik (Dept. of Economics, University of Oslo)

URL:

http://d.repec.org/n?u=RePEc:hhs:osloec:2012_002&r=ecm
 

Keywords:

Panel data; Measurement error; Dynamic modeling; ARMA model; GMM; Monte Carlo simulation

JEL:

C21
  1. Evolutionary computational approach in TAR model estimation

Date:

2011

By:

Claudio Pizzi (Department of Economics, University Of Venice Cà Foscari)
Francesca Parpinel (Department of Economics, University Of Venice Cà Foscari)

URL:

http://d.repec.org/n?u=RePEc:ven:wpaper:2011_26&r=ecm
 

Keywords:

Parameter Estimation, Threshold Autoregressive Models, Particle Swarm Optimization.

JEL:

C13
  1. Reconstructing high dimensional dynamic distributions from distributions of lower dimension

Date:

2012-03

By:

Stanislav Anatolyev (New Economic School)
Renat Khabibullin (Barclays Capital)
Artem Prokhorov (Concordia University & CIREQ)

URL:

http://d.repec.org/n?u=RePEc:cfr:cefirw:w0167&r=ecm
 

Keywords:

multivariate distribution, univariate distribution, copula, asset returns

JEL:

C13
  1. Estimation of a panel stochastic frontier model with unobserved common shocks

Date:

2012-03

By:

Hsu, Chih-Chiang
Lin, Chang-Ching
Yin, Shou-Yung

URL:

http://d.repec.org/n?u=RePEc:pra:mprapa:37313&r=ecm
 

Keywords:

fixed effects; common correlated effects; factor structure; cross-sectional dependence; stochastic frontier

JEL:

C23
  1. « Minimaxity in Predictive Density Estimation with Parametric Constraints »

Date:

2012-02

By:

Tatsuya Kubokawa (Faculty of Economics, University of Tokyo)
Éric Marcha (Département de mathématiques, Université de Sherbrooke,)
William E. Strawderman (Department of Statistics and Biostatistics, Rutgers University,)
Jean-Philippe Turcotte (Département de mathématiques, Université de Sherbrooke,)

URL:

http://d.repec.org/n?u=RePEc:tky:fseres:2012cf843&r=ecm
 
  1. Regression Model for Proportions with Probability Masses at Zero and One

Date:

2012-03-14

By:

Raffaella Calabrese (Geary Dynamics Lab, Geary Institute, University College Dublin)

URL:

http://d.repec.org/n?u=RePEc:ucd:wpaper:201209&r=ecm
 

Keywords:

proportions, mixed random variable, beta regression, skewness, heteroscedasticity

JEL:

B14
  1. Nonparametric Errors in Variables Models with Measurement Errors on both sides of the Equation

Date:

2012-01-15

By:

Michele De Nadai (University of Padova)
Arthur Lewbel (Boston College)

URL:

http://d.repec.org/n?u=RePEc:boc:bocoec:790&r=ecm
 

Keywords:

Engel curve; errors-in-variables model; Fourier transform; generalized function; sieve estimation.

JEL:

C10
  1. On Interaction Effects: The Case of Heckit and Two-Part Models

Date:

2012-01

By:

Manuel Frondel
Colin Vance

URL:

http://d.repec.org/n?u=RePEc:rwi:repape:0309&r=ecm
 

Keywords:

Truncated regression models; interaction terms

JEL:

C34
  1. Spatial outbreak detection based on inference principles for multivariate surveillance

Date:

2012-03-05

By:

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:2012_001&r=ecm
 

Keywords:

Monitoring; Influenza; Sufficiency; Semiparametric; Generalized likelihood; Timeliness; Predicted value

JEL:

C10
  1. Constructing Optimal Density Forecasts from Point Forecast Combinations

Date:

2012

By:

Luiz Renato Regis de Oliveira Lima
Wagner Piazza Gaglianone

URL:

http://d.repec.org/n?u=RePEc:ppg:ppgewp:5&r=ecm
 

Keywords:

forecast combination,quantile regression,density forecast

JEL:

C13
  1. Vector Autoregressive Models

Date:

2011

By:

Helmut Luetkepohl

URL:

http://d.repec.org/n?u=RePEc:eui:euiwps:eco2011/30&r=ecm
 

JEL:

C32
  1. Generalized Random Coefficients With Equivalence Scale Applications

Date:

2012-02-15

By:

Arthur Lewbel (Boston College)
Krishna Pendakur (Simon Fraser University)

URL:

http://d.repec.org/n?u=RePEc:boc:bocoec:791&r=ecm
 

Keywords:

unoberved heterogeneity, nonseparable errors, random utility parameters, random coefficients, equivalence scales, consumer surplus, welfare calculations.

JEL:

C14
  1. Consistent Long-Term Yield Curve Prediction

Date:

2012-03

By:

Josef Teichmann
Mario V. W\ »uthrich

URL:

http://d.repec.org/n?u=RePEc:arx:papers:1203.2017&r=ecm
 
  1. Decomposing the Composition Effect

Date:

2012-02

By:

Rothe, Christoph (Toulouse School of Economics)

URL:

http://d.repec.org/n?u=RePEc:iza:izadps:dp6397&r=ecm
 

Keywords:

counterfactual distribution, decomposition methods

JEL:

C13
  1. Energy Consumption and Economic Growth: Evidence from Nonlinear Panel Cointegration and Causality Tests

Date:

2012

By:

Tolga Omay (Cankaya University, Department of International Trade Management)
Mubariz Hasanov (Hacettepe University, Department of Economics)
Nuri Uçar (Hacettepe University, Department of Economics)

URL:

http://d.repec.org/n?u=RePEc:hac:hacwop:20130&r=ecm
 

Keywords:

Nonlinear panel cointegration; nonlinear Panel Vector Error Correction Model; cross section dependency

JEL:

C12
  1. Structural Change and Spurious Persistence in Stochastic Volatility

Date:

2012-01

By:

Walter Krämer
Philip Mess

URL:

http://d.repec.org/n?u=RePEc:rwi:repape:0310&r=ecm
 

Keywords:

Persistence; stochastic volatility; structural change

JEL:

C32

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