Econométrie: working papers (RePEc, 02/04/2012)

Source : NEP (New Economics Papers) | RePEc

  1. Model Adequacy Checks for Discrete Choice Dynamic Models

Date:

2012-02

By:

Igor Kheifets (New Economic School, Moscow)
Carlos Velasco (Department of Economics, Universidad Carlos III de Madrid)

URL:

http://d.repec.org/n?u=RePEc:cfr:cefirw:w0170&r=ecm
 

Keywords:

Goodness of fit, diagnostic test, parametric conditional distribution, discrete choice models, parameter estimation effect, bootstrap

JEL:

C12
  1. TESTING FOR SKEWNESS IN AR CONDITIONAL VOLATILITY MODELS FOR FINANCIAL RETURN SERIES

Date:

2012-03-21

By:

Mantalos, Panagiotis (Department of Business, Economics, Statistics and Informatics)
Karagrigoriou, Alex (Department of Mathematics and Statistics, University of Cyprus)

URL:

http://d.repec.org/n?u=RePEc:hhs:oruesi:2012_004&r=ecm
 

Keywords:

ARCH /GARCH model; kurtosis; NoVaS; skewness. JEL Classification Codes: C01; C12; C15

JEL:

C01
  1. Efficient bootstrap with weakly dependent processes

Date:

2012-03

By:

Francesco Bravo
Federico Crudu

URL:

http://d.repec.org/n?u=RePEc:yor:yorken:12/08&r=ecm
 

Keywords:

-mixing, Consumption CAPM, GEL, GMM, Hypothesis testing

JEL:

C12
  1. Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series

Date:

2011-09-01

By:

McElroy, Tucker S
Politis, D N

URL:

http://d.repec.org/n?u=RePEc:cdl:ucsdec:qt0dr145dt&r=ecm
 

Keywords:

kernel, lag-windows, overdifferencing, spectral estimation, subsampling, tapers, unit-root problem, Econometrics
  1. A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models

Date:

2012-03-16

By:

Márcio Laurini (IBMEC Business School)

URL:

http://d.repec.org/n?u=RePEc:ibr:dpaper:2012-02&r=ecm
 

Keywords:

Stochastic Volatility: Data Cloning, Maximum Likelihood, MCMC, Laplace Approximations.

JEL:

C53
  1. Identifying observed factors in approximate factor models: estimation and hypothesis testing

Date:

2012-03-20

By:

Chen, Liang

URL:

http://d.repec.org/n?u=RePEc:pra:mprapa:37514&r=ecm
 

Keywords:

factor models; observed factors; estimation; hypothesis testing; Fama-French three factors

JEL:

C13
  1. Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods

Date:

2012-03

By:

Joshua Chan
Rodney Strachan

URL:

http://d.repec.org/n?u=RePEc:acb:camaaa:2012-13&r=ecm
 
  1. Common Drifting Volatility in Large Bayesian VARs

Date:

2012-03

By:

Carriero, Andrea
Clark, Todd
Marcellino, Massimiliano

URL:

http://d.repec.org/n?u=RePEc:cpr:ceprdp:8894&r=ecm
 

Keywords:

Bayesian VARs; forecasting; prior specification; stochastic volatility

JEL:

C11
  1. Dynamic Functional Data Analysis with Nonparametric State Space Models.

Date:

2012-03-16

By:

Márcio Laurini (IBMEC Business School)

URL:

http://d.repec.org/n?u=RePEc:ibr:dpaper:2012-01&r=ecm
 

Keywords:

Functional Data, Penalized Splines, MCMC, Bayesian non-parametric methods

JEL:

C11
  1. Adaptive Minimax Estimation over Sparse lq-Hulls

Date:

2012-01

By:

Zhan Wang
Sandra Paterlini
Fuchang Gao
Yuhong Yang

URL:

http://d.repec.org/n?u=RePEc:mod:recent:078&r=ecm
 

Keywords:

minimax risk, adaptive estimation, sparse lq-constraint, linear combining, aggregation, model mixing, model selection
  1. Forecasting adoption of ultra-low-emission vehicles using the GHK simulator and Bayes estimates of a multinomial probit model

Date:

2012

By:

Daziano, Ricardo A.
Achtnicht, Martin

URL:

http://d.repec.org/n?u=RePEc:zbw:zewdip:12017&r=ecm
 

Keywords:

Discrete choice models,Bayesian econometrics,Low emission vehicles,Charging infrastructure

JEL:

C25
  1. Pitfalls in Backtesting Historical Simulation VaR Models

Date:

2012-02

By:

Juan Carlos Escanciano (Indiana University)
Pei Pei (Indiana University and Chinese Academy of Finance and Development, Central University of Finance and Economics)

URL:

http://d.repec.org/n?u=RePEc:inu:caeprp:2012-003&r=ecm
 
  1. Haavelmo’s Probability Approach and the Cointegrated VAR

Date:

2012-03-01

By:

Katarina Juselius (Department of Economics)

URL:

http://d.repec.org/n?u=RePEc:kud:kuiedp:1201&r=ecm
 

Keywords:

Haavelmo, CVAR, autonomy, identification, passive observations

JEL:

B16
  1. Markov Regime-Switching Tests: Asymptotic Critical Values

Date:

2011-08-12

By:

Steigerwald, Douglas
Carter, Andrew

URL:

http://d.repec.org/n?u=RePEc:cdl:ucsbec:qt5rn986z6&r=ecm

Keywords:

Econometrics and Quantitative Economics, mixture model, regime switching, numeric approximation
  1. Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change

Date:

2012-03

By:

Liudas Giraitis (Queen Mary, University of London)
George Kapetanios (Queen Mary, University of London)
Simon Price (Bank of England and City University)

URL:

http://d.repec.org/n?u=RePEc:qmw:qmwecw:wp691&r=ecm
 

Keywords:

Recent and ongoing structural change, Forecast combination, Robust forecasts

JEL:

C10
  1. On detection of volatility spillovers in simultaneously open stock markets

Date:

2012-03-08

By:

Kohonen, Anssi

URL:

http://d.repec.org/n?u=RePEc:pra:mprapa:37504&r=ecm
 

Keywords:

Volatility transmission; financial contagion; SVAR identification; hypothesis testing; stock markets; euro debt crisis

JEL:

G14
  1. Extracting non-linear signals from several economic indicators

Date:

2012-02

By:

Maximo Camacho (Universidad de Murcia)
Gabriel Perez-Quiros (Banco de España)
Pilar Poncela (Universidad Autónoma de Madrid)

URL:

http://d.repec.org/n?u=RePEc:bde:wpaper:1202&r=ecm
 

Keywords:

Business cycles, output growth, time series

JEL:

E32
  1. Estimating Idiosyncratic Volatility and Its Effects on a Cross-Section of Returns

Date:

2012-01-31

By:

Serguey Khovansky
Zhylyevskyy, Oleksandr

URL:

http://d.repec.org/n?u=RePEc:isu:genres:34990&r=ecm
 

Keywords:

Generalized method of moments; Idiosyncratic volatility; Cross-section of stock returns; Idiosyncratic volatility premium

JEL:

C21
  1. Finite sample performance of small versus large scale dynamic factor models

Date:

2012-03

By:

Alvarez, Rocio
Camacho, Maximo
Pérez-Quirós, Gabriel

URL:

http://d.repec.org/n?u=RePEc:cpr:ceprdp:8867&r=ecm
 

Keywords:

business cycles; output growth; time series

JEL:

C22
  1. Markov-switching dynamic factor models in real time

Date:

2012-02

By:

Camacho, Maximo
Pérez-Quirós, Gabriel
Poncela, Pilar

URL:

http://d.repec.org/n?u=RePEc:cpr:ceprdp:8866&r=ecm
 

Keywords:

Business Cycles; Output Growth; Time Series

JEL:

C22

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