Econométrie: working papers (RePEc, 10/04/2012)

Source : NEP (New Economics Papers) | RePEc

  • Identification, Estimation and Specification in a Class of Semiparametic Time Series Models
    Date: 2012-03
    By: Jiti Gao
    URL: http://d.repec.org/n?u=RePEc:msh:ebswps:2012-6&r=ecm
    Keywords: Asymptotic theory, departure function, kernel method, nonlinearity, nonstationarity, semiparametric model, stationarity, time series
    JEL: C13
  • A Note on the Finite Sample Properties of the CLS Method of TAR Models
    Date: 2012-03
    By: Marian Vavra (Department of Economics, Mathematics & Statistics, Birkbeck)
    URL: http://d.repec.org/n?u=RePEc:bbk:bbkefp:1206&r=ecm
    Keywords: threshold autoregressive model, Monte Carlo method, bias, asymmetry
    JEL: C15
  • Robustness of Power Properties of Non-linearity Tests
    Date: 2012-03
    By: Marian Vavra (Department of Economics, Mathematics & Statistics, Birkbeck)
    URL: http://d.repec.org/n?u=RePEc:bbk:bbkefp:1205&r=ecm
    Keywords: non-linearity testing, Monte Carlo experiments
    JEL: C15
  • RA Monte Carlo Study of Bias Corrections for Panel Probit Models
    Date: 2012-03
    By: Blair Alexander
    Robert Breunig
    URL: http://d.repec.org/n?u=RePEc:auu:dpaper:662&r=ecm
    Keywords: bias correction; panel probit; marginal effects
    JEL: C13
  • Generalized Tests of Investment Fund Performance
    Date: 2012-03-22
    By: Márcio Laurini (IBMEC Business School)
    URL: http://d.repec.org/n?u=RePEc:ibr:dpaper:2012-03&r=ecm
    Keywords: Sharpe Ratio, GMM, Investment Analysis
    JEL: G11
  • ¿Cuál matriz de pesos espaciales?. Un enfoque sobre selección de modelos
    Date: 2011
    By: Herrera Gómez, Marcos
    Mur Lacambra, Jesús
    Ruiz Marín, Manuel
    URL: http://d.repec.org/n?u=RePEc:pra:mprapa:37585&r=ecm
    Keywords: Econometría espacial; Selección de modelos; Entropía simbólica
    JEL: C52
  • Martingale approximation for common factor representation
    Date: 2012-03-26
    By: Bystrov, Victor
    di Salvatore, Antonietta
    URL: http://d.repec.org/n?u=RePEc:pra:mprapa:37669&r=ecm
    Keywords: martingale approximation; dynamic factor model; eigenvalue; stability
    JEL: C10
  • Model Discovery and Trygve Haavelmo’s Legacy
    Date: 2012
    By: David F. Hendry
    Soren Johansen
    URL: http://d.repec.org/n?u=RePEc:oxf:wpaper:598&r=ecm
    Keywords: Trygve Haavelmo, Model discovert, Theory retention, Impulse-indicator saturation, Autometrics
    JEL: C51
  • New methods to estimate models with large sets of fixed effects with an application to matched employer-employee data from Germany
    Date: 2012-03-12
    By: Mittag, Nikolas
    URL: http://d.repec.org/n?u=RePEc:iab:iabfme:201201_en&r=ecm
    Keywords: Arbeitsmarktforschung, IAB-Linked-Employer-Employee-Datensatz, Arbeitsmarktmodell, Schätzung, matching, empirische Forschung, Panel, Berufsverlauf, Längsschnittuntersuchung, Algorithmus
  • Bimodality & the performance of PPML
    Date: 2012
    By: Prehn, Sören
    Brümmer, Bernhard
    URL: http://d.repec.org/n?u=RePEc:zbw:daredp:1202&r=ecm
    Keywords: Poisson Pseudo Maximum Likelihood,excess zeros,zero-inflated Gamma Distribution,simulation
  • Testing Non-linearity Using a Modified Q Test
    Date: 2012-03
    By: Marian Vavra (Department of Economics, Mathematics & Statistics, Birkbeck)
    URL: http://d.repec.org/n?u=RePEc:bbk:bbkefp:1204&r=ecm
    Keywords: non-linearity testing, portmanteau Q test, auto-correlation, cross-correlation
    JEL: C12
  • Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
    Date: 2012-03-20
    By: Rodney Strachan (Australian National University)
    Herman K. van Dijk (Erasmus University Rotterdam, and VU University Amsterdam.)
    URL: http://d.repec.org/n?u=RePEc:dgr:uvatin:20120025&r=ecm
    Keywords: Posterior probability; Dynamic stochastic general equilibrium model; Cointegration; Model averaging; Stochastic trend; Impulse response; Vector autoregressive model
    JEL: C11
  • Backward and forward closed solutions of multivariate ARMA models.
    Date: 2012-03-25
    By: Ludlow-Wiechers, Jorge
    URL: http://d.repec.org/n?u=RePEc:pra:mprapa:37635&r=ecm
    Keywords: Causal models; non-causal models; invertible models; non-invertible models; backward solution; forward solution
    JEL: C32
  • Empirical analysis of the forecast error impact of classical and bayesian beta adjustment techniques
    Date: 2012-02-06
    By: Sinha, Pankaj
    Jayaraman, Prabha
    URL: http://d.repec.org/n?u=RePEc:pra:mprapa:37662&r=ecm
    Keywords: Bayesian Beta adjustment technique; bi-linear loss function; portfolio risk measure
    JEL: G12
  • Heavy-Tail Distribution from Correlation of Discrete Stochastic Process
    Date: 2012-03
    By: Jongwook Kim
    Teppei Okumura
    URL: http://d.repec.org/n?u=RePEc:arx:papers:1203.5581&r=ecm
  • The Dual of the Least-Squares Method
    Date: 2012
    By: Paris, Quirino
    URL: http://d.repec.org/n?u=RePEc:ags:ucdavw:121693&r=ecm
    Keywords: least squares, primal, dual, Pythagoras theorem, noise, value of sample information, Research Methods/ Statistical Methods, C20, C30,
  • Nested logit or random coefficients logit? A comparison of alternative discete models of product differentiation
    Date: 2011-09
    By: Laura GRIGOLON
    Frank VERBOVEN
    URL: http://d.repec.org/n?u=RePEc:ete:ceswps:ces11.24&r=ecm
  • Forecasting from Structural Econometric Models
    Date: 2012
    By: David F. Hendry
    Grayham E. Mizon
    URL: http://d.repec.org/n?u=RePEc:oxf:wpaper:597&r=ecm
    Keywords: Structural models, Location shifts, Economic forecasting, Autometrics
    JEL: C52

 

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