Econométrie: working papers (RePEc, 14/04/2012)

Source : NEP (New Economics Papers) | RePEc

  1. Efficient Minimum Distance Estimation with Multiple Rates of Convergence

Date:

2012-03

By:

Bertille Antoine (Simon Fraser University)
Eric Renault

URL:

http://d.repec.org/n?u=RePEc:sfu:sfudps:dp12-03&r=ecm
 

Keywords:

GMM; Mixed-rates asymptotics; Kernel estimation; Rotation in the coordinate system

JEL:

C32
  1. Efficient Inference with Poor Instruments: a General Framework

Date:

2012-03

By:

Bertille Antoine (Simon Fraser University)
Eric Renault

URL:

http://d.repec.org/n?u=RePEc:sfu:sfudps:dp12-04&r=ecm
 

Keywords:

Instrumental variable; Weak instrument; GMM

JEL:

C51
  1. Bayesian Inference about the Types of Structural Breaks When There are Many Breaks

Date:

2012-02

By:

Eo, Yunjong

URL:

http://d.repec.org/n?u=RePEc:syd:wpaper:2123/8149&r=ecm
 

Keywords:

Inflation Dynamics; Multiple-Parameter Change-point; Structural Breaks; Bayesian Analysis
  1. On Distribution Free Test for Discrete Distributions and an Extension to Continuous Time

Date:

2012

By:

Khmaladze, E.V. (Tilburg University, Center for Economic Research)

URL:

http://d.repec.org/n?u=RePEc:dgr:kubcen:2012028&r=ecm
Abstract: The paper presents an extension of K.Pearson’s approach to testing via his chi-square statistics.

Keywords:

Components of chi-square statistics;unitary transformations;projected empirical processes;empirical processes in Rm.

JEL:

C12
  1. An asymmetry-steepness parameterization of the generalized lambda distribution

Date:

2012

By:

Chalabi, Yohan / Y.
Scott, David J
Wuertz, Diethelm

URL:

http://d.repec.org/n?u=RePEc:pra:mprapa:37814&r=ecm
 

Keywords:

Quantile distributions; generalized lambda distribution; shape plot representation

JEL:

C16
  1. The panel conditionally homogenous vectorautoregressive model

Date:

2012

By:

Georgiadis, Georgios

URL:

http://d.repec.org/n?u=RePEc:pra:mprapa:37755&r=ecm
 

Keywords:

Panel VAR; Heterogeneity; Conditional Pooling

JEL:

C51
  1. « Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline »

Date:

2012-03

By:

Yuta Kurose (Graduate School of Economics, University of Tokyo)
Yasuhiro Omori (Faculty of Economics, University of Tokyo)

URL:

http://d.repec.org/n?u=RePEc:tky:fseres:2012cf845&r=ecm
 
  1. Disclosure Risk from Interactions and Saturated Models in Remote Access

Date:

2011-06

By:

Gerd Ronning

URL:

http://d.repec.org/n?u=RePEc:iaw:iawdip:72&r=ecm
 

Keywords:

logit model, probit model, poisson regression, negative binomial regression model, strategic dummy variable, tabular data
  1. Choice of Sample Split in Out-of-Sample Forecast Evaluation

Date:

2012

By:

Peter Reinhard HANSEN
Allan TIMMERMANN

URL:

http://d.repec.org/n?u=RePEc:eui:euiwps:eco2012/10&r=ecm
 

Keywords:

C12; C53
  1. On the correspondence between data revision and trend-cycle decomposition

Date:

2012-03

By:

Mardi Dungey
Jan PAM Jacobs
Jing Tian
Simon van Norden

URL:

http://d.repec.org/n?u=RePEc:acb:camaaa:2012-16&r=ecm
 

JEL:

C22
  1. Testing for optimal monetary policy via moment inequalities

Date:

2012

By:

Coroneo, Laura (University of Manchester, Economics – School of Social Sciences)
Corradi, Valentina (University of Warwick, Department of Economics)
Santos Monteiro, Paulo (University of Warwick, Department of Economics)

URL:

http://d.repec.org/n?u=RePEc:wrk:warwec:985&r=ecm
 
  1. Robustness properties of quasi-linear means with application to the Laspeyres and Paasche indices

Date:

2012

By:

Klein, Ingo
Ardelean, Vlad

URL:

http://d.repec.org/n?u=RePEc:zbw:faucse:882010&r=ecm
 

Keywords:

quasi-linear mean,robustness,influence function,breakdown point,Laspeyres index,Paasche index,Fisher index
  1. The Markov Switching Asymmetric Multiplicative Error Model

Date:

2012

By:

G.M. Gallo
Edoardo Otranto

URL:

http://d.repec.org/n?u=RePEc:cns:cnscwp:201205&r=ecm
 

Keywords:

MEM models; regime switching; realized volatility; volatility persistence

JEL:

C22
  1. Modelling Household Debt and Financial Assets: A Bayesian Approach to a Bivariate Two-Part Model

Date:

2012

By:

Li Su (MRC Biostatistics Unit, Cambridge, UK)
Sarah Brown (Department of Economics, The University of Sheffield)
Pulak Ghosh (Department of Quantitative Methods and Information Systems, Indian Institute of Management at Bangalore, India)
Karl Taylor (Department of Economics, The University of Sheffield)

URL:

http://d.repec.org/n?u=RePEc:shf:wpaper:2012009&r=ecm
 

Keywords:

Assets; Bayesian Approach; bridge distribution; debt; two-Part model

JEL:

C11
  1. Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike?

Date:

2012-02

By:

Eo, Yunjong
Kim, Chang-Jin

URL:

http://d.repec.org/n?u=RePEc:syd:wpaper:2123/8150&r=ecm
 

Keywords:

State- Space Model; MCM; Hamilton Model; Markov Switching; Hierarchical Prior; Evolving Regime- Specific Parameters; Counterfactual Prior; Business Cycle; Bayesian Approach

Laisser un commentaire

Entrez vos coordonnées ci-dessous ou cliquez sur une icône pour vous connecter:

Logo WordPress.com

Vous commentez à l'aide de votre compte WordPress.com. Déconnexion / Changer )

Image Twitter

Vous commentez à l'aide de votre compte Twitter. Déconnexion / Changer )

Photo Facebook

Vous commentez à l'aide de votre compte Facebook. Déconnexion / Changer )

Photo Google+

Vous commentez à l'aide de votre compte Google+. Déconnexion / Changer )

Connexion à %s