Econométrie: working papers (RePEc, 27/04/2012)

Source : NEP (New Economics Papers) | RePEc

  1. Symmetric Jackknife Instrumental Variable Estimation

Date:

2012-04-05

By:

Bekker, Paul A.
Crudu, Federico

URL:

http://d.repec.org/n?u=RePEc:pra:mprapa:37853&r=ecm
 

Keywords:

Instrumental Variables; Heteroskedasticity; many Instruments; Jackknife

JEL:

C13
  1. Bayesian Unit Root Testing in Stochastic Volatility Models Using INLA

Date:

2012-04-04

By:

Márcio Laurini (IBMEC Business School)
Márcio Alves Diniz (Departament of Statistics – UFSCAR)

URL:

http://d.repec.org/n?u=RePEc:ibr:dpaper:2012-05&r=ecm
 

Keywords:

Unit Roots, Stochastic Volatility, Integrated Nested Laplace Approximations

JEL:

C11
  1. Robust Test for Spatial Error Model:Considering Changes of Spatial Layouts and Distribution Misspecification

Date:

2011-11

By:

Guo, Penghui
Liu, Lihu

URL:

http://d.repec.org/n?u=RePEc:pra:mprapa:38050&r=ecm
 

Keywords:

LM test; Spatial Layouts; Distribution Misspecification; Robustness

JEL:

C1
  1. Time irreversible copula-based Markov Models

Date:

2012-04-08

By:

Beare, Brendan K.
Seo, Juwon

URL:

http://d.repec.org/n?u=RePEc:cdl:ucsdec:qt31f8500p&r=ecm
 

Keywords:

Econometrics and Quantitative Economics, Markov chains, time irreversible dynamics, economic time series
  1. Testing the concavity of an ordinaldominance curve

Date:

2012-04-02

By:

Beare, Brendan K.
Moon, Jong-Myun

URL:

http://d.repec.org/n?u=RePEc:cdl:ucsdec:qt6qg1f8ms&r=ecm
 

Keywords:

Econometrics and Quantitative Economics, null hypothesis
  1. Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines

Date:

2012-04

By:

Audrino, Francesco
Meier, Pirmin

URL:

http://d.repec.org/n?u=RePEc:usg:econwp:2012:10&r=ecm
 

Keywords:

Empirical pricing kernel, function gradient descent, B-splines, option pricing.

JEL:

C13
  1. Realized Wavelet Jump-GARCH model: Can wavelet decomposition of volatility improve its forecasting?

Date:

2012-04

By:

Jozef Barunik
Lukas Vacha

URL:

http://d.repec.org/n?u=RePEc:arx:papers:1204.1452&r=ecm
 
  1. Double Asymptotics for Explosive Continuous Time Models

Date:

2012-01

By:

Xiaohu Wang (School of Economics and Sim Kee Boon Institute for Financial Economics, Singapore Management University)
Jun Yu (Sim Kee Boon Institute for Financial Economics, School of Economics and Lee Kong Chian School of Business)

URL:

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

Keywords:

Explosive, Continuous Time, Lévy Process, Invariance Principle, Double Asymptotics

JEL:

C13
  1. Test Measurement Error and Inference from Value-Added Models

Date:

2012-01-30

By:

Cory Koedel (Department of Economics, University of Missouri-Columbia)
Rebecca Leatherman (Department of Economics, University of Missouri-Columbia)
Eric Parsons (Department of Economics, University of Missouri-Columbia)

URL:

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

Keywords:

value added models, value added, teacher value added, test measurement error, teacher evaluation

JEL:

I20
  1. Estimating VAR-MGARCH models in multiple steps

Date:

2012-03

By:

M. Angeles Carnero Fernández (Universidad de Alicante)
M. Hakan Eratalay (Dpto. Fundamentos del Análisis Económico)

URL:

http://d.repec.org/n?u=RePEc:ivi:wpasad:2012-10&r=ecm
  1. Learning and Model Validation

Date:

2012-04

By:

In-Koo Cho
Ken Kasa (Simon Fraser University)

URL:

http://d.repec.org/n?u=RePEc:sfu:sfudps:dp12-07&r=ecm
 

Keywords:

Learning; Model validation

JEL:

C12
  1. Modelling and Forecasting Yield Differentials in the euro area. A non-linear Global VAR model

Date:

2012

By:

Carlo A. Favero

URL:

http://d.repec.org/n?u=RePEc:igi:igierp:431&r=ecm
 
  1. Applying approximate entropy (ApEn) to speculative bubble in the stock market

Date:

2012-04-10

By:

Saumitra, Bhaduri

URL:

http://d.repec.org/n?u=RePEc:pra:mprapa:37980&r=ecm
 

Keywords:

Approximate Entropy, Bubble, India, stock Market

JEL:

G0
  1. Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas

Date:

2012-04

By:

Damiano Brigo
Kyriakos Chourdakis

URL:

http://d.repec.org/n?u=RePEc:arx:papers:1204.2090&r=ecm
 
  1. Robust Ranking of Multivariate GARCH Models by Problem Dimension

Date:

2012-04-01

By:

Massimiliano Caporin
Michael McAleer (University of Canterbury)

URL:

http://d.repec.org/n?u=RePEc:cbt:econwp:12/06&r=ecm
 

Keywords:

Covariance forecasting; model confidence set; robust model ranking; MGARCH; robust model comparison

JEL:

C18

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