Econométrie: working papers (RePEc, 30/04/2012)

Source : NEP (New Economics Papers) | RePEc

  1. Efficient estimation in regression discontinuity designs via asymmetric kernels

Date:

2012-02-24

By:

Fe, Eduardo

URL:

http://d.repec.org/n?u=RePEc:pra:mprapa:38164&r=ecm
 

Keywords:

Regression Discontinuity; Asymmetric Kernels; Local Linear Regression

JEL:

C13
  1. Semiparametric estimation of random coefficients in structural economic models

Date:

2012-04

By:

Stefan Hoderlein (Institute for Fiscal Studies and Boston College)
Lars Nesheim (Institute for Fiscal Studies and University College London)
Anna Simoni (Institute for Fiscal Studies and Bocconi)

URL:

http://d.repec.org/n?u=RePEc:ifs:cemmap:09/12&r=ecm
 
  1. Estimation of random coefficients logit demand models with interactive fixed effects

Date:

2012-03

By:

Hyungsik Roger Moon
Matthew Shum
Martin Weidner (Institute for Fiscal Studies and UCL)

URL:

http://d.repec.org/n?u=RePEc:ifs:cemmap:08/12&r=ecm
 
  1. Minimally Conditioned Likelihood for a Nonstationary State Space Model

Date:

2012

By:

José Casals (Departamento de Fundamentos del Análisis Económico II. Facultad de Ciencias Económicas. Campus de Somosaguas. 28223 Madrid (SPAIN).)
Sonia Sotoca (Departamento de Fundamentos del Análisis Económico II. Facultad de Ciencias Económicas. Campus de Somosaguas. 28223 Madrid (SPAIN).)
Miguel Jerez (Departamento de Fundamentos del Análisis Económico II. Facultad de Ciencias Económicas. Campus de Somosaguas. 28223 Madrid (SPAIN).)

URL:

http://d.repec.org/n?u=RePEc:ucm:doicae:1204&r=ecm
 

Keywords:

State-space models, Conditional likelihood, Diffuse likelihood, Diffuse initial conditions, Kalman filter, Nonstationarity.

JEL:

C32
  1. Constructing Confidence Bands for the Hodrick-Prescott Filter

Date:

2012-04-19

By:

David E. Giles (Department of Economics, University of Victoria)

URL:

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

Keywords:

Hodrick-Prescott filter; time-series decomposition; confidence bands

JEL:

C13
  1. On the Univariate Representation of BEKK Models with Common Factors

Date:

2012

By:

Hecq Alain
Laurent Sébastien
Palm Franz C. (METEOR)

URL:

http://d.repec.org/n?u=RePEc:dgr:umamet:2012018&r=ecm
 

Keywords:

econometrics;
  1. Considerations on partially identified regression models

Date:

2012

By:

Cerquera, Daniel
Laisney, François
Ullrich, Hannes

URL:

http://d.repec.org/n?u=RePEc:zbw:zewdip:12024&r=ecm
 

Keywords:

partial identification,true identified set,superset,MMD,MMM,estimation

JEL:

C01
  1. Robust Estimation of Wage Dispersion with Censored Data: An Application to Occupational Earnings Risk and Risk Attitudes

Date:

2012-03

By:

Pollmann, Daniel (ROA, Maastricht University)
Dohmen, Thomas (ROA, Maastricht University)
Palm, Franz C. (Maastricht University)

URL:

http://d.repec.org/n?u=RePEc:iza:izadps:dp6447&r=ecm
 

Keywords:

dispersion estimation, earnings risk, censoring, quantile regression, occupational choice, sorting, risk preferences, SOEP, IABS

JEL:

C14
  1. Steady-State Distributions for Models of Bubbles: their Existence and Econometric Implications

Date:

2012-04

By:

John Knight (University of Western Ontario)
Stephen Satchell (Department of Economics, Mathematics & Statistics, Birkbeck)
Nandini Srivastava (Christ’s College, University of Cambridge)

URL:

http://d.repec.org/n?u=RePEc:bbk:bbkefp:1208&r=ecm
 

Keywords:

Bubbles, Asset prices, Steady state, Non-linear time series, TAR Models
  1. Is there an optimal forecast combination? A stochastic dominance approach applied to the forecast combination puzzle.

Date:

2011

By:

Mehmet Pinar (Fondazione Eni Enrico Mattei)
Thanasis Stengos (University of Guelph.)
M. Ege Yazgan (Istanbul Bilgi University)

URL:

http://d.repec.org/n?u=RePEc:gue:guelph:2012-06.&r=ecm
 

Keywords:

Nonparametric Stochastic Dominance, Mixed Integer Programming; Forecast combinations; Forecast combination

JEL:

C53
  1. Predicting Financial Crises: The (Statistical) Significance of the Signals Approach

Date:

2012-04

By:

Makram El-Shagi
Tobias Knedlik
Gregor von Schweinitz

URL:

http://d.repec.org/n?u=RePEc:iwh:dispap:3-12&r=ecm
 

Keywords:

early warning system, signals approach, bootstrap

JEL:

C15
  1. News Shocks, Information Flows and SVARs

Date:

2012-03

By:

Fève, Patrick
Jidoud, Ahmat

URL:

http://d.repec.org/n?u=RePEc:ide:wpaper:25752&r=ecm
 

Keywords:

, Information Flows, News shocks, Non–fundamentalness, SVARs, Identification

JEL:

C32
  1. Identifying financial crises in real time

Date:

2012-04

By:

Eder Lucio Fonseca
Fernando F. Ferreira
Paulsamy Muruganandam
Hilda A. Cerdeira

URL:

http://d.repec.org/n?u=RePEc:arx:papers:1204.3136&r=ecm
 

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