Econométrie: working papers (RePEc, 05/05/2012)

Source : NEP (New Economics Papers) | RePEc

  1. Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap

Date:

2012-04

By:

D.S. Poskitt
Gael M. Martin
Simone D. Grose

URL:

http://d.repec.org/n?u=RePEc:msh:ebswps:2012-8&r=ecm
 

Keywords:

Analytical bias correction, bootstrap bias correction, confidence interval, coverage, precision, log periodogram estimator, local Whittle estimator.

JEL:

C18
  1. Consistent Estimation of the “True” Fixed-effects Stochastic Frontier Model

Date:

2012-04-18

By:

Federico Belotti (Faculty of Economics, University of Rome « Tor Vergata »)
Giuseppe Ilardi (Economic and Financial Statistics Department, Bank of Italy.)

URL:

http://d.repec.org/n?u=RePEc:rtv:ceisrp:231&r=ecm
 

Keywords:

Stochastic frontiers, Fixed-effects, Panel data, Marginal simulated likelihood, Pairwise differencing

JEL:

C13
  1. Goodness-of-fit testing for fractional diffusions

Date:

2012-04-16

By:

Mark Podolskij (Heidelberg University and CREATES)
Katrin Wasmuth (Heidelberg University)

URL:

http://d.repec.org/n?u=RePEc:aah:create:2012-13&r=ecm
 

Keywords:

central limit theorem, goodness-of-fit tests, high frequency observations, fractional diffusions, stable convergence.

JEL:

C10
  1. A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation

Date:

2012-03-23

By:

Lennart Hoogerheide (VU University Amsterdam)
Anne Opschoor (Erasmus University Amsterdam)
Herman K. van Dijk (Erasmus University Rotterdam, and VU University Amsterdam)

URL:

http://d.repec.org/n?u=RePEc:dgr:uvatin:20120026&r=ecm
 

Keywords:

mixture of Student-t distributions; importance sampling; Kullback-Leibler divergence; Expectation Maximization; Metropolis-Hastings algorithm; predictive likelihood; DCC GARCH; mixture GARCH; instrumental variables

JEL:

C11
  1. Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes

Date:

2012-04

By:

D.S. Poskitt
Simone D. Grose
Gael M. Martin

URL:

http://d.repec.org/n?u=RePEc:msh:ebswps:2012-9&r=ecm
 

Keywords:

Bias, bootstrap-based inference, Edgeworth expansion, pre-filtered sieve bootstrap, sampling distribution.

JEL:

C18
  1. Unit roots, nonlinearities and structural breaks

Date:

2012-04-18

By:

Niels Haldrup (Aarhus University and CREATES)
Robinson Kruse (Leibniz Universität Hannover and CREATES)
Timo Teräsvirta (Aarhus University and CREATES)
Rasmus T. Varneskov (Aarhus University and CREATES)

URL:

http://d.repec.org/n?u=RePEc:aah:create:2012-14&r=ecm
 

Keywords:

Unit roots, nonlinearity, structural breaks.

JEL:

C2
  1. Parametric Inference and Dynamic State Recovery from Option Panels

Date:

2011-05-29

By:

Torben G. Andersen (Northwestern University, NBER, and CREATES)
Nicola Fusari (Northwestern University)
Viktor Todorov (Northwestern University)

URL:

http://d.repec.org/n?u=RePEc:aah:create:2012-11&r=ecm
 

Keywords:

Option Pricing, Inference, Risk Premia, Jumps, Latent State Vector, Stochastic Volatility, Specification Testing, Stable Convergence.

JEL:

C51
  1. Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture

Date:

2012-04-20

By:

Mark J Jensen
John M Maheu

URL:

http://d.repec.org/n?u=RePEc:tor:tecipa:tecipa-453&r=ecm
 

Keywords:

Bayesian nonparametrics, cumulative Bayes factor, Dirichlet process mixture, inï¬nite mixture model, leverage effect, marginal likelihood, MCMC, non-normal, stochastic volatility, volatility-return relationship

JEL:

C11
  1. Econometric analysis of multiariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices

Date:

2012

By:

Neil Shephard
Dacheng Xiu

URL:

http://d.repec.org/n?u=RePEc:oxf:wpaper:604&r=ecm
 

Keywords:

EM algorithm, Kalman filter, Market microstructure noise, Non-synchronous data, Portfolio optimisation, Quadratic variation, Quasi-likelihood, Semimartingale, Volatility

JEL:

C14
  1. Model Selection in Kernel Ridge Regression

Date:

2012-02-28

By:

Peter Exterkate (Department of Economics and CREATES Aarhus University)

URL:

http://d.repec.org/n?u=RePEc:aah:create:2012-10&r=ecm
 

Keywords:

Nonlinear forecasting, shrinkage estimation, kernel methods, high dimensionality

JEL:

C51
  1. Nonparametric prediction of stock returns guided by prior knowledge

Date:

2012-02

By:

Michael Scholz (Karl-Franzens University Graz)
Jens Perch Nielsen (Cass Business School)
Stefan Sperlich (Universitie de Geneve)

URL:

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

Keywords:

Prediction of Stock Returns, Cross-Validation, Prior Knowledge, Bias Reduction, Dimension Reduction

JEL:

C14
  1. VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors

Date:

2012-04-19

By:

D.S. Poskitt
Wenying Yao

URL:

http://d.repec.org/n?u=RePEc:msh:ebswps:2012-11&r=ecm
 

Keywords:

VAR, estimation error, approximation error, RBC model

JEL:

C18
  1. Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach.

Date:

2012-04

By:

Peter Martey Addo (Centre d’Economie de la Sorbonne)
Monica Billio (Ca’ Foscari university – Department of Economics)
Dominique Guegan (Centre d’Economie de la Sorbonne – Paris School of Economics)

URL:

http://d.repec.org/n?u=RePEc:mse:cesdoc:12023&r=ecm
 

Keywords:

Nonlinearity analysis, surrogates, Delay Vector Variance (DVV) method, wavelets, business cycle, embedding parameters.

JEL:

C14
  1. Measuring Test Measurement Error: A General Approach

Date:

2012-04

By:

Donald Boyd
Hamilton Lankford
Susanna Loeb
James Wyckoff

URL:

http://d.repec.org/n?u=RePEc:nbr:nberwo:18010&r=ecm
 

JEL:

I21
  1. Forecasting by factors, by variables, or both?

Date:

2012

By:

Jennifer L. Castle
David F. Hendry
Michael P. clements

URL:

http://d.repec.org/n?u=RePEc:oxf:wpaper:600&r=ecm
 

Keywords:

Model selection, Factor models, Forecasting, Impulse-indicator saturation, Autometrics

JEL:

C51
  1. Econometric modeling of exchange rate volatility and jumps

Date:

2012

By:

Deniz Erdemlioglu
Sébastien Laurent
Christopher J. Neely

URL:

http://d.repec.org/n?u=RePEc:fip:fedlwp:2012-008&r=ecm
 

Keywords:

Foreign exchange ; Time-series analysis
  1. Inference of Bidders’ Risk Attitudes in Ascending Auctions with Endogenous Entry, Second Version

Date:

2011-05-28

By:

Hanming Fang (Department of Economics, University of Pennsylvania)
Xun Tang (Department of Economics, University of Pennsylvania)

URL:

http://d.repec.org/n?u=RePEc:pen:papers:12-016&r=ecm
 

Keywords:

Ascending auctions, Risk attitudes, Endogenous entry, Nonparametric Test, Bootstrap

JEL:

D44
  1. Record Statistics for Multiple Random Walks

Date:

2012-04

By:

Gregor Wergen
Satya N. Majumdar
Gregory Schehr

URL:

http://d.repec.org/n?u=RePEc:arx:papers:1204.5039&r=ecm
 
  1. Modelling electricity day–ahead prices by multivariate Lévy semistationary processes

Date:

2012-03-30

By:

Almut E. D. Veraart (Imperial College London and CREATES)
Luitgard A. M. Veraart (London School of Economics)

URL:

http://d.repec.org/n?u=RePEc:aah:create:2012-12&r=ecm
 

Keywords:

Electricity market, day–ahead prices, multivariate Lévy semistationary process, stochastic volatility, correlation, panel structure.

JEL:

C0
  1. Inferred vs Stated Attribute Non-Attendance in Choice Experiments: A Study of Doctors’ Prescription Behaviour

Date:

2012

By:

Arne Risa Hole (Department of Economics, The University of Sheffield)
Julie Riise Kolstad (UNI Rokkan Centre, University of Bergen)
Dorte Gyrd-Hansen (Health Economics Research Unit, University of Southern Denmark)

URL:

http://d.repec.org/n?u=RePEc:shf:wpaper:2012010&r=ecm
 

Keywords:

choice experiment; attribute non-attendance

JEL:

C25
  1. Ziliak and McClosky’s Criticisms of Significance Tests: A Damage Assessment

Date:

2012-04-20

By:

Thomas Mayer (Department of Economics, University of California Davis)

URL:

http://d.repec.org/n?u=RePEc:cda:wpaper:12-6&r=ecm
 

Keywords:

Significance tests, ts, confidence intervals, Zilliak, McCloskey, oomph

JEL:

C12
  1. Model uncertainty, state uncertainty, and state-space models

Date:

2012

By:

Yulei Luo
Jun Nie
Eric R. Young

URL:

http://d.repec.org/n?u=RePEc:fip:fedkrw:rwp12-02&r=ecm
 

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