Econométrie: working papers (RePEc, 20/05/2012)

Source : NEP (New Economics Papers) | RePEc

  • Simultaneous Statistical Inference in Dynamic Factor Models
    Date: 2012-05
    By: Thorsten Dickhaus
    URL: http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2012-033&r=ecm
    Keywords: family-wise error rate, false discovery rate, likelihood ratio statistic, multiple hypothesis testing, multivariate chi-squared distribution, time series regression, Wald statistic
    JEL: C12
  • Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Models
    Date: 2012-05-09
    By: Hayakawa, K.
    Pesaran, M.H.
    URL: http://d.repec.org/n?u=RePEc:cam:camdae:1224&r=ecm
    Keywords: Dynamic Panels, Cross-sectional heteroskedasticity, Monte Carlo simulation, GMM estimation
    JEL: C12
  • Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors
    Date: 2012-04-30
    By: Eric Hillebrand (Aarhus University and CREATES)
    Tae-Hwy Lee (University of California, Riverside)
    URL: http://d.repec.org/n?u=RePEc:aah:create:2012-18&r=ecm
    Keywords: Stein-rule, shrinkage, risk, variance-bias tradeo, OLS, principal components.
    JEL: C1
  • Nonparametric estimation and inference for Granger causality measures
    Date: 2012-03
    By: Abderrahim Taamouti
    Taoufik Bouezmarni
    Anouar El Ghouch
    URL: http://d.repec.org/n?u=RePEc:cte:werepe:we1212&r=ecm
    Keywords: Causality measures, Nonparametric estimation, Time series, Copulas, Bernstein copula density, Local bootstrap, Conditional distribution function, Stock returns
    JEL: C12
  • Nonparametric tests for conditional independence using conditional distributions
    Date: 2011-10
    By: Taoufik Bouezmarni
    Abderrahim Taamouti
    URL: http://d.repec.org/n?u=RePEc:cte:werepe:we1211&r=ecm
    Keywords: Nonparametric tests, Time series, Conditional independence, Granger non-causality, Nadaraya-Watson estimator, Conditional distribution function, VIX volatility index, S&P500 index
    JEL: C12
  • Indirect estimation of GARCH models with alpha-stable innovations
    Date: 2012-04-18
    By: Parrini, Alessandro
    URL: http://d.repec.org/n?u=RePEc:pra:mprapa:38544&r=ecm
    Keywords: GARCH; alpha-stable distribution; indirect estimation; skew-t distribution; Monte Carlo simulations
    JEL: C13
  • Multilevel structured additive regression
    Date: 2012-04
    By: Stefan Lang
    Nikolaus Umlauf
    Peter Wechselberger
    Kenneth Harttgen
    Thomas Kneib
    URL: http://d.repec.org/n?u=RePEc:inn:wpaper:2012-07&r=ecm
    Keywords: Bayesian hierarchical models, kriging, Markov random fields, MCMC, multiplicative random effects, P-splines
  • Bootstrapping factor-augmented regression models
    Date: 2012-05-01
    By: Sílvia Gonçalves
    Benoit Perron
    URL: http://d.repec.org/n?u=RePEc:cir:cirwor:2012s-12&r=ecm
    Keywords: factor model, bootstrap, asymptotic bias, Modèle à facteurs, bootstrap, biais asymptotique
  • Robustness for Dummies
    Date: 2012-05
    By: Vincenzo Verardi
    Marjorie Gassner
    Darwin Ugarte Ontiveros
    URL: http://d.repec.org/n?u=RePEc:eca:wpaper:2013/117087&r=ecm
    Keywords: S-estimators; Robust Regression; Dummy Variables; Outliers
  • A Multivariate Random Walk Model with Slowly Changing Drift and Cross-correlation Applied to Finance
    Date: 2012-05
    By: Yuanhua Feng (University of Paderborn)
    David Hand (Imperial College)
    Yuanhua Feng (Brunel University)
    URL: http://d.repec.org/n?u=RePEc:pdn:wpaper:50&r=ecm
    Keywords: Forecasting, Kernel estimation, Multivariate time series analysis, Portfolio return, Slowly changing multivariate random walk
  • Oracle Inequalities for High Dimensional Vector Autoregressions
    Date: 2012-04-30
    By: Anders Bredahl Kock (Aarhus University and CREATES)
    Laurent A.F. Callot (Aarhus University and CREATES)
    URL: http://d.repec.org/n?u=RePEc:aah:create:2012-16&r=ecm
    Keywords: Vector autoregression, LASSO, Adaptive LASSO, Oracle inequality, Variable selection.
    JEL: C01
  • Bernstein estimator for unbounded density copula
    Date: 2011-10
    By: Taoufik Bouezmarni
    Anouar El Ghouch
    Abderrahim Taamouti
    URL: http://d.repec.org/n?u=RePEc:cte:werepe:we1143&r=ecm
    Keywords: Unbounded copula, Nonparametric estimation, Bernstein polynomial, Asymptotic properties, Uniform strong consistency, Relative convergence, Boundary bias
  • The Estimation of Multi-dimensional Fixed Effects Panel Data Models
    Date: 2012-04-23
    By: László Mátyás
    László Balázsi
    URL: http://d.repec.org/n?u=RePEc:ceu:econwp:2012_2&r=ecm
  • Bayesian Estimation of a Dynamic Game with Endogenous, Partially Observed, Serially Correlated State
    Date: 2012
    By: A. Ronald Gallant
    Han Hong
    Ahmed Khwaja
    URL: http://d.repec.org/n?u=RePEc:duk:dukeec:12-01&r=ecm
    Keywords: Dynamic Games, Partially Observed State, Endogenous State, Serially Correlated State, Particle Filter
    JEL: E00
  • Estimation of Public Goods Game Data
    Date: 2012-04
    By: Merrett, Danielle
    URL: http://d.repec.org/n?u=RePEc:syd:wpaper:2123/8256&r=ecm
    Keywords: finite mixture models; ordered logit; fixed effects; random effects; economic experiments; voluntary contributions mechanism; public goods
  • Decomposition of non-linear models using simulated residuals
    Date: 2012-05-04
    By: François-Charles Wolff (LEMNA – Laboratoire d’économie et de management de Nantes Atlantique – Université de Nantes : EA4272, INED – Institut National d’Etudes Démographiques Paris – INED)
    URL: http://d.repec.org/n?u=RePEc:hal:wpaper:hal-00694421&r=ecm
    Keywords: Blinder-Oaxaca ; non-linear models ; simulated residuals
  • A multivariate piecing-together approach with an application to operational loss data
    Date: 2012-05
    By: Stefan Aulbach
    Verena Bayer
    Michael Falk
    URL: http://d.repec.org/n?u=RePEc:arx:papers:1205.1617&r=ecm
  • An endogenously clustered factor approach to international business cycles
    Date: 2012
    By: Neville Francis
    Michael T. Owyang
    Özge Savascin
    URL: http://d.repec.org/n?u=RePEc:fip:fedlwp:2012-014&r=ecm
    Keywords: Business cycles ; Economic conditions
  • Using of Non-Numeric, Non-Exact and Non-Complete Information for Alternatives’ Probabilities Estimation
    Date: 2011-09
    By: Nikolai V. Hovanov
    Maria S. Yudaeva
    URL: http://d.repec.org/n?u=RePEc:deg:conpap:c016_010&r=ecm
    Keywords: Ordinal and Interval Information; Randomization of Uncertainty; Random Probabilities
  • Overlapping sub-sampling and invariance to initial conditions
    Date: 2012-05-01
    By: Kyriacou, Maria
    URL: http://d.repec.org/n?u=RePEc:stn:sotoec:1203&r=ecm
  • The Contributions of Rare Objects in Correspondence Analysis
    Date: 2011-09
    By: Michael Greenacre
    URL: http://d.repec.org/n?u=RePEc:bge:wpaper:571&r=ecm
    Keywords: Biplot, canonical correspondence analysis, contribution, correspondence analysis, influence, outlier, scaling
    JEL: C19
  • Testing for linear and threshold cointegration under the spatial equilibrium condition
    Date: 2012-02-23
    By: Araujo-Enciso, Sergio Rene
    URL: http://d.repec.org/n?u=RePEc:ags:eaa123:122545&r=ecm
    Keywords: Spatial Equilibrium Condition, Testing Cointegration, Demand and Price Analysis, Risk and Uncertainty, C15, E37,
  • Interaction effects in econometrics
    Date: 2012-04-10
    By: Balli, Hatice Ozer
    Sorensen, Bent E.
    URL: http://d.repec.org/n?u=RePEc:pra:mprapa:38608&r=ecm
    Keywords: Non-Linear Regression; Interaction Terms
    JEL: C13

 

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