#Econometrics – Working papers (#RePEc, 01/04/2014)

working_papers1

Source: RePEc – EconPapers

An importance sampling algorithm for copula models in insurance
Philipp Arbenz, Mathieu Cambou and Marius Hofert 
arXiv.org
Created/Revised: 2014-03Downloads

Instrumental Variables: An Econometrician’s Perspective
Guido W. Imbens 
National Bureau of Economic Research, Inc
JEL-code: C01
Created/Revised: 2014-03Downloads

A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing
Stephan Smeekes and Jean-Pierre Urbain 
Maastricht University, Graduate School of Business…
Keywords: Statistical Simulation Methods: General; Multiple or Simultaneous Equation Models: Time-Series Model…
JEL-code: C15 C32
Created/Revised: 2014Downloads

Exploiting the Choice-Consumption Mismatch: A New Approach to Disentangle State Dependence and Heterogeneity
K. Sudhir and Nathan Yang 
Cowles Foundation for Research in Economics, Yale …
Keywords: Consumer dynamics, Heterogeneity, Quasi-experiment econometrics, Service industry, State dependence
JEL-code: C1 C5 L00 L80 M2 M3
Created/Revised: 2014-03Downloads

Modeling volatility with Range-based Heterogeneous Autoregressive Conditional Heteroskedasticity model
Tomasz Skoczylas 
Faculty of Economic Sciences, University of Warsaw
Keywords: volatility modelling, volatility forecasting, ARCH, range-based volatility estimators, heterogeneity…
JEL-code: C13 C22 C53
Created/Revised: 2014Downloads

A criterion for the number of factors in a data-rich environment
Ard H.J. de Reijer, Jan P.A.M. Jacobs and Pieter W. Otter 
University of Groningen, Research Institute SOM (S…
Created/Revised: 2014Downloads

Outliers and Persistence in Threshold Autoregressive Processes: A Puzzle?
Yamin S Ahmad and Luiggi Donayre 
UW-Whitewater, Department of Economics
Keywords: Outliers, Persistence, Monte Carlo Simulations, Threshold Autoregressionn, Size, Power
JEL-code: C15 C22
Created/Revised: 2014-03Downloads

On trend-cycle-seasonal interactions
Irma Hindrayanto, Jan Jacobs and Denise Osborn 
Netherlands Central Bank, Research Department
Keywords: trend-cycle-seasonal decomposition; unobserved components; state-space models; seasonal adjustment; …
JEL-code: C22 E24 E32 E37 F01
Created/Revised: 2014-03Downloads

CCE estimation of factor-augmented regression models with more factors than observables
Jean-Pierre Urbain, H. Karabiyik and J. Westerlund 
Maastricht University, Graduate School of Business…
Keywords: Hypothesis Testing: General; Estimation: General; Multiple or Simultaneous Equation Models: Models w…
JEL-code: C12 C13 C33
Created/Revised: 2014Downloads

10 Temporal Aggregation of Random Walk Processes and Implications for Asset Prices
Yamin S Ahmad and Ivan Paya 
UW-Whitewater, Department of Economics
Keywords: Temporal Aggregation, Random Walk, Variance Ratio, Sharpe Ratio
JEL-code: F47 C15 C32
Created/Revised: 2014-01Downloads

11 A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: an Application to Risk Analysis
David Ardia, Lukasz Gatarek and Lennart F. hoogerheide 
CIRPEE
Keywords: Bootstrap test, GARCH, Marginal models,Multiple time series, Value-at-Risk
JEL-code: C1 C12 C22 C44
Created/Revised: 2014Downloads

12 Estimation of Factor-Augmented Panel Regressions with Weakly Influential Factors
Joakim Westerlund and Simon Reese 
Lund University, Department of Economics
Keywords: Non-strong common factors; factor-augmented panel regressions; common factor models
JEL-code: C12 C13 C33
Created/Revised: 2014-02-13Downloads

13 Robust Hypothesis Tests for M-Estimators with Possibly Non-differentiable Estimating Functions
Wei-Ming Lee, Yu-Chin Hsu and Chung-Ming Kuan 
Institute of Economics, Academia Sinica, Taipei, T…
Keywords: censored regression, generalized method of moments, robust hypothesis testing, KVB approach, M-estim…
JEL-code: C12 C22
Created/Revised: 2014-03Downloads

14 Outliers in multivariate Garch models
Aurea Grané, Belén Martín-Barragán and Helena Veiga 
Universidad Carlos III, Departamento de Estadístic…
Keywords: Additive Outliers, Correlations, Volatilities, Wavelets
JEL-code: C10 C13 C53 C58 G17
Created/Revised: 2014-02Downloads

15 Least quartic Regression Criterion with Application to Finance
Giuseppe arbia 
arXiv.org
Created/Revised: 2014-03Downloads

16 The Quantity and Quality of Children: A Semi-Parametric Bayesian IV Approach
Sylvia Frühwirth-Schnatter, Martin Halla, Alexandra Posekany, Gerald J. Pruckner and Thomas Schober 
Institute for the Study of Labor (IZA)
Keywords: quantity-quality model of fertility, family size, human capital, health, semi-parametric Bayesian IV…
JEL-code: J13 C26 C11 I20 J20 I10
Created/Revised: 2014-03Downloads

17 Targeting estimation of CCC-Garch models with infinite fourth moments
Rasmus Søndergaard Pedersen 
University of Copenhagen. Department of Economics
Keywords: Targeting; variance targeting; multivariate GARCH; constant conditional correlation; asymptotic theo…
JEL-code: C32 C51 C58
Created/Revised: 2014-02Downloads

18 A simple consistent test of conditional symmetry in symmetrically trimmed tobit models
Tao Chen and Gautam Tripathi 
Center for Research in Economic Analysis, Universi…
Created/Revised: 2014Downloads

19 Asymptotic Refinements of a Misspecification-Robust Bootstrap for GEL Estimators
Seojeong Lee 
School of Economics, The University of New South W…
Keywords: generalized empirical likelihood, bootstrap, asymptotic refinement, model misspecification
JEL-code: C14 C15 C31 C33
Created/Revised: 2014-01Downloads

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