#Econometrics – Working papers (#RePEc, 17/04/2014)


Source: RePEc – EconPapers

Baysesian inference and model comparison for ramdom choice structures
William McCausland and A. A. J. Marley 
Universite de Montreal, Departement de sciences ec…
Keywords: Random utility, discrete choice, Bayesian inference, MCMC
JEL-code: C11 C35 C53 D01
Created/Revised: 2013Downloads

On Conditions in Central Limit Theorems for Martingale Difference Arrays Long Version
Abdelkamel Alj, Rajae Azrak and Guy Melard 
ULB — Universite Libre de Bruxelles
Keywords: unconditional Lyapunov condition; conditional Lindeberg condition
JEL-code: C13 C22
Created/Revised: 2014-01Downloads

Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections
Martha Banbura, Domenico Giannone and Michèle Lenza 
ULB — Universite Libre de Bruxelles
Keywords: vector autoregression; bayesian shrinkage; dynamic factor model; conditional forecast; large cross-s…
JEL-code: C11 C13 C33 C53
Created/Revised: 2014-03Downloads

Counterfactual Spatial Distributions
Paul E. Carrillo and Jonathan Rothbaum 
The George Washington University, Institute for In…
Keywords: Decomposition; Non-parametric Estimation
JEL-code: C14 R23 R30
Created/Revised: 2014-03Downloads

Statistical inference for measures of predictive success
Thomas Demuynck 
Maastricht University, Graduate School of Business…
Keywords: Econometric and Statistical Methods and Methodology: General; Design of Experiments: General; Consum…
JEL-code: C10 C90 D12
Created/Revised: 2014Downloads

Improving Likelihood-Ratio-Based Confidence Intervals for Threshold Parameters in Finite Samples
Luiggi Donayre, Yunjong Eo and James Morley 
University of Sydney, School of Economics
Keywords: Threshold regression; Finite-sample inference; Inverted likelihood ratio
Created/Revised: 2014-03Downloads

An Odd Couple: Monotone Instrumental Variables and Binary Treatments
Jeremiah Richey 
University Library of Munich, Germany
Keywords: Instrumental variables, Nonparametric bounds, Partial identification, Criminal convictions
JEL-code: C14 J63 K40
Created/Revised: 2013-11-06Downloads

Estimating and Testing Threshold Regression Models with Multiple Threshold Variables
Terence T. L. Chong and Isabel K. Yan 
University Library of Munich, Germany
Keywords: Threshold Model; Multiple Threshold Variables; Currency Crisis; Panel Data
JEL-code: C12 C13 C33 F3 F31 F37
Created/Revised: 2014-03-24Downloads

Nonparametric Least Squares Methods for Stochastic Frontier Models
Leopold Simar, Ingrid Van Keilegom and Valentin Zelenyuk 
University of Queensland, School of Economics
Created/Revised: 2014-03Downloads

10 Consistent Estimation of Panel Data Models with a Multifactor Error Structure when the Cross Section Dimension is Large
Bin Peng and Giovanni Forchini 
Economics Discipline Group, UTS Business School, U…
Keywords: Panel data model; cross-sectional dependence; asymptotic theory
JEL-code: C10 C13 C23
Created/Revised: 2014-03-01Downloads

11 A new concept of quantiles for directional data and the angular Mahalanobis depth
Christophe Ley, Camille Sabbah and Thomas Verdebout 
ULB — Universite Libre de Bruxelles
Keywords: Bahadur representation; directional statistics; DD- and QQ-Plot; Mahalanobis depth; rotationally sym…
Created/Revised: 2014Downloads

12 Self-Selection and Direct Estimation of Across-Regime Correlation Parameter
Giorgio Calzolari and Antonino Di Pino 
Universita’ degli Studi di Firenze, Dipartimento d…
Keywords: Endogenous switching model, Across-regime correlation parameter
JEL-code: C31 C34 J22
Created/Revised: 2014-03Downloads

13 Dynamic Factor Models, Cointegration and Error Correction Mechanisms
Matteo Barigozzi, Marco Lippi and Matteo Luciani 
ULB — Universite Libre de Bruxelles
Keywords: dynamic factor models for I (1) variables; cointegration; granger representation theorem
JEL-code: C00 C01 E00
Created/Revised: 2014-02Downloads

14 Simple Le Cam Optimal Inference for the Tail Weight of Multivariate Student t Distributions: Testing Procedures and Estimation
Christophe Ley and Anouk Neven 
ULB — Universite Libre de Bruxelles
Created/Revised: 2013Downloads

15 Inference on the Shape of Elliptical Distribution Based on the MCD
Davy Paindaveine and Germain Van Bever 
ULB — Universite Libre de Bruxelles
Created/Revised: 2013-05Downloads

16 On Quadratic Expansions of Log-Likelihoods and a General Asymptotic Linearity Result
Marc Hallin, Ramon van den Akker and Bas Werker 
ULB — Universite Libre de Bruxelles
Created/Revised: 2013-09Downloads

17 Optimal Rank-Based Tests for the Location Parameter of a Rotationally Symmetric Distribution on the Hypersphere
Davy Paindaveine and Thomas Verdebout 
ULB — Universite Libre de Bruxelles
Keywords: group invariance; rank-based tests; rotationally symmetric distributions; spherical statistics; unif…
Created/Revised: 2013-09Downloads

18 Universal Asymptotics for High-Dimensional Sign Tests
Davy Paindaveine and Thomas Verdebout 
ULB — Universite Libre de Bruxelles
Created/Revised: 2013-11Downloads

19 Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions
Li Pan and Dimitris N Politis 
Department of Economics, UC San Diego
Keywords: Physical Sciences and Mathematics, Confidence intervals, forecasting, time series
Created/Revised: 2014-01-01Downloads

20 Testing for Leverage Effect in Financial Returns
Christophe Chorro, Dominique Guegan, Florian Ielpo and Hanjarivo Lalaharison 
Université Panthéon-Sorbonne (Paris 1), Centre d’E…
Keywords: Maximum likelihood method, related-GARCH process, recursive estimation method, mixture of Gaussian d…
JEL-code: C58 C13
Created/Revised: 2014-02Downloads

21 Specific Markov-switching behaviour for ARMA parameters
Jean-François Carpantier 
Center for Research in Economic Analysis, Universi…
Keywords: Bayesian interference, Markov-switching model, ARMA model, infinite hidden Markov model, Dirichlet P…
JEL-code: C11 C15 C22 C58
Created/Revised: 2014Downloads

22 Econometric Filters
Stephen Pollock 
Department of Economics, University of Leicester
Keywords: Spectral analysis, Business cycles, Turning points, Seasonality.
Created/Revised: 2014-03Downloads

23 A Nonparametric Test for Grangercausality in Distribution with Application to Financial Contagion
Bertrand Candelon and Sessi Tokpavi 
Department of Research, Ipag Business School
Keywords: Granger-causality, Distribution, Tails, Kernel-based test, Fi- nancial Spill-over.
Created/Revised: 2014-02-25Downloads

24 Currency Crisis Early Warning Systems: Why They should be Dynamic
Bertrand Candelon, Christophe Hurlin and Elena Dumitnescu 
Department of Research, Ipag Business School
Keywords: dynamic models, currency crisis, Early Warning System.
JEL-code: C33 F37
Created/Revised: 2014-02-25Downloads

25 Quantile Spectral Processes: Asymptotic Analysis and Inference
Tobias Kley, Stanislav Volgushev, Holger Dette and Marc Hallin 
ULB — Universite Libre de Bruxelles
Keywords: time series; spectral analysis; periodogram; quantiles; copulas; ranks; spearman; blomqvist; gini sp…
Created/Revised: 2014-02Downloads

26 The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang 
Centre for Microdata Methods and Practice, Institu…
Created/Revised: 2014-02Downloads

27 Nonparametric estimation of finite measures
Stephane Bonhomme, Koen Jochmans and Jean-Marc Robin 
Centre for Microdata Methods and Practice, Institu…
Created/Revised: 2014-03Downloads

28 Optimal bandwidth selection for robust generalized method of moments estimation
Daniel Wilhelm 
Centre for Microdata Methods and Practice, Institu…
Created/Revised: 2014-03Downloads

29 A simple parametric model selection test
Susanne M. Schennach and Daniel Wilhelm 
Centre for Microdata Methods and Practice, Institu…
Created/Revised: 2014-03Downloads

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