#Econometrics – Working papers (#RePEc, 26/05/2014)


Source: RePEc – EconPapers

Sélection de working papers en économétrie:

Fixed Effects and Random Effects Estimation of Higher-Order Spatial Autoregressive Models with Spatial Autoregressive and Heteroskedastic Disturbances
Harald Badinger and Peter H. Egger 
Vienna University of Economics, Department of Econ…
Keywords: Higher-order spatial dependence, Generalized moments estimation, Heteroskedasticity, Two-stage least…
JEL-code: C13 C21 C23

A Minimax Bias Estimator for OLS Variances under Heteroskedasticity
Mumtaz Ahmed and Asad Zaman 
University Library of Munich, Germany
Keywords: Eicker-White; OLS; Bias; Worst Case Bias
JEL-code: C1 C2

Quantile Spectral Analysis for Locally Stationary Time Series
Stefan Skowronek, Stanislav Volgushev, Tobias Kley, Holger Dette and Marc Hallin 
ULB — Universite Libre de Bruxelles
Keywords: time series; spectral analysis; periodogram; quantile regression; copulas; ranks; local stationarity

Probit Transformation for Nonparametric Kernel Estimation of the Copula Density
Gery Geenens, Arthur Charpentier and Davy Paindaveine 
ULB — Universite Libre de Bruxelles
Keywords: copula density; transformation kernel density estimator; boundary bias; unbounded Density; local lik…

Predictive regressions for macroeconomic data
Fukang Zhu, Zongwu Cai and Liang Peng 

Estimation and Prediction Intervals in Transformed Linear Mixed Models
Hisayuki Tsukuma and Tatsuya Kubokawa 
CIRJE, Faculty of Economics, University of Tokyo

On an Estimation Method for an Alternative Fractionally Cointegrated Model
Federico Carlini and Katarzyna Lasak 
School of Economics and Management, University of …
Keywords: Error correction model, Gaussian VAR model, Fractional Cointegration, Estimation algorithm, Maximum …
JEL-code: C13 C32

Practical Procedures to Deal with Common Support Problems in Matching Estimation
Michael Lechner and Anthony Strittmatter 
University of St. Gallen, School of Economics and …
Keywords: Empirical Monte Carlo Study, matching estimation, regression, common support, outlier, small sample …
JEL-code: C21 J68

Efficiency and benchmarking with directional distances. A data driven approach
Cinzia Daraio and Leopold Simar 
Department of Computer, Control and Management Eng…
Keywords: DEA; benchmarking; directional distance functions; nonparametric estimation; heterogeneity; performa…

10 Multiple Fixed Effects in Binary Response Panel Data Models
Karyne B. Charbonneau 
Bank of Canada
Keywords: Econometric and statistical methods
JEL-code: C23 C25 F14

11 Multiplicative-error models with sample selection
Koen Jochmans 
Sciences Po

12 On the Biases and Variability in the Estimation of Concentration Using Bracketed Quantile Contributions
Nassim N Taleb and Raphael Douady 

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