#Econométrie – Working papers #RePEc (10/06/2014)

index

Source: RePEc – EconPapers

Sélection de documents de travail en économétrie:

Ratio-of-Mediator-Probability Weighting for Causal Mediation Analysis in the Presence of Treatment-by-Mediator Interaction
Guanglei Hong, Jonah Deutsch and Heather D. Hill 
Human Capital and Economic Opportunity Working Gro…
Keywords: Causal inference; direct effect; indirect effect; mediation mechanism; potential outcome; propensity…
JEL-code: C10 C14 C54 I38

A New Formulation for Latent Class Models
Sarah Brown, William Greene and Mark N. Harris 
The University of Sheffield, Department of Economi…
Keywords: latent class models; finite mixture models; ordered probability models; expected values; body mass i…
JEL-code: C3 D1 I1

The finite-sample size of the BDS test for GARCH standardized residuals
Marcelo Fernandes and Pierre-Yves Preumont 
Escola de Economia de São Paulo, Getulio Vargas Fo…

Conditional Quantile Estimation through Optimal Quantization
Isabelle Charlier and Davy Paindaveine 
ULB — Universite Libre de Bruxelles

High-dimensional CLTs for individual Mahalanobis distances
Thomas Holgersson and Deliang Dai 
Royal Institute of Technology, CESIS – Centre of E…
Keywords: Mahalanobis distance; increasing dimension; weak convergence; Marcenko-Pastur distribution; outliers…
JEL-code: C38 C46 C50

Estimating Individual Mahalanobis Distance in High-Dimensional Data
Deliang Dai, Thomas Holgersson and Peter Karlsson 
Royal Institute of Technology, CESIS – Centre of E…
Keywords: Increasing dimension data; Mahalanobis distance; Inverse covariance matrix; Smoothing
JEL-code: C38 C46 C50

Adaptations of Conventional Spatial Econometric Models to Count Data
Kurt Brännäs 
Umeå University, Department of Economics
Keywords: Integer-valued; Space; Time; Regional; Thinning; Estimation
JEL-code: C31 C32 C51 R12 R15 R23

Outlier Detection in Nonparametric Frontier Models
Christopher Bruffaerts, Bram De Rock and Catherine Dehon 
ULB — Universite Libre de Bruxelles
Keywords: nonparametric frontier models; directional distance; order-alpha frontiers; outlier detection; robus…

Markov-Switching Quantile Autoregression
Xiaochun Liu 
University Library of Munich, Germany
Keywords: Asymmetric-Laplace Distribution, Metropolis-Hastings, Block-at-a-Time, Asymmetric Dynamics, Transiti…
JEL-code: C51 C58 E0 E3 E32 G1

10 Stochastic Volatility Estimation with GPU Computing
Antonio Alberto Santos and João Andrade 
GEMF – Faculdade de Economia, Universidade de Coim…
Keywords: Bayesian Estimation; Graphics Processing Unit; Parallel Computing; Simulation; State-Space Models; S…
JEL-code: C11 C13 C15 C53 C63 C87

11 Bayesian Averaging of Classical Estimates in Asymmetric Vector Autoregressive (AVAR) Models
Manuel Leonard Friginal Albis and Dennis Sioson Mapa 
University Library of Munich, Germany
Keywords: BACE, AVAR, Robustness Procedures
JEL-code: C5 C52 C58

 

Image: NYPL

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