#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

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

research3

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 
arXiv.org

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 
arXiv.org

#Econometrics – Working papers (#RePEc, 14/05/2014)

research2

Source: RePEc – EconPapers

Sélection de working papers en économétrie:

Gradient Based Smoothing Parameter Selection for Nonparametric Regression Estimation
Daniel J. Henderson, Qi Li and Christopher F. Parmeter 
University of Miami, Department of Economics
Keywords: Gradient Estimation, Kernel Smoothing, Least Squares Cross Validation
JEL-code: C1
Created/Revised: 2013-10-30Downloads

Statistical Risk Analysis for Real Estate Collateral Valuation using Bayesian Distributional and Quantile Regression
Alexander Razen, Wolfgang Brunauer, Nadja Klein, Thomas Kneib, Stefan Lang and Nikolaus Umlauf 
Faculty of Economics and Statistics, University of…
Keywords: Bayesian hierarchical models, hedonic pricing models, GAMLSS, distributional regression quantile reg…
Created/Revised: 2014-04Downloads

Persistence Bias and Schooling Returns
Corrado Andini 
Institute for the Study of Labor (IZA)
Keywords: schooling, wages, dynamic panel-data models
JEL-code: C23 I21 J31
Created/Revised: 2014-04Downloads

Additive Nonparametric Regression in the Presence of Endogenous Regressors
Deniz Ozabaci, Daniel J. Henderson and Liangjun Su 
Institute for the Study of Labor (IZA)
Keywords: child care, structural equation, additive regression, endogeneity, generated regressors, oracle esti…
JEL-code: C14 C36 I21 J13
Created/Revised: 2014-04Downloads

Wavelet based Estimation of Time- Varying Long Memory Model with Nonlinear Fractional Integration Parameter
Heni Boubaker and Nadia Sghaier 
Department of Research, Ipag Business School
Created/Revised: 2014-04-29Downloads

The Need for Market Segmentation in Buy-Till-You-Defect Models
Evsen Korkmaz, Dennis Fok and Roelof Kuik 
Erasmus Research Institute of Management (ERIM), E…
Keywords: buy-till-you-defect models, segmentation, mixture of normals, Bayesian estimation, customer base ana…
Created/Revised: 2014-04-24Downloads

Distribution-Free Structural Estimation with Nonlinear Budget Sets
Che-Yuan Liang 
Uppsala University, Department of Economics
Keywords: nonlinear budget sets; structural models; distribution-free estimation; labor supply
JEL-code: D04 H24 J22
Created/Revised: 2014-04-14Downloads

Alternative Methods of Estimating Interaction Effects in Non-Linear Models
Siobhan Austen, Rachel Ong and Richard Seymour 
Bankwest Curtin Economics Centre (BCEC), Curtin Bu…
Created/Revised: 2013-12Downloads

Particle Gibbs with Ancestor Sampling Methods for Unobserved Component Time Series Models with Heavy Tails, Serial Dependence and Structural Breaks
Nima Nonejad 
University Library of Munich, Germany
Keywords: Ancestor sampling, Bayes, Particle filtering, Structural breaks
JEL-code: C11 C22 C52 C63
Created/Revised: 2014-05-01Downloads

10 Penalized Splines as Frequency Selective Filters – Reducing the Excess Variability at the Margins
Andreas Blöchl 
University of Munich, Department of Economics
Keywords: excess variability; penalized splines; spectral analysis; time varying penalization; trends
Created/Revised: 2014-04Downloads

Image: NYPL

#Econometrics – Working papers (#RePEc, 21/04/2014)

working_papers1

Source: RePEc – EconPapers

Noncausal Bayesian Vector Autoregression
Markku Lanne and Jani Luoto 
School of Economics and Management, University of …
Keywords: Noncausal time series, non-Gaussian time series, Bayesian analysis, New Keynesian model
JEL-code: C11 C32 E31
Created/Revised: 2014Downloads

Matrix Box-Cox Models for Multivariate Realized Volatility
Roland Weigand 
University of Regensburg, Department of Economics
Keywords: Realized covariance matrix; dynamic correlation; semiparametric estimation; density forecasting
JEL-code: C14 C32 C51 C53 C58
Created/Revised: 2014-03Downloads

Reduced-rank time-varying vector autoregressions
Joris de Wind and Luca Gambetti 
CPB Netherlands Bureau for Economic Policy Analysi…
JEL-code: C52 C53 E37
Created/Revised: 2014-03Downloads

Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
Manabu Asai and Michael McAleer 
University of Canterbury, Department of Economics …
Keywords: Dimension reduction; Factor Model; Multivariate Stochastic Volatility; Leverage Effects; Long Memory…
JEL-code: C32 C53 C58 G17
Created/Revised: 2014-03-17Downloads

On uniqueness of moving average representations of heavy-tailed stationary processes
Christian Gouriéroux and Jean-Michel Zakoian 
University Library of Munich, Germany
Keywords: $\alpha$-stable distribution; Domain of attraction; Infinite moving average; Linear process; Mixed c…
JEL-code: C14 C22 C32
Created/Revised: 2014-03-31Downloads

The seasonal KPSS Test: some extensions and further results
Ghassen El Montasser 
University Library of Munich, Germany
Keywords: KPSS test, deterministic seasonality, Brownian motion, LM test
JEL-code: C32
Created/Revised: 2014-03-10Downloads

Theoretical guidelines for a partially informed forecast examiner
Alexander Tsyplakov 
University Library of Munich, Germany
Keywords: probabilistic forecast; forecast calibration; moment condition; probability integral transform; orth…
JEL-code: C52 C53
Created/Revised: 2014-04-02Downloads

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

working_papers1

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

#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

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