Search Results

Bayesian analysis in the case of an estimated parameter following a stochastic process,
Lev Slutskin, in Applied Econometrics (2010)
Keywords: asymptotic covariance matrix; Bayes’ rule; Gaussian process; marginal posterior distribution

A new approach to construction of objective priors: Hellinger information,
Arkady Shemyakin, in Applied Econometrics (2012)
Keywords: non-informative priors; reference priors; Jeffreys’ rule; Hellinger distance; Hellinger information.

Definition of a prior distribution in Bayesian analysis by minimizing Kullback–Leibler divergence under data availability,
Lev Slutskin, in Applied Econometrics (2015)
Keywords: prior probability distributions; Bayesian methodology; Kullback–Leibler divergence; regression analysis

Using Bayesian networks to model the operational risk to information technology infrastructure in financial institutions,
Martin Neil and Norman Fenton, in Journal of Financial Transformation (2008)
Keywords: Bayesian networks; operational risk

Statistical Analysis of Location Parameter of Inverse Gaussian Distribution Under Noninformative Priors,
Nida Khan and Muhammad Aslam, in Journal of Quantitative Methods (2019)
Keywords: Bayesian estimation; noninformative prior; Jeffreys prior; loss function; Bayes estimator; Bayes risk; simulation study

Conceptos basicos de probabilidad,
Ignacio Velez-Pareja, from Master Consultores (2009)
Keywords: Probability rules, induction, deduction, random variable, independence

Statistics as a tool for the development of speech recognition automatic systems,
José Luciano Maldonado, in Economía (1998)
Keywords: Sistemass reconocedores del habla, tecnología del habla,modelos ocultos del Markov

Approximate Bayesian Computation for Partially Identified Models,
Luis Antonio Alvarez, from University Library of Munich, Germany (2023)
Keywords: Approximate Bayesian Computation; Partial Identification; Tuning parameter selection

Preprocessing Technologies Of Retrospective Information As Forecasting Basis For Economic Processes,
Oksana Snytuk and Lesia Berezhna, in Business & Management Compass (2010)

Earthquake parametric insurance with Bayesian spatial quantile regression,
Jeffrey Pai, Yunxian Li, Aijun Yang and Chenxu Li, in Insurance: Mathematics and Economics (2022)
Keywords: Earthquake risk; Parametric insurance; Quantile regression; Spatial correlation; Bayesian approaches;

Baysian Flexible Mixture Distribution Modelling of Dichotomous Choice Contingent Valuation with Heterogeneity,
Jorge Araña and Carmelo J. Leon, from Econometric Society (2004)
Keywords: Bayesian Econometrics; Mixture of Normals; Choice Experiments

Lifting, superadditivity, mixed integer rounding and single node flow sets revisited,
Quentin Louveaux and Laurence Wolsey, from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003)
Keywords: lifting, mixed integer rounding, single node flow sets

Baysian seasonal analysis with robust priors,
Rolando Gonzales, in Investigación & Desarrollo (2012)
Keywords: Seasonal analysis, Bayesian inference

Intercambio educativo virtual: Una clase virtual compartida Norte-Sud sobre desarrollo sostenible,
Augusta Abrahamse, Carla Quiroga, Mathew Johnson and Ruth Scipione, in Investigación & Desarrollo (2012)
Keywords: Educación Internacional, Aprendizaje Virtual, Colaboración Intercultural, Competencias Globales, Aprendizaje Activo

Some Remarks on Consistency and Strong Inconsistency of Bayesian Inference,
Andrzej Kocięcki, from University Library of Munich, Germany (2011)
Keywords: invariant models; coherence; strong inconsistency; groups

Choosing Prior Hyperparameters: With Applications To Time-Varying Parameter Models,
Mu-Chun Wang, from Verein für Socialpolitik / German Economic Association (2018)
Keywords: Bayesian inference, Bayesian VAR, Time variation

A Bayesian MCMC Algorithm for Markov Switching GARCH models,
Dhiman Das and Byoung Hark Yoo, from Econometric Society (2004)
Keywords: Markov Switching, GARCH, Bayesian

Likelihood-based estimation of latent generalised ARCH structures,
Gabriele Fiorentini, Enrique Sentana and Neil Shephard, from London School of Economics and Political Science, LSE Library (2003)
Keywords: Bayesian inference; dynamic heteroskedasticity; factor models; Markov chain Monte Carlo; simulated EM algorithm; volatility

Honorary Lecture on S. James Press and Bayesian Analysis,
Arnold Zellner, in Review of Economic Analysis (2009)
Keywords: S. James Press, Bayesian analysis, statistical inference, optimal learning models, Bayes' theorem

A Finer Point in Forensic Identification,
Halvor Mehlum, from Oslo University, Department of Economics (2003)
Keywords: Bayesian analysis; Forensic statistics

Nested Designs with AR Errors via MCMC,
Mahdi Alkhamisi, from Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics (2007)
Keywords: Bayesian statistics; Metropolis-Hastings algorithm; Markov chain Monte Carlo methods; repeated measurements; autoregressive process; Gibbs sampling

Bayesian analysis of verbal autopsy data using factor models with age- and sex-dependent associations between symptoms,
Tsuyoshi Kunihama, Zehang Richard Li, Samuel J. Clark and Tyler H. McCormick, from School of Economics, Kwansei Gakuin University (2024)
Keywords: Bayesian factor models, Causes of death distribution, Multivariate data, Verbal autopsies, Survey data

BAYESIAN ANALYSIS OF THE COMPOUND COLLECTIVE MODEL: THE NET PREMIUM PRINCIPLE WITH EXPONENTIAL POISSON AND GAMMA–GAMMA DISTRIBUTIONS,
A. Hernández-Bastida, J.m Pérez–Sánchez and E. Gómez-Deniz, from Faculty of Economics and Business (University of Granada) (2007)
Keywords: Compound collective model; Bayesian analysis; Robustness analysis.

Welfare Reform and Children's Health,
Badi Baltagi and Yin-Fang Yen, from Center for Policy Research, Maxwell School, Syracuse University (2014)
Keywords: Maternal Employment, Children's Health, Welfare, Fixed Effects

Bayesian inference of a smooth transition dynamic almost ideal model of food demand in the US,
Kelvin Balcombe and Alastair Bailey, from University Library of Munich, Germany (2006)
Keywords: Consumption Bayesian

Bayesian methods,
Luc Bauwens and Dimitris Korobilis, from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011)
Keywords: Bayesian inference, dynamic regression model, prior distributions, MCMC methods

Inferring the Latent Incidence of Inefficiency from DEA Estimates and Bayesian Priors,
Daniel Friesner, Ron Mittelhammer and Robert Rosenman, from School of Economic Sciences, Washington State University (2006)
Keywords: Data Envelopment Analysis, latent inefficiency, Bayesian inference,Beta priors, posterior incidence of inefficiency

Inferring the Latent Incidence of Inefficiency from DEA Estimates and Bayesian Priors,
Daniel Friesner, Ron Mittelhammer and Robert Rosenman, from School of Economic Sciences, Washington State University (2006)
Keywords: repeated auction; Data Envelopment Analysis, latent inefficiency, Bayesian inference,Beta priors, posterior incidence of inefficiency

Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables,
John Chao and Peter Phillips, from Cowles Foundation for Research in Economics, Yale University (1998)
Keywords: Cauchy tails, exact finite sample distributions, Jeffreys prior, just identification, limited information, posterior density, simultaneous equations model

Model Selection Criteria for Segmented Time Series from a Bayesian Approach to Information Compression,
Brian Hanlon and Catherine Forbes, from Monash University, Department of Econometrics and Business Statistics (2002)
Keywords: Complexity theory; segmentation; break points; change points; model selection; model choice.

Bayesian Estimation of Atkinson Inequality Measures,
Duangkamon Chotikapanich and John Creedy, from The University of Melbourne (2000)
Keywords: DISTRIBUTION ; INCOME ; INFORMATION

Manipulation Robustness of Collaborative Filtering Systems,
Benjamin Van Roy and Xiang Yan, from NET Institute (2009)
Keywords: recommendation system, collaborative filtering, manipulation, information theory, statistics

Fractional bayes factors for the analysis of autoregressive models with possible unit roots,
Maria Maddalena Barbieri and Caterina Conigliani, from Department of Economics - University Roma Tre (2000)
Keywords: Autoregressive model, fractional Bayes factor, model selection, time series, unit root

An alternative bayes factor for testing for unit autoregressive roots,
Caterina Conigliani and F. Spezzaferri, from Department of Economics - University Roma Tre (2002)
Keywords: Autoregressive model, bayes factor, model selection, noninformative prior distributions time series, unit root

Semi-parametric modelling for costs of helt care technologies,
Caterina Conigliani and Andrea Tancredi, from Department of Economics - University Roma Tre (2003)
Keywords: Healthcare cost data, semiparametric modelling, mixture models, generalised Pareto distribution.

A bayesian semi-parametric approach for cost-effectiveness analysis in health economics,
Caterina Conigliani and Andrea Tancredi, from Department of Economics - University Roma Tre (2005)
Keywords: Healthcare cost data, cost-effectiveness analysis, mixture models, semiparametric modelling.

Comparing parametric and semi-parametric approaches for bayesian cost-effectiveness analyses in health economics,
Caterina Conigliani and Andrea Tancredi, from Department of Economics - University Roma Tre (2006)
Keywords: Healthcare cost data, cost-effectiveness analysis, mixture models, Bayesian model averaging

Bayesian Inference for Partially Identified Convex Models: Is it Valid for Frequentist Inference?,
Yuan Liao and Anna Simoni, from Rutgers University, Department of Economics (2016)
Keywords: partial identication, Bayesian credible sets, support function, moment inequality models, Bernstein-von Mises theorem

Sticking It Out: Entrepreneurial Survival and Liquidity Constraints,
Douglas Holtz-Eakin, David Joulfaian and Harvey Rosen, from Princeton University, Department of Economics, Industrial Relations Section. (1993)
Keywords: entrepreneurship, liquidity constraints

Consistent Parameter Estimation for Lagged Multilevel Models,
N.H. Spencer, from University of Hertfordshire - Business Schoool (1998)
Keywords: ESTIMATOR ; STATISTICAL ANALYSIS

Forecasting Seasonal Factors Method Vs. Regression Method With MS Excel,
Petru Balogh and Pompiliu Golea, in Knowledge Horizons - Economics (2015)
Keywords: Forecasting, Seasonal factor, Regression, Comparative analysis

The Efficiency Of An Estimator. Application,
Cristina-Ioana Fatu, in Knowledge Horizons - Economics (2017)
Keywords: Statistical Estimation, Efficient Estimator, Random Variable, Relative Efficiency, Absolute Correct Estimator

Stock Market Volatility And Non-Performing Loans: Evidence From Stocks Of The Nigerian Banks,
Sayo Oludare, Michael Olagunju and Olusegun Adelodun, in The African Finance Journal (2013)
Keywords: EGARCH model, GED residuals, returns, heteroscedasticity

The Generalized Method of Moments,
Lev Slutskin, in Applied Econometrics (2007)
Keywords: asymptotic normality; consistent estimator; instrumental variables; method of moments

Evolución de la productividad multifactorial, ciclos y comportamiento de la actividad económica en Cundinamarca,
Álvaro Hernando Chavez Castro, from Universidad Externado de Colombia (2005)
Keywords: Cundinamarca

On the existence of moments: With an application to German stock returns,
Ralf Runde and Axel Scheffner, from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (1998)
Keywords: Tail estimation, fQ-System, Distribution of stock returns

Estimation Theory for the Cusp Catastrophe Model,
Loren Cobb, from University Library of Munich, Germany (2010)
Keywords: cusp, catastrophe, exponential family

Turkiye'de Calisan Kadinlarin Cocuk Bakim Tercihleri,
Hulya Kakici, Asst. Prof. Hamdi Emec and Prof.Dr.Senay Ucdogruk, in Istanbul University Econometrics and Statistics e-Journal (2007)
Keywords: Child care preferences, working women, child care prefefences of working women, multinomial logit model.

Zenga’s new index of economic inequality, its estimation, and an analysis of incomes in Italy,
Francesca Greselin, Leo Pasquazzi and Ricardas Zitikis, from University Library of Munich, Germany (2009)
Keywords: Zenga index, lower conditional expectation, upper conditional expectation, confidence interval, Bonferroni curve, Lorenz curve, Vervaat process.

Asymptotic properties of QMLE for periodic asymmetric strong and semi-strong GARCH models,
Abdelouahab Bibi and Ahmed Ghezal, from University Library of Munich, Germany (2017)
Keywords: Periodic asymmetric GARCH model, Stationarity, Strong consistency, Asymptotic normality.

Filtering and likelihood estimation of latent factor jump-diffusions with an application to stochastic volatility models,
Francesco Paolo Esposito and Mark Cummins, from University Library of Munich, Germany (2015)
Keywords: latent state-variables, non-linear filtering, finite difference method, multi-variate jump-diffusions, likelihood estimation

Variance targeting estimation of the BEKK-X model,
Le Quyen Thieu, from University Library of Munich, Germany (2016)
Keywords: BEKK model augmented with exogenous variables, BEKK-X model, Variance targeting estimation (VTE)

A távbeszélő-szolgáltatások keresleti modelljeinek áttekintése - különös tekintettel a vezetékes és mobilszolgáltatások közötti helyettesítés becslésére,
Vanda Bölcskei, in Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences) (2010)

Bias-corrected Moment-based Estimators for Parametric Models under Endogenous Stratified Sampling,
Joaquim Ramalho and Esmeralda Ramalho, from University of Évora, Department of Economics (Portugal) (2005)
Keywords: Endogenous Stratified Sampling, Bias correction, GMM, Parametric models

Non-routine Works Occur from Aviation Man-hour Estimation: Real-time Applications in Job Cards,
Halim Kazan and Arzu Tavsamaz, in Alphanumeric Journal (2014)
Keywords: Forecast, Job Card, Man-Hour, Non-routine, Routine

Averaging estimators for discrete choice by M-fold cross-validation,
Shangwei Zhao, Jianhong Zhou and Guangren Yang, in Economics Letters (2019)
Keywords: Asymptotically optimality; Computational cost; Cross-validation; Model averaging;

Uniform confidence bands: Characterization and optimality,
Joachim Freyberger and Yoshiyasu Rai, in Journal of Econometrics (2018)
Keywords: Uniform confidence bands; Simultaneous inference; Projections; Optimality;

How important are wealth effects on consumption in Canada?,
Maral Kichian and Milana Mihic, in Canadian Journal of Economics (2018)

Extreme quantile estimation for β-mixing time series and applications,
Valérie Chavez-Demoulin and Armelle Guillou, in Insurance: Mathematics and Economics (2018)
Keywords: Asymptotic normality; β-mixing; Extreme value index; GARCH models; High quantile; Return level; Value-at-Risk;

A small sigma approach to certain problems in errors-in-variables models,
Jinyong Hahn, Jerry Hausman and Jeonghwan Kim, in Economics Letters (2021)
Keywords: Errors-in-variables; Small sigma;

A Proposed Estimator for Dynamic Probit Models,
Wei Gao, Qiwei Yao and Wicher Bergsman, from University Library of Munich, Germany (2013)
Keywords: Dynamic and static probit models; Panel data; Generalized Linear models

Second order bias of quasi-MLE for covariance structure models,
Artem Prokhorov, in Economics Letters (2012)
Keywords: (Q)MLE; EL; Covariance structures;

Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem,
Dmytro Matsypura, Emily Neo and Artem Prokhorov, in Economics Letters (2016)
Keywords: Network flow problem; Copulas;

A goodness-of-fit test for copulas,
Artem Prokhorov, from University Library of Munich, Germany (2008)

Optimal estimation for doubly multivariate data in blocked compound symmetric covariance structure,
Anuradha Roy, Roman Zmyślony, Miguel Fonseca and Ricardo Leiva, from College of Business, University of Texas at San Antonio (2015)
Keywords: Best unbiased estimator, blocked compound symmetric covariance structure, doubly multivariate data, coordinate free approach

A Flexible-Form Nonnegative Regression Model Accommodating Zeros and Endogenous Switching,
Kerry Anne McGeary and Joseph Terza, from Pennsylvania State - Department of Economics (1995)
Keywords: REGRESSION ANALYSIS;SAMPLING;EVALUATION

On large market asymptotics for spatial price competition models,
Taisuke Otsu and Keita Sunada, in Economics Letters (2024)
Keywords: Spatial price competition; Weak instruments;

Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation,
Cícero Augusto Vieira Neto and Pedro Valls Pereira, in Brazilian Review of Finance (2005)
Keywords: term structure of interest rates, dynamics, derivatives contract pricing

An algorithm for constructing high dimensional distributions from distributions of lower dimension,
Stanislav Anatolyev, Renat Khabibullin and Artem Prokhorov, in Economics Letters (2014)
Keywords: Pseudo-likelihood; Multivariate distribution; Copulas;

Instrumental Variable Estimation of Nonlinear Errors-in-Variables Models,
Susanne Schennach, from Econometric Society (2004)
Keywords: errors-in-variables, measurement error, Fourier transforms, nonlinear models, semiparametric estimation

Ill-posed Problems and Instruments' Weakness,
Grant Hillier and Giovanni Forchini, from Econometric Society (2004)
Keywords: Ill-posed Problems, Weak Instruments, Parametric Models

Eigenvectors of some large sample covariance matrices ensembles,
Olivier Ledoit and Sandrine P�ch�, from Institute for Empirical Research in Economics - University of Zurich (2009)
Keywords: Asymptotic distribution, bias correction, eigenvectors and eigenvalues, principal component analysis, random matrix theory, sample covariance matrix, shrinkage estimator, Stieltjes transform.

Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters,
Giuliano De Rossi, from Society for Computational Economics (2004)
Keywords: Particle filtering; Term structure of interest rates

Nonlinear shrinkage estimation of large-dimensional covariance matrices,
Olivier Ledoit and Michael Wolf, from Institute for Empirical Research in Economics - University of Zurich (2011)
Keywords: Large-dimensional asymptotics, nonlinear shrinkage, rotation equivariance

The analysis of marked and weighted empirical processes of estimated residuals,
Vanessa Berenguer-Rico, Soren Johansen and Bent Nielsen, from Department of Economics and Business Economics, Aarhus University (2019)
Keywords: 1-step Huber-skip, Non-stationarity, Robust Statistics, Stationarity

Modeling long-range dependent Gaussian processes with application in continuous-time financial models,
Jiti Gao, from University Library of Munich, Germany (2003)
Keywords: continuous-time model; diffusion process; long-range dependent process; parameter estimation; stochastic volatility

VAR for VaR: measuring systemic risk using multivariate regression quantiles,
Halbert White, Tae-Hwan Kim and Simone Manganelli, from University Library of Munich, Germany (2010)
Keywords: Quantile impulse-responses; spillover; codependence; CAViaR

Robust claim frequency modeling through phase-type mixture-of-experts regression,
Martin Bladt and Jorge Yslas, in Insurance: Mathematics and Economics (2023)
Keywords: Discrete phase-type distributions; Regression modeling; Claim count distributions;

Redundancy of Moment Conditions in Restricted GMM Estimation,
Hailong Qian, in Frontiers of Economics in China-Selected Publications from Chinese Universities (2016)
Keywords: GMM; restricted GMM estimation; moment conditions; redundancy of moment conditions; efficiency

A model for long memory conditional heteroscedasticity,
Liudas Giraitis, Peter M. Robinson and Donatas Surgailis, from London School of Economics and Political Science, LSE Library (2000)
Keywords: ARCH processes; long memory; Volterra series; diagrams; central limit theorem; fractional Brownian motion

Long and short memory conditional heteroscedasticity in estimating the memory parameter of levels,
Peter M. Robinson and Marc Henry, from London School of Economics and Political Science, LSE Library (1998)
Keywords: long memory; dynamic conditional heteroscedasticity; semiparametric estimation.

Adaptive semiparametric estimation of the memory parameter,
Liudas Giraitis, Peter M. Robinson and Alexander Samarov, from London School of Economics and Political Science, LSE Library (2000)
Keywords: Long range dependence; semiparametric model; rates of convergence; adaptive bandwidth selection

A model for long memory conditional heteroscedasticity,
Liudas Giraitis, Peter Robinson and Donatas Surgailis, from London School of Economics and Political Science, LSE Library (2000)
Keywords: Long range dependence; semiparametric model; rates of convergence; adaptive bandwidth selection

Modified whittle estimation of multilateral models on a lattice,
Peter M. Robinson and J. Vidal Sanz, from London School of Economics and Political Science, LSE Library (2005)
Keywords: Spatial data; multilateral modelling; Whittle estimation; Edge effect; consistent variance estimation

The New Keynesian Phillips Curve: An Empirical Assessment,
Florian Pelgrin, Alain Guay and Richard Luger, from Society for Computational Economics (2004)
Keywords: Phillips curve, Inflation dynamics, GMM

Viewpoint: The human capital approach to inference,
W. Bentley Macleod, in Canadian Journal of Economics (2017)

Inference for Losers,
Isaiah Andrews, Dillon Bowen, Toru Kitagawa and Adam McCloskey, in AEA Papers and Proceedings (2022)

On large market asymptotics for spatial price competition models,
Taisuke Otsu and Keita Sunada, from London School of Economics and Political Science, LSE Library (2024)
Keywords: spatial price competition; weak instruments

Calibrarion By Simulation for Small Sample Bias Correction,
Christian Gourieroux, Eric Renault and N. Touzi, from Toulouse - GREMAQ (1996)
Keywords: ECONOMETRICS

Estimating the means and the covariances of fuzzy random variables,
Alexey Shvedov, in Applied Econometrics (2016)
Keywords: fuzzy data analysis; fuzzy random variables; point estimation; unbiasedness; consistency