Search Results

Exchange Rates, Currency Crises and Recessions - Introduction,
Felipe Larraín, in Latin American Journal of Economics-formerly Cuadernos de Economía (2003)
Keywords: Business Cycles, Currency Crises, Developing Countries, Early-warning Systems, Exchange Rate Regimes, Floats, Growth Regressions, Hard Pegs, Openness, Recessions, Volatility

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

Confidence Statements for Efficiency Estimates from Stochastic Frontier Models,
William Horrace and Peter Schmidt, from University Library of Munich, Germany (2002)
Keywords: Confidence intervals, stochastic frontier models, efficiency measurement

A multilevel latent Markov model for the evaluation of nursing homes' performance,
Giorgio E. Montanari, Marco Doretti and Francesco Bartolucci, from University Library of Munich, Germany (2017)
Keywords: clustered data, health status evaluation, non-ingorable dropout, random effects

Design-based mapping of plant species presence, association and richness by nearest-neighbor interpolation,
Alice Bartolini, Rosa Maria Di Biase, Lorenzo Fattorini, Sara Franceschi and Agnese Marcelli, from Department of Economics, University of Siena (2021)
Keywords: species distribution, asymptotic unbiasedness, consistency, pseudo-population bootstrap, simulation study, case study.

GMM estimation of stochastic frontier model with endogenous regressors,
Kien Tran and Mike Tsionas, in Economics Letters (2013)
Keywords: Endogeneity; Generalized method of moments; Maximum likelihood; Technical efficiency;

Evaluating the CDF of the distribution of the stochastic frontier composed error,
Christine Amsler, Peter Schmidt and Wen-Jen Tsay, in Journal of Productivity Analysis (2019)
Keywords: Stochastic frontier, Composed error, Skew normal distribution

A New Measure of Vector Dependence, with Applications to Financial Risk and Contagion,
Ivan Medovikov and Artem Prokhorov, in Journal of Financial Econometrics (2017)
Keywords: copula, Hoeffding’s Phi-square, measures of vector dependence, nonparametric statistics

Covariance Matrix Estimation under Total Positivity for Portfolio Selection*,
Raj Agrawal, Uma Roy and Caroline Uhler, in Journal of Financial Econometrics (2022)
Keywords: Gaussian graphical model, portfolio selection, total positivity

Improved separate ratio and product exponential type estimators in the case of post-stratification,
Rajesh Tailor and Hilal A. Lone, in Statistics in Transition new series (2015)
Keywords: finite population mean, post-stratification, bias, mean squared error

22 Years of inflation assessment and forecasting experience at the bulletin of EU & US inflation and macroeconomic analysis,
Eva Senra, from Universidad Carlos III de Madrid. Departamento de Estadística (2017)
Keywords: Indirect forecast

An EM Algorithm for Conditionally Heteroskedastic Factor Models,
Antonis Demos and Enrique Sentana, from Centro de Estudios Monetarios Y Financieros- (1996)
Keywords: STATISTICS

Functional linear regression with functional response,
David Benatia, Marine Carrasco and Jean-Pierre Florens, in Journal of Econometrics (2017)
Keywords: Functional regression; Instrumental variables; Linear operator; Tikhonov regularization;

Identification with averaged data and implications for hedonic regression studies,
José António Machado and João Santos Silva, from University Library of Munich, Germany (2003)
Keywords: Endogenous sampling; Functional form; Weighted least squares.

Quasi-generalized least squares regression estimation with spatial data,
Cuicui Lu and Jeffrey Wooldridge, in Economics Letters (2017)
Keywords: Quasi-GLS; Spatial correlation; Covariance tapering; Spatial HAC estimator;

DS-HECK: double-lasso estimation of Heckman selection model,
Masayuki Hirukawa, Di Liu, Irina Murtazashvili and Artem Prokhorov, in Empirical Economics (2023)
Keywords: Heckman, Probit, Double lasso, Post selection inference

Financing micro-entrepreneurs for poverty alleviation: a performance analysis of microfinance services offered by BRAC, ASA, and Proshika from Bangladesh,
Dilruba Khanam, Muhammad Mohiuddin, Asadul Hoque and Olaf Weber, in Journal of Global Entrepreneurship Research (2018)
Keywords: Poverty alleviation, Microcredit, NGOs, Sustainable rural development, Developing country, Bangladesh

Fairly sharing the credit of multi-authored papers and its application in the modification of h-index and g-index,
Xuan Zhen Liu and Hui Fang, in Scientometrics (2012)
Keywords: Citations, Ranking, Co-authorship, Contribution evaluation, h-Index, g-Index

Evaluation index system for academic papers of humanities and social sciences,
Quan’e Ren and Xuemei Gong, in Scientometrics (2012)
Keywords: Evaluation index system, Academic papers, Humanities and social sciences

A real-time network-based approach for analysing best–worst data types,
Ákos Münnich, Emese Vargáné Karsai and Jenő Nagy, in SN Business & Economics (2022)
Keywords: Adaptive, Decision making, Entropy, Maximum difference, PageRank, Segmentation

In Praise of Confidence Intervals,
David Romer, in AEA Papers and Proceedings (2020)

A Dynamic Model of the Choice of Technology in Economic Development,
Haiwen Zhou and Ruhai Zhou, in Frontiers of Economics in China-Selected Publications from Chinese Universities (2016)
Keywords: choice of technology; overlapping-generations model; unemployment; economic development; increasing returns

What Explains the Diversity of Regulatory Reform Outcomes?,
Petar Stankov and Aleksandar Vasilev, from ZBW - Leibniz Information Centre for Economics (2015)
Keywords: regulatory reform, general equilibrium

Time Varying Three Pass Regression Filter,
Yiannis Dendramis, George Kapetanios and Massimiliano Marcellino, from C.E.P.R. Discussion Papers (2023)
Keywords: Factor model; Principal components; Partial least squares; Forecasting; Parameter time variation; Kernel estimation

Textual Factors: A Scalable, Interpretable, and Data-driven Approach to Analyzing Unstructured Information,
Lin Cong, Tengyuan Liang, Xiao Zhang and Wu Zhu, from National Bureau of Economic Research, Inc (2024)

Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents,
Xavier Gabaix and Rustam Ibragimov, from National Bureau of Economic Research, Inc (2007)

Validating the Conjectural Variation Method: The Sugar Industry, 1890- 1914,
David Genesove and Wallace P. Mullin, from National Bureau of Economic Research, Inc (1995)

GMM Efficiency and IPW Estimation for Nonsmooth Functions,
Otavio Bartalotti, from Tulane University, Department of Economics (2013)
Keywords: generalized method of moments, nonsmooth objective functions, inverse probability weighting, missing data, quantile regression

A Monte Carlo Study of Recent Ridge Parameters,
Mahdi A. Alkhamisi and Ghazi Shukur, from Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics (2006)
Keywords: Multicollinearity; Ridge regression; Monte Carlo simulations

Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey,
Helle Sørensen, from University of Copenhagen. Department of Economics (2002)
Keywords: Bayesian analysis; diffusion processes; discrete-time observations; efficient method of moments (EMM); estimating functions; indirect inference; likelihood approximations

A Note on the Application of EC2SLS and EC3SLS Estimators in Panel Data Models,
Badi Baltagi and Long Liu, from Center for Policy Research, Maxwell School, Syracuse University (2009)
Keywords: Instrument variable; panel data

Multivariate cointegration and temporal aggregation: some further simulation results,
Jesus Otero, Theodore Panagiotidis and Georgios Papapanagiotou, from Department of Economics, University of Macedonia (2020)
Keywords: Monte Carlo, Span, Power, Cointegration, Coffee prices.

Extracting a Common Stochastic Trend: Theories with Some Applications,
Yoosoon Chang, J. Miller and Joon Park, from Rice University, Department of Economics (2005)

Estimation of Nonparametric Conditional Moment Models with Possibly Nonsmooth Moments,
Xiaohong Chen and Demian Pouzo, from Yale University, Department of Economics (2008)

Parameter Estimation and Reverse Martingales,
Tomas Bjork and Bjorn Johansson, from Stockholm School of Economics (1995)
Keywords: Parameter estimation; time reversal; martingale theory

Second Order Bias of Quasi-MLE for Covariance Structure Models,
Artem Prokhorov, from Concordia University, Department of Economics (2010)
Keywords: (Q)MLE, GMM, EL, Covariance structures

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

Regularized LIML for many instruments,
Marine Carrasco and Guy Tchuente, in Journal of Econometrics (2015)
Keywords: Heteroskedasticity; High-dimensional models; LIML; Many instruments; MSE; Regularization methods;

Panel Regression with Random Noise,
Gerd Ronning and Hans Schneeweiss, from CESifo (2009)
Keywords: panel regression, multiplicative measurement errors, bias correction, asymptotic variance, disclosure control

Pearson M-Estimators in Regression Analysis,
M.A. Magdalinos and G.P. Mitsopoulos, from University of Exeter, Department of Economics (1995)
Keywords: ECONOMETRICS