20 documents matched the search for the 2004-05-16 issue of the NEP report on Econometrics (nep-ecm), currently edited by Sune Karlsson.
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111
Nonlinear dynamics of interest rate and inflation,
Markku Lanne,
from University Library of Munich, Germany
(2004)
Keywords: nonlinear models, interest rate, inflation, cointegration analysis
Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies,
Eric Ghysels, Pedro Santa-Clara and Rossen Valkanov,
from CIRANO
(2004)
Keywords: realized variance, power variation, MIDAS regression, variance réalisée, 'power variation', régression MIDAS
The MIDAS Touch: Mixed Data Sampling Regression Models,
Eric Ghysels, Pedro Santa-Clara and Rossen Valkanov,
from CIRANO
(2004)
Keywords: distributed log models, aliasing, discretization bias, retards échelonnés, aliasing, biais de discrétisation
Approximating the Probability Distribution of Functions of Random Variables: A New Approach,
Anders Eriksson, Lars Forsberg and Eric Ghysels,
from CIRANO
(2004)
Keywords: normal inverse Gaussian, Edgeworth expansions, Gram-Charlier, distribution normale inverse gaussienne, expansions d'Edgeworth, Gram-Charlier
The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests,
Elena Andreou and Eric Ghysels,
from CIRANO
(2004)
Keywords: Change-point tests, CUSUM, Kolmogorov-Smirnov, GARCH, quadratic variation, power variation, high-frequency data, location-scale distribution family, tests de changement structurel, CUSUM, Kolmogov-Smirnov, GARCH, variation quadratique, 'power variation', données de haute fréquence
Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks,
Kurt Brännäs and Shahiduzzaman Quoreshi,
from Umeå University, Department of Economics
(2004)
Keywords: Count data; Intra-day; High frequency; Time series; Estimation; Finance.
Forecasting Macroeconomic Variables for the Acceding Countries,
Anindya Banerjee, Massimiliano Marcellino and Igor Masten,
from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
(2004)
Estimating nonlinear dynamic equilibrium economies: a likelihood approach,
Jesus Fernandez-Villaverde and Juan F Rubio-Ramirez,
from Federal Reserve Bank of Atlanta
(2004)
Estimating dynamic equilibrium economies: linear versus nonlinear likelihood,
Jesus Fernandez-Villaverde and Juan F Rubio-Ramirez,
from Federal Reserve Bank of Atlanta
(2004)
A steady-state approach to trend/cycle decomposition of regime-switching processes,
James Morley and Jeremy Piger,
from Federal Reserve Bank of St. Louis
(2005)
Keywords: time series analysis; Business cycles
Joint models for noise annoyance and WTP for road noise reduction,
Mogens Fosgerau and Thomas Bjørner,
from University Library of Munich, Germany
(2004)
Keywords: Road noise, annoyance, WTP, hurdle model, qualitative responses
Monitoring for Disruptions in Financial Markets,
Elena Andreou and Eric Ghysels,
from CIRANO
(2004)
Keywords: structural change, CUSUM, GARCH, quadratic variation, power variation, high frequency data, Brownian bridge, boundary crossing, sequential tests, local power, changement structurel, CUSUM, GARCH, variation quadratique, 'power variation', données de haute fréquence, pont Brownien, puissance locale, tests séquentiels
An empirical evaluation of small area estimators,
Àlex Costa, Albert Satorra and Eva Ventura,
from Department of Economics and Business, Universitat Pompeu Fabra
(2003)
Keywords: Regional statistics, small areas, root mean square error, direct, indirect and composite estimators
Estimating the probability of leaving unemployment using uncompleted spells from repeated cross-section data,
Maia Güell and Luojia Hu,
from Department of Economics and Business, Universitat Pompeu Fabra
(2003)
Keywords: Repeated cross-section data. GMM, duration analysis, unemployment
Honey, I shrunk the sample covariance matrix,
Olivier Ledoit and Michael Wolf,
from Department of Economics and Business, Universitat Pompeu Fabra
(2003)
Keywords: Covariance matrix, Markovitz optimization, shrinkage, tracking error
Generalized canonical correlation analysis of matrices with different row and column orders,
Michel Van de Velden and Tammo Bijmolt,
from Department of Economics and Business, Universitat Pompeu Fabra
(2003)
Keywords: Generalized canonical correlation analysis, perceptual mapping
Stepwise multiple testing as formalized data snooping,
Joseph P. Romano and Michael Wolf,
from Department of Economics and Business, Universitat Pompeu Fabra
(2003)
Keywords: Bootstrap, data snooping, familywise error, multiple testing, step-down method
Exact and approximate stepdown methods for multiple hypothesis testing,
Joseph Romano and Michael Wolf,
from Department of Economics and Business, Universitat Pompeu Fabra
(2003)
Keywords: Bootstrap, familywise error rate, multiple testing, permutation test, randomization test, stepdown procedure, subsampling
Using composite estimators to improve both domain and total area estimation,
Àlex Costa, Albert Satorra and Eva Ventura,
from Department of Economics and Business, Universitat Pompeu Fabra
(2003)
Keywords: Regional statistics, small areas, mean square error, direct and composite
Finite mixture analysis of beauty-contest data using generalised beta distributions,
Antoni Bosch-Domènech, José Garcia Montalvo, Rosemarie Nagel and Albert Satorra,
from Department of Economics and Business, Universitat Pompeu Fabra
(2010)
Keywords: Keywords: Beauty-Contest experiments, decision theory, reasoning hierarchy, finite mixture distribution, beta distribution, EM algorithm.
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