Search Results

Small Sample Confidence Intervals for Multivariate Impulse Response Functions at Long Horizons,
Barbara Rossi and Elena Pesavento, from C.E.P.R. Discussion Papers (2004)
Keywords: Local to unity asymptotics; Persistence; Impulse response functions; Vars

Unemployment dynamics and NAIRU estimates for CEECs: A univariate approach,
Mariam Camarero, Josep Carrion-i-Silvestre and Cecilio Tamarit, from Universitat de Barcelona. Espai de Recerca en Economia (2005)

Hierarchical mixture modelling with normalized inverse Gaussian priors,
Antonio Lijoi, Ramsés H. Mena and Igor Prünster, from ICER - International Centre for Economic Research (2004)
Keywords: Bayesian nonparametrics; Density estimation; Dirichlet process; Inverse Gaussian distribution; Mixture models; Predictive distribution; Semiparametric inference

Contributions to the understanding of Bayesian consistency,
Antonio Lijoi, Igor Prünster and Stephen G. Walker, from ICER - International Centre for Economic Research (2004)
Keywords: Bayesian consistency; Density estimation; Hellinger distance; Weak neighborhood

On consistency of nonparametric normal mixtures for Bayesian density estimation,
Antonio Lijoi, Igor Prünster and Stephen G. Walker, from ICER - International Centre for Economic Research (2004)
Keywords: Bayesian nonparametrics; Density estimation; Mixture of Dirichlet process; Normal mixture model; Random discrete distribution; Strong consistency

On rates of convergence for posterior distributions in infinite–dimensional models,
Antonio Lijoi, Igor Prünster and Stephen G. Walker, from ICER - International Centre for Economic Research (2004)
Keywords: Hellinger consistency; mixture of Dirichlet process; posterior distribution; rates of convergence

A strong law of large numbers for capacities,
Fabio Maccheroni and Massimo Marinacci, from ICER - International Centre for Economic Research (2004)
Keywords: Capacities; Choquet integral; Strong law of large numbers

Bayesian Analysis of Structural Effects in an Ordered Equation System,
Mingliang Li and Justin Tobias, from Iowa State University, Department of Economics (2005)

Predictive regressions with panel data,
Erik Hjalmarsson, from University of Gothenburg, Department of Economics (2005)
Keywords: Predictive regression; panel data; pooled regression; cross-sectional dependence; stock return predictability; fully modified estimation; local-to-unity

On the Predictability of Global Stock Returns,
Erik Hjalmarsson, from University of Gothenburg, Department of Economics (2005)
Keywords: Predictive regressions; long-horizon regressions; panel data; stock return predictability

Evaluating Density Forecasts via the Copula Approach,
Xiaohong Chen and Yanqin Fan, from Vanderbilt University Department of Economics (2003)
Keywords: Density forecasts, Gaussian copula, probability integral transform, nonlinear time series

Interpolation and Backdating with A Large Information Set,
Jerome Henry, Massimiliano Marcellino and Elena Angelini, from C.E.P.R. Discussion Papers (2004)
Keywords: Interpolation; Factor model; Kalman filter; Spline

Business Cycle Turning Points: Mixed-Frequency Data with Structural Breaks,
Konstantin Kholodilin and Yao Wension Vincent, from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2004)
Keywords: Volatility; Structural break; Composite coincident indicator; Dynamic factor model; Markov switching; Mixed-frequency data

Predicting Electoral College Victory Probabilities from State Probability Data,
Ray Fair, from Cowles Foundation for Research in Economics, Yale University (2004)
Keywords: Electoral College victory probabilities, political betting markets

Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference,
Todd Clark and Kenneth West, from National Bureau of Economic Research, Inc (2005)

Microsimulations in the Presence of Heterogeneity,
Constantijn Panis, from University of Michigan, Michigan Retirement Research Center (2003)

Random Scenario Forecasts Versus Stochastic Forecasts,
Shripad Tuljapurkar, Ronald Lee and Qi Li, from University of Michigan, Michigan Retirement Research Center (2004)

Forecasting age-specific breast cancer mortality using functional data models,
Bircan Erbas, Rob Hyndman and Dorota M. Gertig, from Monash University, Department of Econometrics and Business Statistics (2005)
Keywords: Mortality, Breast Cancer, Forecasting, Functional Data Analysis, Exponential Smoothing

Robust forecasting of mortality and fertility rates: a functional data approach,
Rob Hyndman and Md. Shahid Ullah, from Monash University, Department of Econometrics and Business Statistics (2005)
Keywords: Fertility Forecasting, Functional Data, Mortality Forecasting, Nonparametric Smoothing, Principal Components, Robustness.

Asymptotic Distribution Theory of Empirical Rank-dependent Measures of Inequality,
Rolf Aaberge, from Statistics Norway, Research Department (2005)
Keywords: The Lorenz curve; the Gini coefficient; rank-dependent measures of inequality; nonparametric estimation methods; asymptotic distribution theory.

Predicting Customer Retention and Profitability by Using Random Forests and Regression Forests Techniques,
B. Larivière and Dirk Van den Poel, from Ghent University, Faculty of Economics and Business Administration (2004)
Keywords: Data mining, Customer relationship management, Customer retention and profitability, Random forests and regression forests.

The relative importance of symmetric and asymmetric shocks and the determination of the exchange rate,
Gert Peersman, from Ghent University, Faculty of Economics and Business Administration (2005)
Keywords: exchange rates, symmetric and asymmetric shocks, vector autoregressions

Nonparametric tests of optimizing behavior in public service provision: Methodology and an application to local safety,
Laurens Cherchye, Bruno De Borger and Tom Van Puyenbroeck, from Katholieke Universiteit Leuven, Centrum voor Economische Studiën, Working Group Public Economics (2004)
Keywords: Public agencies, optimizing behavior, nonparametric production, local police departments