23 documents matched the search for the 2007-01-13 issue of the NEP report on Econometrics (nep-ecm), currently edited by Sune Karlsson.
Go to document
|
11121
Bandwidth Selection for Semiparametric Estimators Using the m-out-of-n Bootstrap,
Chuan Goh,
from University of Toronto, Department of Economics
(2007)
Keywords: bandwidth selection, density-weighted averages, bootstrap, m-out-of-n bootstrap, kernel density estimation
Stability conditions for a Piecewise Deterministic Markov Process,
Fonseca Giovanni,
from Department of Economics, University of Insubria
(2005)
Keywords: Threshold process, Compound Poisson Process, Stationary process, Ergodicity.
Testing for rational bubbles,
Roy Cerqueti and Mauro Costantini,
from University of Molise, Department of Economics
(2006)
Keywords: Panel data, Co-integration, International Financial markets, Rational bubbles.
Another Look at the Identification of Dynamic Discrete Decision Processes: With an Application to Retirement Behavior,
Victor Aguirregabiria,
from Society for Economic Dynamics
(2006)
Keywords: Dynamic discrete decision processes; Nonparametric identification; Counterfactual policy interventions; Retirement behavior.
Evaluating Value-at-Risk models with desk-level data,
Jeremy Berkowitz, Peter Christoffersen and Denis Pelletier,
from North Carolina State University, Department of Economics
(2006)
Keywords: risk management, backtesting, volatility, disclosure
Spatial effects in multivariate ARCH,
Massimiliano Caporin and Paolo Paruolo,
from Department of Economics, University of Insubria
(2005)
The Empirical Content of Models with Multiple Equilibria,
Alberto Bisin, Andrea Moro and Giorgio Topa,
from Society for Economic Dynamics
(2006)
Keywords: multiple equilibria, identification, structural estimation, montecarlo simulations
Gini's Nuclear Family,
Rolf Aaberge,
from Statistics Norway, Research Department
(2006)
Keywords: The scaled conditional mean curve; measures of inequality; the Gini coefficient; the Bonferroni coefficient; measures of social welfare; principles of transfer sensitivity; estimation; asymptotic distributions.
Estimation of Earnings- and Schooling Choice Relations: A Likelihood Approach,
John Dagsvik, Torbjørn Hægeland and Arvid Raknerud,
from Statistics Norway, Research Department
(2006)
Keywords: Schooling choice; earnings equation; treatment effects; self-selection; ordered probit; random coefficients; full information maximum likelihood
A Framework for Analyzing Rank Ordered Panel Data with Application to Automobile Demand,
John Dagsvik and Gang Liu,
from Statistics Norway, Research Department
(2006)
Keywords: Random utility models; Nested rank ordered logit models; Automobile demand; Alternative fuel vehicles
Implementing Nonparametric and Semiparametric Estimators,
Hidehiko Ichimura and Petra Todd,
from CIRJE, Faculty of Economics, University of Tokyo
(2006)
Simultaneous estimation of normal precision matrices,
Hisayuki Tsukuma and Tatsuya Kubokawa,
from CIRJE, Faculty of Economics, University of Tokyo
(2006)
Modeling Spatial Autocorrelation in Spatial Interaction Data: A Comparison of Spatial Econometric and Spatial Filtering Specifications,
Manfred Fischer and Daniel A. Griffith,
from European Regional Science Association
(2006)
Semiparametric Mixture Models for Multivariate Count Data, with Application,
Marco Alfò and Giovanni Trovato,
from Tor Vergata University, CEIS
(2004)
Keywords: Correlated counts, Multivariate counts, Correlated random effects, Non-parametric ML
Unconditional Quantile Regressions,
Sergio Firpo, Nicole Fortin and Thomas Lemieux,
from Department of Economics PUC-Rio (Brazil)
(2006)
Keywords: Influence Functions, Unconditional Quantile, Quantile Regressions.
ESTIMATION AND ASYMPTOTIC THEORY FOR A NEW CLASS OF MIXTURE MODELS,
Eduardo Mendes, Alvaro Veiga and Marcelo Medeiros,
from Department of Economics PUC-Rio (Brazil)
(2007)
The First Stage in Hendry’s Reduction Theory Revisited,
Genaro Sucarrat,
from Université catholique de Louvain, Département des Sciences Economiques
(2006)
Keywords: Theory of recution; DGP, Possible worlds; Measurement error; Probabilistic causality
Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model,
Tomoaki Nakatani and Timo Teräsvirta,
from Stockholm School of Economics
(2008)
Keywords: Multivariate GARCH; Volatility interactions; Lagrange multiplier test; Monte Carlo simulation; Conditional correlations
Testing for State Dependence with Time-Variant Transition Probabilities,
Timothy Halliday,
from University of Hawaii at Manoa, Department of Economics
(2006)
Keywords: Dynamic Panel Data Models, State Dependence, Health
GMM Estimation for Dynamic Panels with Fixed Effects and Strong Instruments at Unity,
Chirok Han and Peter Phillips,
from Cowles Foundation for Research in Economics, Yale University
(2007)
Keywords: Asymptotic normality, Asymptotic power envelope, Moment conditions, Panel unit roots, Point optimal test, Unit root tests, Weak instruments
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance,
Peter Phillips and Jun Yu,
from Cowles Foundation for Research in Economics, Yale University
(2007)
Keywords: Maximum likelihood, Transition density, Discrete sampling, Continuous record, Realized volatility, Bias reduction, Jackknife, Indirect inference
Simulation-based Estimation of Contingent-claims Prices,
Peter Phillips and Jun Yu,
from Cowles Foundation for Research in Economics, Yale University
(2007)
Keywords: Bias reduction, Bond pricing, Indirect inference, Option pricing, Simulation-based estimation
Transition Modeling and Econometric Convergence Tests,
Peter Phillips and Donggyu Sul,
from Cowles Foundation for Research in Economics, Yale University
(2007)
Keywords: Club convergence, Relative convergence, Common factor, Convergence, log t regression test, Panel data, Transition
|