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13 documents matched the search for the 2017-07-23 issue of the NEP report on Econometrics (nep-ecm), currently edited by Sune Karlsson.
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111

Testing a parametric transformation model versus a nonparametric alternative,
Arkadiusz Szydlowski, from Division of Economics, School of Business, University of Leicester (2017)
Keywords: Specification testing, Transformation model, Duration model, Bootstrap, Rank estimation
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Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk),
Andrew Patton, Johanna F. Ziegel and Rui Chen, from arXiv.org (2017) Downloads

Temporal disaggregation by dynamic regressions: recent developments in Italian quarterly national accounts,
Laura Bisio and Filippo Moauro, from University Library of Munich, Germany (2017)
Keywords: temporal disaggregation; state-space form; Kalman filter; ADL models; linear Gaussian approximating model; quarterly national accounts.
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Identification in Ascending Auctions, with an Application to Digital Rights Management,
Joachim Freyberger and Bradley Larsen, from National Bureau of Economic Research, Inc (2017) Downloads

Testing for a unit root against ESTAR stationarity,
David Harvey, Stephen Leybourne and Emily Whitehouse, from University of Nottingham, Granger Centre for Time Series Econometrics (2017)
Keywords: Nonlinearity, Trend uncertainty, Union of rejections
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Forecast evaluation tests and negative long-run variance estimates in small samples,
David Harvey, Stephen Leybourne and Emily Whitehouse, from University of Nottingham, Granger Centre for Time Series Econometrics (2017)
Keywords: Forecast evaluation; Long-run variance estimation; Simulation; Diebold-Mariano test; Forecasting
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A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices,
Tommaso Proietti and Alessandro Giovannelli, from Tor Vergata University, CEIS (2017)
Keywords: Toeplitz systems; Optimal linear prediction; Partial autocorrelation function
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An empirical validation protocol for large-scale agent-based models,
Sylvain Barde and Sander van der Hoog, from School of Economics, University of Kent (2017)
Keywords: Statistical machine learning; surrogate modelling; empirical validation
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Smoothed instrumental variables quantile regression, with estimation of quantile Euler equations,
Luciano de Castro, Antonio Galvao and David Kaplan, from Department of Economics, University of Missouri (2018)
Keywords: instrumental variables, nonlinear quantile regression, quantile utility maximization
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Tyler Shape Depth,
Davy Paindaveine and Germain Van Bever, from ULB -- Universite Libre de Bruxelles (2017)
Keywords: Elliptical distribution; Robustness; Shape matrix; Statistical depth; Test for sphericity
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Bayesian analysis of boundary and near-boundary evidence in econometric models with reduced rank,
Nalan Baştürk, Lennart Hoogerheide and Herman van Dijk, from Norges Bank (2017) Downloads

Using Instrumental Variables for Inference about Policy Relevant Treatment Effects,
Magne Mogstad, Andres Santos and Alexander Torgovitsky, from National Bureau of Economic Research, Inc (2017) Downloads

Estimating and accounting for the output gap with large Bayesian vector autoregressions,
James Morley and Benjamin Wong, from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2017)
Keywords: Beveridge-Nelson decomposition, output gap, Bayesian estimation, multivariate information
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