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Econometrics
| Edited by: | Sune Karlsson |
| Orebro University | |
| Issue date: | 2014-06-02 |
| Papers: | 21 |
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In this issue we have:Contents.
- Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series
Date: 2013-09 By: Ghysels, Eric
Miller, J. IsaacURL: http://d.repec.org/n?u=RePEc:cpr:ceprdp:9654&r=ecm
Keywords: cointegration; mixed sampling frequencies; residual-based cointegration test; temporal aggregation; trace test JEL: C12 C32 - The pairwise approach to model a large set of disaggregates with common trends
Date: 2014-05 By: Guillermo Carlomagnol
Antoni EspasaURL: http://d.repec.org/n?u=RePEc:cte:wsrepe:ws141309&r=ecm
Keywords: Common trends, Cointegration, Factor Models, Disaggregation, Forecast model selection, Forecast Combination, Outliers treatment - On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators
Date: 2014-05-20 By: Stelios Arvanitis
Antonis Demos (www.aueb.gr/users/demos)URL: http://d.repec.org/n?u=RePEc:aue:wpaper:1406&r=ecm
Keywords: Locally Uniform Edgeworth Expansions, Locally Uniform Moment Approximations, Bias Approximation, MSE Approximation, Binding Function, Recursive Indirect Estimators JEL: C10 C13 - A fixed-T version of Breitung's panel data unit root test and its asymptotic local power
By: Yiannis Karavias
Elias TzavalisURL: http://d.repec.org/n?u=RePEc:not:notgts:14/02&r=ecm
Keywords: Panel unit root; local power function; serial correlation; incidental trends JEL classi?cation: C22, C23 - Markov-Switching Mixed-Frequency VAR Models
Date: 2014-02 By: Foroni, Claudia
Guérin, Pierre
Marcellino, MassimilianoURL: http://d.repec.org/n?u=RePEc:cpr:ceprdp:9815&r=ecm
Keywords: Fore-; Markov-switching; MIDAS; Mixed-frequency VAR; Nowcasting JEL: C53 E32 E37 - Testing for Granger Causality with Mixed Frequency Data
Date: 2013-09 By: Ghysels, Eric
Hill, Jonathan B.
Motegi, KaijiURL: http://d.repec.org/n?u=RePEc:cpr:ceprdp:9655&r=ecm
Keywords: Granger causality; mixed data sampling (MIDAS); temporal aggression; vector autoregression (VAR) JEL: C12 C32 - Mixed Tempered Stable distribution
Date: 2014-05 By: Edit Rroji
Lorenzo MercuriURL: http://d.repec.org/n?u=RePEc:arx:papers:1405.7603&r=ecm
- Fixed-smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation
Date: 2014-05-27 By: Sun, Yixiao URL: http://d.repec.org/n?u=RePEc:cdl:ucsdec:qt8479f4s2&r=ecm
Keywords: Social and Behavioral Sciences, Autocorrelation Robust Test, Fixed-smoothing Asymptotics, Local-to-Unity, Strong Autocorrelation, Weak Unit Root - Inference Based on SVAR Identified with Sign and Zero Restrictions: Theory and Applications
Date: 2014-01 By: Arias, Jonas E.
Rubio-Ramírez, Juan Francisco
Waggoner, Daniel FURL: http://d.repec.org/n?u=RePEc:cpr:ceprdp:9796&r=ecm
Keywords: Fiscal Shocks; Optimism; Sign and Zero Restrictions; SVARs JEL: C10 - Analyzing business and financial cycles using multi-level factor models
Date: 2014-05 By: Jörg Breitung
Sandra EickmeierURL: http://d.repec.org/n?u=RePEc:een:camaaa:2014-43&r=ecm
Keywords: Factor models, canonical correlations, international business cycles, financial cycles, business cycle asymmetries JEL: C38 - Optimal personalized treatment rules for marketing interventions: A review of methods, a new proposal, and an insurance case study
Date: 2014-05 By: Leo Guelman (Royal Bank of Canada, RBC Insurance)
Montserrat Guillen (Department of Econometrics, Riskcenter-IREA, Universitat de Barcelona)
Ana M. Pérez-Marín (Department of Econometrics, Riskcenter-IREA, Universitat de Barcelona)URL: http://d.repec.org/n?u=RePEc:bak:wpaper:201406&r=ecm
Keywords: personalized treatment learning, causal inference, marketing interventions - Structural analysis with independent innovations
Date: 2014 By: Herwartz, Helmut URL: http://d.repec.org/n?u=RePEc:zbw:cegedp:208&r=ecm
Keywords: structural innovations,identifying assumptions,SVAR,Cholesky decomposition,news shocks,monetary independence JEL: C32 G15 - Structural FECM: Cointegration in large-scale structural FAVAR models
Date: 2014-03 By: Banerjee, Anindya
Marcellino, Massimiliano
Masten, IgorURL: http://d.repec.org/n?u=RePEc:cpr:ceprdp:9858&r=ecm
Keywords: Cointegration; Dynamic Factor Models; Factor-augmented Error Correction Models; FAVAR; Structural Analysis JEL: C32 E17 - Persistent and Transient Productive Inefficiency: A Maximum Simulated Likelihood Approach
Date: 2014-05 By: Massimo Filippini (ETH Zurich, Switzerland)
William Greene (Stern School of Business, New York University, USA)URL: http://d.repec.org/n?u=RePEc:eth:wpswif:14-197&r=ecm
Keywords: productive efficiency; stochastic frontier analysis; panel data; transient and persistent efficiency. JEL: C1 C23 D2 D24 - Gravity model estimation: Fixed effects vs. random intercept poisson pseudo maximum likelihood
Date: 2014 By: Prehn, Sören
Brümmer, Bernhard
Glauben, ThomasURL: http://d.repec.org/n?u=RePEc:zbw:iamodp:148&r=ecm
Keywords: Gravity Model Estimation,Poisson Pseudo Maximum Likelihood,Fixed Effects Model,Random Intercept Model JEL: F1 C3 - The seeming unreliability of rank-ordered data as a consequence of model misspecification
Date: 2014-05 By: Yan, Jin
Yoo, Hong IlURL: http://d.repec.org/n?u=RePEc:pra:mprapa:56285&r=ecm
Keywords: rank-ordered logit, exploded logit, ranking, qualitative response,stated preference JEL: C25 C52 C81 - Methods for Measuring Expectations and Uncertainty in Markov-Switching Models
Date: 2013-10 By: Bianchi, Francesco URL: http://d.repec.org/n?u=RePEc:cpr:ceprdp:9705&r=ecm
Keywords: Bayesian Methods; DSGE; Impulse responses; Markov-switching; Uncertainty; VAR; Welfare JEL: C11 C32 E31 E52 G12 - No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
Date: 2014-03 By: Carriero, Andrea
Clark, Todd
Marcellino, MassimilianoURL: http://d.repec.org/n?u=RePEc:cpr:ceprdp:9848&r=ecm
Keywords: density forecasting; no arbitrage; stochastic volatility; Term structure JEL: C32 C53 G17 - On the stationarity of Dynamic Conditional Correlation models
Date: 2014-05 By: Jean-David Fermanian
Hassan MalongoURL: http://d.repec.org/n?u=RePEc:arx:papers:1405.6905&r=ecm
- Autoregressive augmentation of MIDAS regressions
Date: 2014 By: Cláudia Duarte URL: http://d.repec.org/n?u=RePEc:ptu:wpaper:w201401&r=ecm
JEL: C53 E37 - Understanding Variation in Treatment Effects in Education Impact Evaluations: An Overview of Quantitative Methods.
Date: 2014-05-30 By: Peter Z. Schochet
Mike Puma
John DekeURL: http://d.repec.org/n?u=RePEc:mpr:mprres:8128&r=ecm
Keywords: Randomized Controlled Trials, Education Interventions, Quantitative Methods, Heterogeneity of Treatment Effects JEL: I
This nep–ecm issue is ©2014 by Sune Karlsson. It is provided as is without any express or implied warranty. It may be freely redistributed in whole or in part for any purpose. If distributed in part, it must include this copyright notice. It may not be sold, or placed in something else for sale.
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