Search Results - subject:"Conditional independence"

Testing conditional independence via empirical likelihood

Su, Liangjun; White, Halbert - In: Journal of Econometrics 182 (2014) 1, pp. 27-44

We construct two classes of smoothed empirical likelihood ratio tests for the conditional independence hypothesis by …

Persistent link: https://www.econbiz.de/10010785278

A cautionary tale about control variables in IV estimation

Deuchert, Eva; Huber, Martin - School of Economics and Political Science, Universität … - 2014

Many instrumental variable (IV) regressions include control variables to justify (conditional) independence of the …

Persistent link: https://www.econbiz.de/10011099460

Risk aggregation and stochastic claims reserving in disability insurance

Djehiche, Boualem; Löfdahl, Björn - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 100-108

We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic–demographic environment. Using a conditional law of large numbers, we establish the connection...

Persistent link: https://www.econbiz.de/10011116628

Spurious regressions and near-multicollinearity, with an application to aid, policies and growth

Chatelain, Jean-Bernard; Ralf, Kirsten - In: Journal of Macroeconomics 39 (2014) PA, pp. 85-96

In multiple regressions, explanatory variables with simple correlation coefficients with the dependent variable below 0.1 in absolute value (such as aid/gross domestic product (GDP) with GDP growth) face a problem of parameter identification. They may have very large, statistically significant,...

Persistent link: https://www.econbiz.de/10011065309

The topology of information on the space of probability measures over Polish spaces

Barbie, Martin; Gupta, Abhishek - In: Journal of Mathematical Economics 52 (2014) C, pp. 98-111

independence property converges to a measure that also satisfies the same conditional independence property. This also corrects the … Hellwig (1996). We show that under this topology, a convergent sequence of probability measures satisfying a conditional …

Persistent link: https://www.econbiz.de/10011065450

Sinkende Bildungsrenditen durch Bildungsreformen? : Evidenz aus Mikrozensus und SOEP

Göggel, Kathrin (contributor) - 2007

Die Bildungsreformen der sechziger Jahre sollten das Bildungsniveau der Westdeutschen anheben. Die Analyse der Daten des Mikrozensus weist darauf hin, dass die durch die Bildungsreformen intendierte Bildungsexpansion schon vor 1960 begonnen hat. Mit dem Conditional Mean Independence Ansatz...

Persistent link: https://www.econbiz.de/10003447760

Monte Carlo Simulation of Macroeconomic Risk with a Continuum Agents : The General Case

Hammond, Peter J.; Sun, Yeneng - Department of Economics, University of Warwick - 2007

In large random economies with heterogeneous agents, a standard stochastic framework presumes a random macro state, combined with idiosyncratic micro shocks. This can be formally represented by a ran-dom process consisting of a continuum of random variables that are conditionally independent...

Persistent link: https://www.econbiz.de/10005368603

The 2 x 2 x 2 case in causality, of an effect, a cause and a confounder. A cross-over’s guide to the 2 x 2 x 2 contingency table

Colignatus, Thomas - Volkswirtschaftliche Fakultät, … - 2007

formulated, with the parameters interpretable as regression coefficients. Requiring conditional independence would be too strong … conditional independence. The paper gives a taxonomy of issues of confounding, a parameterization by risk or safety, and develops … the various cases of dependence and (conditional) independence. The paper is supported by software that allows variations …

Persistent link: https://www.econbiz.de/10005789473

Nonparametric testing for asymmetric information

Su, Liangjun; Spindler, Martin - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 208-225

Persistent link: https://www.econbiz.de/10009754004

Monotone dependence in graphical models for multivariate Markov chains

Colombi, Roberto; Giordano, Sabrina - In: Metrika 76 (2013) 7, pp. 873-885

We show that a deeper insight into the relations among marginal processes of a multivariate Markov chain can be gained by testing hypotheses of Granger noncausality, contemporaneous independence and monotone dependence. Granger noncausality and contemporaneous independence conditions are read...

Persistent link: https://www.econbiz.de/10010994994