Narrow search
Showing 1 - 10 of 73
Cover Image
Forecasting Euro Area Real GDP: Optimal Pooling of Information
Hülsewig, Oliver; Mayr, Johannes; Wollmershäuser, Timo - CESifo - 2008
This paper proposes a new method of forecasting euro area quarterly real GDP that uses area-wide indicators, which are derived by optimally pooling the information contained in national indicator series. Following the ideas of predictive modeling, we construct the area-wide indicators by...
Persistent link: https://www.econbiz.de/10005181446
Cover Image
Rating Assignments: Lessons from International Banks
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - CESifo - 2009
This paper estimates ordered logit and probit regression models for bank ratings which also include a country index to capture country-specific variation. The empirical findings provide support to the hypothesis that the individual international bank ratings assigned by Fitch Ratings are...
Persistent link: https://www.econbiz.de/10005000371
Cover Image
EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - CESifo - 2010
We model EU countries’ bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our aim is to assess whether “old” and “new” EU countries are rated differently and to determine whether “new” ones are assigned lower ratings, ceteris paribus, than...
Persistent link: https://www.econbiz.de/10008583666
Cover Image
International Student Migration: A Partial Identification Analysis
Méango, Romuald - CESifo - 2014
This paper studies the decision made by a family to invest in student migration. We propose an empirical structural decision model which reflects the importance of both the return to the investment and the budgetary constraint in the choice of the family. We circumvent the problem of endogeneity...
Persistent link: https://www.econbiz.de/10010747226
Cover Image
Modelling Low Pay Transition Probabilities, Accounting for Panel Attrition, Non-Response, and Initial Conditions
Cappellari, Lorenzo; Jenkins, Stephen P. - CESifo - 2004
drop-out mechanisms (panel attrition, non-employment) and ‘initial conditions’ (base-year low pay status). This model, and … initial conditions and retention of employment are more important than the ‘survey’ selection mechanism (attrition). However …
Persistent link: https://www.econbiz.de/10005766114
Cover Image
Strategic R&D with Knowledge Spillovers and Endogenous Time to Complete
Kort, Peter M.; Lukach, Ruslan; Plasmans, Joseph - CESifo - 2007
asymmetry in R&D efficiency between firms is an important factor determining feasibility of the preemption and attrition … scenarios in competitive R&D with time to build. Scenarios of attrition and preemption games are most likely to occur when … competitors have similar R&D efficiencies. In case of largely asymmetric firms the games of attrition and preemption are very …
Persistent link: https://www.econbiz.de/10005094248
Cover Image
Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - CESifo - 2008
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...
Persistent link: https://www.econbiz.de/10005766289
Cover Image
Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management
Pesaran, M. Hashem; Zaffaroni, Paolo - CESifo - 2004
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. In particular, it is shown that under certain...
Persistent link: https://www.econbiz.de/10005405936
Cover Image
Simulation and Estimation of Hedonic Models
Heckman, James J. - CESifo - 2003
Making use of restrictions imposed by equilibrium, theoretical progress has been made on the nonparametric and semiparametric estimation and identification of scalar additive hedonic models (Ekeland, Heckman, and Nesheim, 2002) and scalar nonadditive hedonic models (Heckman, Matzkin, and...
Persistent link: https://www.econbiz.de/10005416481
Cover Image
Fighting Lone Mothers' Poverty through in-Work Benefits - Methodological Issues and Policy Suggestions
Pronzato, Chiara - CESifo - 2013
Lone mothers are overrepresented among poor people in many European countries. In 1998, in Norway, a welfare reform increased the amount of benefits and introduced working requirements. Using a quasi-experimental model, Mogstad and Pronzato (2012) find a positive effect of the reform on lone...
Persistent link: https://www.econbiz.de/10010877897