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INSTITUTIONS AND THE LONG-RUN IMPACT OF EARLY DEVELOPMENT

Ang, James B. - Department of Econometrics and Business Statistics, … - 2012

of the variations in institutions. These indicators are adjusted with large-scale movements of people across … population have facilitated the diffusion of knowledge when they migrate. The exogenous component of institutions due to … early development and current economic performance works through the channel of institutions and that better institutions …

Persistent link: https://www.econbiz.de/10010615302

On the Emergence and Evolution of Mark-up Middlemen: An Inframarginal Model

Pang, Chun; Shi, He-ling - Department of Econometrics and Business Statistics, … - 2010

division of labour with the improvement in institutions and/or transaction technologies. Consequently, the emergence and the …

Persistent link: https://www.econbiz.de/10008492271

Can Institutions explain cross country differences in Innovative Activity?

Wang, Cong - Department of Econometrics and Business Statistics, … - 2013

Motivated by theoretical arguments that assert a positive impact of R&D on institutions, this paper aims to provide … direct effect of institutions on R&D intensity. Countries with better institutions qualities as captured by the World Banksâ … R&D as well. This paper has also found evidence that the effect of institutions varies in different economies …

Persistent link: https://www.econbiz.de/10011141098

Bayesian semiparametric GARCH models

Zhang, Xibin; King, Maxwell L. - Department of Econometrics and Business Statistics, … - 2011

This paper aims to investigate a Bayesian sampling approach to parameter estimation in the semiparametric GARCH model with an unknown conditional error density, which we approximate by a mixture of Gaussian densities centered at individual errors and scaled by a common standard deviation. This...

Persistent link: https://www.econbiz.de/10009366291

Probabilistic Forecasts of Volatility and its Risk Premia

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - Department of Econometrics and Business Statistics, … - 2010

The object of this paper is to produce distributional forecasts of physical volatility and its associated risk premia using a non-Gaussian, non-linear state space approach. Option and spot market information on the unobserved variance process is captured by using dual 'model-free' variance...

Persistent link: https://www.econbiz.de/10008763558

Bayesian Adaptive Bandwidth Kernel Density Estimation of Irregular Multivariate Distributions

Hu, Shuowen; Poskitt, D.S.; Zhang, Xibin - Department of Econometrics and Business Statistics, … - 2010

Kernel density estimation is an important technique for understanding the distributional properties of data. Some investigations have found that the estimation of a global bandwidth can be heavily affected by observations in the tail. We propose to categorize data into low- and high-density...

Persistent link: https://www.econbiz.de/10008763786

Bayesian estimation of bandwidths for a nonparametric regression model with a flexible error density

Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - Department of Econometrics and Business Statistics, … - 2011

We approximate the error density of a nonparametric regression model by a mixture of Gaussian densities with means being the individual error realizations and variance a constant parameter. We investigate the construction of a likelihood and posterior for bandwidth parameters under this...

Persistent link: https://www.econbiz.de/10009275517

The Fiscal Theory of the Price Level When All Income is Taxed

Gomis-Porqueras, Pedro; Moslehi, Solmaz; Vilar, Vivianne - Department of Econometrics and Business Statistics, … - 2013

In this paper we explore how the nature of the equilibria changes when the interest income from nominal bond holdings is also taxed in an fully flexible endowment economy. We find that the stability properties of this economy depend on the slope and the intercept of both monetary and fiscal...

Persistent link: https://www.econbiz.de/10010667361

Bayesian Bandwidth Estimation In Nonparametric Time-Varying Coefficient Models

Cheng, Tingting; Gao, Jiti; Zhang, Xibin - Department of Econometrics and Business Statistics, … - 2015

Bandwidth plays an important role in determining the performance of nonparametric estimators, such as the local constant estimator. In this paper, we propose a Bayesian approach to bandwidth estimation for local constant estimators of time-varying coefficients in time series models. We establish...

Persistent link: https://www.econbiz.de/10011188646

A New Class of Bivariate Threshold Cointegration Models

Cai, Biqing; Gao, Jiti; Tjostheim, Dag - Department of Econometrics and Business Statistics, … - 2015

In this paper, we introduce a new class of bivariate threshold VAR cointegration models. In the models, outside a compact region, the processes are cointegrated, while in the compact region, we allow different kinds of possibilities. We show that the bivariate processes from a 1/2-null recurrent...

Persistent link: https://www.econbiz.de/10011193729