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Rodrigues, Miguel - EconWPA - 2005

This document aims to explain how to use R matrix capacity in the context of regression analysis. …

Persistent link: https://www.econbiz.de/10005556289

Wavelets in Econometrics: An Application to Outlier Testing

Greenblatt, Seth A. - EconWPA - 1994

In recent years, wavelets have become widely used in physics, engineering, and mathematics. They have been used for signal processing, image processing, numerical computation, and data compression. Wavelets have not, however, been used very much in the fields of Economics, Econometrics, and...

Persistent link: https://www.econbiz.de/10005124893

Markov Chain Monte Carlo Simulation Methods in Econometrics

Chib, Siddhartha; Greenberg, Edward - EconWPA - 1994

We present several Markov chain Monte Carlo simulation methods that have been widely used in recent years in econometrics and statistics. Among these is the Gibbs sampler, which has been of particular interest to econometricians. Although the paper summarizes some of the relevant theoretical...

Persistent link: https://www.econbiz.de/10005124895

Fitting Equilibrium Search Models to Labor Market Data

Bowlus, Audra J.; Kiefer, Nicholas M.; Neumann, George R. - EconWPA - 1996

The essential idea of equilibrium search models of labour market behaviour is that wage policy matters. In contrast, the stylized neoclassical competitive model predicts that firms paying a wage above the competitive equilibrium will disappear; those offering less will attract no workers. The...

Persistent link: https://www.econbiz.de/10005124896

Using Expectations Data to Study Subjective Income Expectations

Dominitz, Jeff; Manski, Charles F. - EconWPA - 1994

We have collected data on the one-year-ahead income expectations of members of American households in our Survey of Economic Expectations (SEE), a module of a national continuous telephone survey conducted at the University of Wisconsin. The income- expectations questions take this form: "What...

Persistent link: https://www.econbiz.de/10005124897

Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions

DeSerres, Alain; Guay, Alain - EconWPA - 1995

The authors examine the issue of lag-length selection in the context of a structural vector autoregression (VAR) and a vector error-correction model with long-run restrictions. First, they show that imposing long- run restrictions implies, in general, a moving-average (MA) component in the...

Persistent link: https://www.econbiz.de/10005124898

Bayesian and Classical Approaches to Instrumental Variables Regression

Kleibergen, Frank; Zivot, Eric - EconWPA - 1998

We estabilsh the relationships between certain Bayesian and classical approaches to instrumental variables regression … Bayesian and classical procedures in linear regression models: i.e., Bayesian analysis with a diffuse prior leads to posteriors … instrumental variables regression model can be obtained from a reduced rank restriction on a multivariate linear model to determine …

Persistent link: https://www.econbiz.de/10005062530

A Simple Deconvolving Kernel Density Estimator when Noise is Gaussian

Proenca, Isabel - EconWPA - 2005

Deconvolving kernel estimators when noise is Gaussian entail heavy calculations. In order to obtain the density estimates numerical evaluation of a specific integral is needed. This work proposes an approximation to the deconvolving kernel which simplifies considerably calculations by avoiding...

Persistent link: https://www.econbiz.de/10005062537

Sampling distribution of the Bonferroni inequality index from exponential population

Giorgi, Giovanni Maria; Mondani, Riccardo - EconWPA - 2005

Persistent link: https://www.econbiz.de/10005062539

Regime Switching as a Test for Exchange Rate Bubbles

Norden, Simon van - EconWPA - 1995

-switching behaviour, which is shown to imply coefficient restrictions on a simple switching-regression model of exchange rate innovations …

Persistent link: https://www.econbiz.de/10005062545

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