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Which Extreme Values are Really Extremes?
Olmo, Jose; Gonzalo, Jesus - Econometric Society - 2004
The aim of this paper is to give a formal definition and consistent estimates of the extremes of a population. This definition relies on a threshold value that delimits the extremes and on the uniform convergence of the distribution of these extremes to a Pareto type distribution. The tail...
Persistent link: https://www.econbiz.de/10005699657
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Bootstrap correcting the score test
Hoorelbeke, Dirk - Econometric Society - 2004
. One can use the bootstrap distribution of the score test statistic to obtain a critical value. This can give already … value. Since the score test statistic is asymptotically pivotal, the bootstrap critical value is second-order correct … matrix used in the quadratic form. In this paper we propose a bootstrap-based method to obtain both a second-order correct …
Persistent link: https://www.econbiz.de/10005702655
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Potential Pitfalls in Determining Multiple Structural Changes with an Application to Purchasing Power Parity
Prodan, Ruxandra - Econometric Society - 2004
) structural change test, where we calculate bootstrap critical values. While the size is correct, his sequential method lacks …
Persistent link: https://www.econbiz.de/10005702663
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Taking a New Contour: A Novel Approach to Panel Unit Root Tests
Chang, Yoosoon - Econometric Society - 2004
-sectional units, which may be obtained through the standard bootstrap method. Consequently, we may conveniently use various …
Persistent link: https://www.econbiz.de/10005342316
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Stopping Tests in the Sequential Estimation for Multiple Structural Breaks
Urga, Giovanni; Peretti, Christian de - Econometric Society - 2004
samples are repeated until a criterion for stopping is satisfied. In this paper we propose bootstrap tests as criterion for …
Persistent link: https://www.econbiz.de/10005328868
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High-Frequency Principal Components and Evolution of Liquidity in a Limit Order Market
Tyurin, Konstantin - Econometric Society - 2004
The paper applies a popular methodology of competing risks to the analysis of the timing and interaction between the Deutsche Mark/U.S. dollar transactions, quotes, and cancellations in the Reuters D2000-2 electronic brokerage system. Consistently with previous stock market studies, the bid-ask...
Persistent link: https://www.econbiz.de/10005342260
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Estimation of Nonlinear Models with Measurement Error Using Marginal Information
Ridder, Geert; Hu, Yingyao - Econometric Society - 2004
We consider the problem of consistent estimation of nonlinear models with mismeasured explanatory variables, when marginal information on the true values of these variables is available. The marginal distribution of the true variables is used to identify the distribution of the measurement...
Persistent link: https://www.econbiz.de/10005063704
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Has long become longer or short become shorter? Evidence from a censored quantile regression analysis of the changes in the distribution of U.S. unemployment duration
Guimarães, Juliana - Econometric Society - 2004
There is conflicting evidence regarding the recent evolution of unemployment duration in the U.S. In this study we rely on censored quantile regression methods to analyze the changes in the US unemployment duration distribution. We employed the decomposition method proposed by Machado and Mata...
Persistent link: https://www.econbiz.de/10005699588
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Conditional Treatment and Its Effect on Recidivism
Carvalho, Jose Raimundo; Bierens, Herman - Econometric Society - 2004
The objective of this paper is to evaluate the effect of the 1985 “Employment Services for Ex-Offenders†(ESEO) program on recidivism. Initially, the sample has been split randomly in a control group and a treatment group. However, the actual treatment (mainly being job related...
Persistent link: https://www.econbiz.de/10005699627
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Cannabis, Cocaine and Jobs
Ours, Jan C. van - Econometric Society - 2004
This paper uses a dataset collected among inhabitants of Amsterdam, to study the employment effects of the use of cannabis and cocaine. For females no negative effects of drug use on the employment rate are found. For males there is a negative relationship between past cannabis and cocaine use...
Persistent link: https://www.econbiz.de/10005702550