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Analysis of the predictive ability of information accumulated over nights, weekends and holidays
Tsiakas, Ilias - Econometric Society - 2004
implementing a Bayesian MCMC algorithm, which is adjusted for sampling the seasonal volatility level effects. We compute in …
Persistent link: https://www.econbiz.de/10005702592
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A Nonlinear Model of the Business Cycle
Potter, Simon M.; Leamer, Edward E. - Econometric Society - 2004
The usual index of leading indicators has constant weights on its components and is therefore implicitly premised on the assumption that the dynamical properties of the economy remain the same over time and across phases of the business cycle. We explore the possibility that the business cycle...
Persistent link: https://www.econbiz.de/10005328932
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Bandwidth Selection for Multivariate Kernel Density Estimation Using MCMC
Hyndman, Rob L.; Zhang, Xibin; King, Maxwell L. - Econometric Society - 2004
-driven bandwidth as the dimension of data increases. We provide Markov chain Monte Carlo (MCMC) algorithms for estimating optimal … studies for bivariate data show that the MCMC algorithm generally performs better than the plug-in algorithm under the …) criterion. Numerical studies for 5 dimensional data show that our algorithm is superior to the normal reference rule. Our MCMC …
Persistent link: https://www.econbiz.de/10005702571
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Bayesian Estimation of an Endogenous Bivariate Semiparametric Probit Model for Health Practitioner Utilisation in Australia
Fiebig, Denzil; Smith, Michael; Cottet, Remy - Econometric Society - 2004
This paper presents Bayesian methodology for the estimation of a bivariate probit model with an endogenous effect and both parametric linear and flexible semiparametric exogenous effects. The model is prompted by an analysis of the utilisation of health services in Australia using data from the...
Persistent link: https://www.econbiz.de/10005702572
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Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility
White, Scott I.; Clements, Adam E.; Hurn, Stan - Econometric Society - 2004
Filtering techniques are often applied to the estimation of dynamic latent variable models. However, these techniques are often based on a set assumptions which restrict models to be specified in a linear state-space form. Numerical filtering techniques have been propsed that avoid invoking such...
Persistent link: https://www.econbiz.de/10005702536
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Higher order approximations of IV statistics that indicate their properties under weak or many instruments
Kleibergen, Frank - Econometric Society - 2004
We show that the higher order biases of instrumental variable statistics in the strong instrument case indicate the degeneracy of the first order asymptotic distributions of these statistics under weak or many instrument asymptotics. We express the higher order approximations using an estimator...
Persistent link: https://www.econbiz.de/10005328971
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BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS
Bauwens, Luc; Rombouts, Jeroen - Econometric Society - 2004
We consider the estimation of a large number of GARCH models, say of the order of several hundreds. Especially in the multivariate case, the number of parameters is extremely large. To reduce this number and render estimation feasible, we regroup the series in a small number of clusters. Within...
Persistent link: https://www.econbiz.de/10005328977
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Imposing Curvature and Monotonicity on Flexible Functional Forms: An Efficient Regional Approach
Wolff, Hendrik; Heckelei, Thomas; Mittelhammer, Ron C. - Econometric Society - 2004
Abstract In many areas of economic analysis, economic theory restricts the shape as well as other characteristics of functions used to represent economic constructs. Obvious examples are the monotonicity and curvature conditions that apply to utility, profit, and cost functions. Commonly, these...
Persistent link: https://www.econbiz.de/10005342199
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Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap
Kleibergen, Frank - Econometric Society - 2004
We construct higher order expressions for Wald and Lagrange multiplier (LM) GMM statistics that are based on 2step and continuous updating estimators (CUE). We show that the sensitivity of the limit distribution to weak and many instruments results from superfluous elements in the higher order...
Persistent link: https://www.econbiz.de/10005342218
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Persistence in Monetary Policy Models: Indexation, Habits and Learning with Long-Horizon Expectations
Milani, Fabio - Econometric Society - 2004
What brings persistence into the macroeconomy? This is one of the big unresolved issues in current macroeconomic theory. Economic models, in fact, typically struggle to imply levels of persistence comparable to those observed in the data. Most of the persistence is therefore introduced by highly...
Persistent link: https://www.econbiz.de/10005342244