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Econometrics
Acemoglu, Daron (contributor) - 2013
Persistent link: https://www.econbiz.de/10010213203
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Market Price of Risk Specifications for Affine Models: Theory and Evidence
Cheridito, Patrick; Filipovic, Damir - Econometric Society - 2004
We extend the standard specification of the market price of risk for affine yield models of the term structure of interest rates, and estimate several models using the extended specification. For most models, the extended specification fits US data better than standard specifications, often with...
Persistent link: https://www.econbiz.de/10005328948
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The effects of meternal education versus cognitive test scores on child nutrition in Kenya
Fox-Kean, Melanie; Bhargava, Alok - Econometric Society - 2004
This paper estimates dynamic random effects models for intakes by 100 Kenyan school children (6-9 years) of dietary energy, protein, calcium, iron, zinc, niacin, riboflavin, thiamin, and vitamins A, C, D, and E within a multivariate longitudinal framework. The explanatory variables were...
Persistent link: https://www.econbiz.de/10005129814
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Bayesian Inference for Econometric Models using Empirical Likelihood Functions
Schorfheide, Frank; Moon, Hyungsik Roger - Econometric Society - 2004
Estimators based on moment conditions of the form E[g(X,t)], where t is a finite-dimensional parameter vector of interest, are a popular tool in applied econometrics. Unlike likelihood-based estimators, moment-based estimators do not require the researcher to specify the probability distribution...
Persistent link: https://www.econbiz.de/10005328951
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The Growth of Global Equity Markets: A Closer Look
Li, Kai - Econometric Society - 2004
This paper presents both the time-series and cross-country evidence on the growth of global equity markets and attempts to shed some light on the sources of equity market growth. Using data on 33 countries, I find that development of financial intermediaries and openness to trade are positively...
Persistent link: https://www.econbiz.de/10005063590
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Assessing the Impact of Private Sector Balance Sheets Effects on Financial Crises: a comparison of Bayesian and information-theoretic measures of model uncertainty
Weeks, M.; Godsill, S.; Stone, M. - Econometric Society - 2004
This paper examines the intensity of financial crises during the 1990s with a view to informing crisis prevention and mitigation policies. We compare the performance of a full Bayesian and an information-theoretic approach in addressing the econometric problems posed by the lack of a unifying...
Persistent link: https://www.econbiz.de/10005699629
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Subsampling Hypothesis Tests for Nonstationary Panels with Applications to the PPP Hypothesis
Chu, Timothy; Choi, In - Econometric Society - 2004
This paper studies subsampling hypothesis tests for panel data that are possibly nonstationary, and cross …-sectionally correlated and cross-sectionally cointegrated. The tests include panel unit root and cointegration tests as special cases. The … number of cross-sectional units in the panel data is assumed to be finite, and that of time series observations infinite …
Persistent link: https://www.econbiz.de/10005328871
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What Determines Foreign Direct Investment? An Empirical Investigation
Larrain, Felipe - Econometric Society - 2004
on the determinants of FDI are studied through a panel data for a large group of countries between the years 1980 and …
Persistent link: https://www.econbiz.de/10005328884
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Assesment of the relationship between Inequality and Economic Growth: A panel Data Approach
Diaz, Araceli Ortega - Econometric Society - 2004
equation. Using dynamic panel data analysis for the 32 States of Mexico with both, urban personal income for grouped data and …
Persistent link: https://www.econbiz.de/10005328905