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Asymmetry of Information Flow Between Volatilities Across Time Scales

Gencay, Ramazan; Selcuk, Faruk - Econometric Society - 2004

volatility across different time scales. We call this property asymmetric vertical dependence. It is asymmetric in the sense that … a low volatility state (regime) at a long time horizon is most likely followed by low volatility states at shorter time … horizons. On the other hand, a high volatility state at long time horizons does not necessarily imply a high volatility state …

Persistent link: https://www.econbiz.de/10005329008

Optimal Rules under Adjustment Cost and Infrequent Information

Garcia, Rene; Bonomo, Marco - Econometric Society - 2004

A large number of microeconomic decision variables such as investments, prices, inventories or employment are characterized by intermittent large adjustments. The behavior of those variables has been often modeled as following state-dependent rules. The optimality of such state-dependent rules...

Persistent link: https://www.econbiz.de/10005699605

Determinants of Poverty in Eritrea: A Household level Analysis

Fissuh, Eyob; Harris, Mark - Econometric Society - 2004

This paper uses DOGEV model for modelling determinates of poverty in Eritrea by employing Eritrean Household Income and Expenditure Survey 1996/97 data. Education impacts welfare differently across poverty categories and there are pockets of poverty in the educated population sub group. Effect...

Persistent link: https://www.econbiz.de/10005130162

Structural changes, common stochastic trends and unit roots in panel data

Bai, Jushan; Carrion-i-Silvestre, Josep Lluís - Econometric Society - 2004

In this paper we propose a new test statistic that considers multiple structural breaks to analyse the non-stationarity of a panel data set. The methodology is based on the common factor analysis in an attempt to allow for some sort of dependence across the individuals. Thus allowing for...

Persistent link: https://www.econbiz.de/10005342256

Bagging Binary Predictors for Time Series

Yang, Yang; Lee, Tae-Hwy - Econometric Society - 2004

Bootstrap aggregating or Bagging, introduced by Breiman (1996a), has been proved to be effective to improve on unstable forecast. Theoretical and empirical works using classification, regression trees, variable selection in linear and non-linear regression have shown that bagging can generate...

Persistent link: https://www.econbiz.de/10005342326

Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk

Mishra, Santosh; Gonzalez-Rivera, Gloria; Lee, Tae-Hwy - Econometric Society - 2004

Decision theorists claim that an ordinal measure of risk may be sufficient for an agent to make a rational choice under uncertainty. We propose a measure of financial risk, namely the Varying Cross-sectional Risk (VCR), that is based on a ranking of returns. VCR is defined as the probability of...

Persistent link: https://www.econbiz.de/10005328940

Estimating Structural Change in Linear Simultaneous Equations

Weihong, Huang; Yang, Zhang - Econometric Society - 2004

Tests and estimation for changes in the coefficients of linear regression models, particularly the analysis of covariance and the Chow tests, are well known to econometricians and are widely used. This paper demonstrates that analogous estimation can also be constructed in simultaneous equation...

Persistent link: https://www.econbiz.de/10005702525

Alcohol Consumption in Australia: An Application of the Ordered Generalised Extreme Value Model

Zhao, Xueyan; Harris, Mark; Ramful, Preety - Econometric Society - 2004

The adverse effects of excessive alcohol consumption are well-known. Of great concern to policy makers is to understand the potentially different drivers for consumers of different levels of alcohol consumption. Using unit record data from the Australian Drug Strategy Household Surveys, this...

Persistent link: https://www.econbiz.de/10005702599

Overseas Entry Decision and Ownership Strategy of Japanese Companies: Institution and Corporate Governance

Kang, Sung Jin - Econometric Society - 2004

Using 20-year panel data, this paper tests Japanese companies' sequential decisions: (1) to invest abroad or not and (2) if so, what ownership strategy for that local company to be employed. In addition to transaction advantage emphasized by traditional studies on FDI, the focus is the role of...

Persistent link: https://www.econbiz.de/10005702696

Parameter Set Inference in a Class of Econometric Models

Tamer, E.; Chernozhukov, V.; Hong, H. - Econometric Society - 2004

We provide new methods for inference in econometric models where the parameter of interest is a set. These models arise in many situations where point identification requires strong (and sometimes untestable) assumptions. Every parameter vector in the set of interest represents a feasible...

Persistent link: https://www.econbiz.de/10005129813