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Using private job agencies : optimal screening or cream skimming?
Kübler, Dorothea - 1997
In a model with private information of the worker about her ability and unobservable effort choice, the role of public and private employment services is analyzed. The coexistence of an inefficient employment exchange and an efficient private agency may lead to optimal screening with first best...
Persistent link: https://www.econbiz.de/10009658470
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Private information, risk aversion, and the evolution of market research
Güth, Sandra; Güth, Werner; Müller, Wieland - 2000
On a homogeneous oligopoly market informed sellers are fully aware of market demand whereas uninformed sellers only know the distribution. We first derive the market results when sellers are risk averse, similarly to Ponssard (1979) who assumed risk neutrality throughout. With the help of these...
Persistent link: https://www.econbiz.de/10009612010
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Forecasting performance of market share attraction models : a comparison of different models assuming that competitors’ actions are forecasts
Klapper, Daniel; Herwartz, Helmut - 1998
Persistent link: https://www.econbiz.de/10009578563
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Testing for short and long-run causality : the case of the yield spread and economic growth
Breitung, Jörg; Candelon, Bertrand - 2001
To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...
Persistent link: https://www.econbiz.de/10009617950
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How accurate do markets predict the outcome of an event? : the Euro 2000 soccer championships experiment
Schmidt, Carsten; Werwatz, Axel - 2002 - Rev.
For the Euro 2000 Soccer Championships an experimental asset market was condueted, with traders buying and selling contracts on the winners of individual matches. Market-generated probabilities are compared to professional bet quotas, and factors that are responsible for the quality of the...
Persistent link: https://www.econbiz.de/10009621415
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Forecasting cointegrated VARMA processes
Lütkepohl, Helmut - 1999
Persistent link: https://www.econbiz.de/10009581104
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Backtesting beyond VaR
Härdle, Wolfgang; Stahl, Gerhard - 1999
VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk and shortfall are discussed and motivated. A backtesting method based on the shortfall is developed and applied to VaR forecasts of areal portfolio. The analysis shows...
Persistent link: https://www.econbiz.de/10009582401
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Temporal aggregation and causality in multiple time series models
Breitung, Jörg; Swanson, Norman R. - 1998
asymptotic theory based on large aggregation intervals we derive conditions for a correspondence between both concepts. These … examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our approach is to compare … results allow us to differentiate between spurious contemporaneous correlation arising because of aggregation, and true …
Persistent link: https://www.econbiz.de/10009578029
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On the effects of aggregating cointegrated variables over time
Müller-Kademann, Christian - 2002
aggregated observations (see Working (1960)). This paper investigates the effect of aggregation on the relation between variables … (cointegration). It will be shown that aggregation does not distort the cointegration relation while some other features of the data … cointegration analysis seems to be robust against various aggregation strategies. -- cointegration ; aggregation ; time series …
Persistent link: https://www.econbiz.de/10009620772
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Semiparametric estimation and prediction for time series cross sectional data
Bunke, Olaf - 1998
This paper discusses a methodology which uses time series cross sectional datafor the estimation of a time dependent regression function depending on explanatory variables and for the prediction of values of the dependent variable. The methodology assumes independent observations and is based on...
Persistent link: https://www.econbiz.de/10009578017