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Decomposing Portfolio Value-at-Risk: A General Analysis

Hallerbach, Winfried G. - Tinbergen Institute - 1999

assumptions on the underlying statistical distributions, a variety of analytical methods and simulation-based methods are … distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation … simulation context. This paper tries to fill this gap by investigating these VaR concepts in a general distribution …

Persistent link: https://www.econbiz.de/10005144576

Nonparametric Estimation of the Costs of Non-Sequential Search

Moraga-González, José Luis; Sándor, Zsolt; … - Tinbergen Institute - 2008

We study a consumer non-sequential search oligopoly model with search cost heterogeneity. We first prove that an equilibrium in mixed strategies always exists. We then examine the nonparametric identification and estimation of the costs of search. We find that the sequence of points on the...

Persistent link: https://www.econbiz.de/10005209478

Forecasting Productivity Using Information from Firm-Level Data

Bartelsman, Eric J.; Wolf, Zoltán - Tinbergen Institute - 2009

This paper contributes to the productivity literature by using results from firm-level productivity studies to improve forecasts of macro-level productivity growth. The paper employs current research methods on estimating firm-level productivity to build times-series components that capture the...

Persistent link: https://www.econbiz.de/10005016264

Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Institute

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

Persistent link: https://www.econbiz.de/10005144392

The Use of Spatial Filtering Techniques: The Spatial and Space-time Structure of German Unemployment Data

Patuelli, Roberto; Griffith, Daniel A.; Tiefelsdorf, Michael - Tinbergen Institute - 2006

Socio-economic interrelationships among regions can be measured in terms of economic flows, migration, or physical geographically-based measures, such as distance or length of shared areal unit boundaries. In general, proximity and openness tend to favour a similar economic performance among...

Persistent link: https://www.econbiz.de/10005144396

Bahadur Representation for the Nonparametric M-Estimator Under Alpha-mixing Dependence

Cheng, Yebin; Gooijer, Jan G. de - Tinbergen Institute - 2005

Under the condition that the observations, which come from a high-dimensional population (X,Y), are strongly stationary and strongly-mixing, through using the local linear method, we investigate, in this paper, the strong Bahadur representation of the nonparametric M-estimator for the unknown...

Persistent link: https://www.econbiz.de/10005144413

Structural Estimation of Search Intensity: Do Non-Employed Workers Search Enough?

Gautier, Pieter A.; Moraga-González, José Luis; … - Tinbergen Institute - 2007

We present a structural framework for the evaluation of public policies intended to increase job search intensity. Most of the literature defines search intensity as a scalar that influences the arrival rate of job offers; here we treat it as the number of job applications that workers send out....

Persistent link: https://www.econbiz.de/10005144494

Maximum Likelihood Estimation of Search Costs

Moraga-González, José Luis; Wildenbeest, Matthijs R. - Tinbergen Institute

In a recent paper Hong and Shum [2006. Using price distributions to estimate search costs. Rand Journal of Economics 37, 257–275] present a structural method to estimate search cost distributions. We extend their approach to the case of oligopoly and present a new maximum likelihood method to...

Persistent link: https://www.econbiz.de/10005144542

Nonparametric Tests for Serial Independence Based on Quadratic Forms

Diks, Cees; Panchenko, Valentyn - Tinbergen Institute - 2005

Tests for serial independence and goodness-of-fit based on divergence notions between probability distributions, such as the Kullback-Leibler divergence or Hellinger distance, have recently received much interest in time series analysis. The aim of this paper is to introduce tests for serial...

Persistent link: https://www.econbiz.de/10005144548

The Non-Parametric Identification of Lagged Duration Dependence

Frijters, Paul - Tinbergen Institute - 2000

In this paper, I consider the identification of lagged duration dependence in multiple spells without using the assumtion that there are additional regressors orthogonal to the individual effects. The non-parametric identification strategy is applied to the multiple non-employment spells of 2066...

Persistent link: https://www.econbiz.de/10005144569