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Broda, Simon A.; Kan, Raymond - Tinbergen Instituut - 2014

A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...

Persistent link: https://www.econbiz.de/10011255898

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2010

robust to large innovations. The model also admits a representation as a time-varying heavy-tailed copula which is …

Persistent link: https://www.econbiz.de/10011257658

Mixed Density based Copula Likelihood

Azam, Kazim; Lucas, Andre - Tinbergen Instituut - 2015

We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian … methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a … using data from the 2013 Household Finance Survey, we show how the copula dependence between income (continuous) and …

Persistent link: https://www.econbiz.de/10011255720

Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression

Allen, David E.; Singh, Abhay K.; Powell, Robert J.; … - Tinbergen Instituut - 2013

copulabased non linear quantile regression known as copula quantile regression (CQR).The discussion of the properties of the …

Persistent link: https://www.econbiz.de/10011256497

Cultural Heritage and the Attractiveness of Cities: Evidence from Recreation Trips

Loon, Ruben van; Gosens, Tom; Rouwendal, Jan - Tinbergen Instituut - 2014

Many cities are trying to attract tourists by investing in urban amenities. Cultural heritage is an important example and substantial investments are needed to keep ancient inner cities and characteristic monumental buildings in good shape. The costs of these policies are usually clear, the...

Persistent link: https://www.econbiz.de/10011256956

The Event-History Approach to Program Evaluation

Abbring, Jaap H. - Tinbergen Instituut - 2006

This paper studies the event-history approach to microeconometric programevaluation. We present a mixed semi-Markov event-history model, discussits application to program evaluation, and analyze its empirical content.The results of this paper provide fundamental insights in what can be...

Persistent link: https://www.econbiz.de/10011257020

Regional Population-Employment Dynamics across Different Sectors of the Economy

Graaff, Thomas de; Oort, Frank G. van; Florax, Raymond … - Tinbergen Instituut - 2011

An important subset of the literature on agglomeration externalities hypothesizes thatintrasectoral and intersectoral relations are endogenously determined in models of localand regional economic growth. Remarkably, structural adjustment models describing thespatio-temporal dynamics of...

Persistent link: https://www.econbiz.de/10011257177

The Effect of the Theo van Gogh Murder on House Prices in Amsterdam

Gautier, Pieter A.; Siegmann, Arjen; Vuuren, Aico van - Tinbergen Instituut - 2007

This paper estimates the impact of the murder of film maker Theo vanGogh on November 2, 2004, on listed house prices in Amsterdam with aunique dataset. We use an hedonic-market approach to show that gen-eral attitudes towards Muslim minorities were negatively affected by themurder. Specifically,...

Persistent link: https://www.econbiz.de/10011255501

Measuring Externalities in Program Evaluation

Janssens, Wendy - Tinbergen Instituut - 2005

Impact evaluations of development programmes usually focus on a comparison of participants with a control group. However, if the programme generates externalities for non-participants such an approach will capture only part of the programme’s impact. Based on a unique large-scale quantitative...

Persistent link: https://www.econbiz.de/10011255655

Agglomeration Externalities and Localized Employment Growth

Vor, Friso de; Groot, Henri L.F. de - Tinbergen Instituut - 2008

This paper addresses the question to what extent the performance of industrial sites is affected by their local economic structure and accessibility. For this aim, we test for the existence of statistically significant relationships between agglomeration externalities (specialization, diversity,...

Persistent link: https://www.econbiz.de/10011255689