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Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk

Monteiro, Andre; Smirnov, Georgi V.; Lucas, Andre - Tinbergen Instituut - 2006

We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...

Persistent link: https://www.econbiz.de/10011255640

Comparative Advantage, the Rank-size Rule, and Zipf's Law

Hinloopen, Jeroen; Marrewijk, Charles van - Tinbergen Instituut - 2006

Using a comprehensive international trade data set we investigate empirical regularities (known as Zipf’s Law or the rank-size rule) for the distribution of the interaction between countries as measured by revealed comparative advantage. Using the recently developed estimator by Gabaix and...

Persistent link: https://www.econbiz.de/10011256576

The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models

Bun, Maurice J.G.; Windmeijer, Frank - Tinbergen Instituut - 2009

The system GMM estimator for dynamic panel data models combines moment conditions for the model in first differences … model in terms of bias and root mean squared error. However, we show in this paper that in the covariance stationary panel … results are shown to extend to the panel data GMM estimators. This discussion paper resulted in a publication in <A href …

Persistent link: https://www.econbiz.de/10011256005

The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models

Bun, Maurice J.G.; Kiviet, Jan F. - Tinbergen Instituut - 2002

(LS) andmethod of moments (MM) estimators in panel data models with individual effectsand both a lagged dependent variabIe …

Persistent link: https://www.econbiz.de/10011256572

Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models

Kiviet, Jan F. - Tinbergen Instituut - 2005

competing estimators for dynamic panel data models. To illustrate particular pitfalls some further Monte Carlo results are … and two step generalized method of moments (GMM) estimators in homoskedastic stable zero-mean panel AR(1) models with …

Persistent link: https://www.econbiz.de/10011256693

Sharp Threshold Detection based on Sup-Norm Error Rates in High-dimensional Models

Callot, Laurent; Caner, Mehmet; Kock, Anders Bredahl; … - Tinbergen Instituut - 2015

We propose a new estimator, the thresholded scaled Lasso, in high dimensional threshold regressions. First, we establish an upper bound on the ℓ∞ estimation error of the scaled Lasso estimator of Lee et al. (2012). This is a non-trivial task as the literature on high-dimensional models has...

Persistent link: https://www.econbiz.de/10011256756

On the Diminishing Returns of Higher-order Terms in Asymptotic Expansions of Bias

Bun, Maurice J.G.; Kiviet, Jan F. - Tinbergen Instituut - 2002

This discussion paper resulted in a publication in Economics Letters. Vol. 79(2), pages 145-152. The relative magnitudes are compared of successive terms in a higher-order asymptotic expansion of the bias of the LSDV estimator in dynamic panels. We find that the leading term accounts for the...

Persistent link: https://www.econbiz.de/10011256793

Business Cycle Fluctuations and Private Savings in OECD Countries: A Panel Data Analysis

Adema, Yvonne; Pozzi, Lorenzo - Tinbergen Instituut - 2012

We investigate the cyclicality of the private savings to GDP ratio for a panel of 19 OECD countries over the period …

Persistent link: https://www.econbiz.de/10011256485

The Stickiness of Aggregate Consumption Growth in OECD Countries: A Panel Data Analysis

Everaert, Gerdie; Pozzi, Lorenzo - Tinbergen Instituut - 2010

consumption.Next, we estimate this dynamic consumption equation for a panel of 15 OECD countries over the period 1972-2007 taking …

Persistent link: https://www.econbiz.de/10011256526

Vector Autoregressions with parsimoniously Time Varying Parameters and an Application to Monetary Policy

Callot, Laurent; Kristensen, Johannes Tang - Tinbergen Instituut - 2014

This paper studies vector autoregressive models with parsimoniously time-varying parameters. The parameters are assumed to follow parsimonious random walks, where parsimony stems from the assumption that increments to the parameters have a non-zero probability of being exactly equal to zero. We...

Persistent link: https://www.econbiz.de/10011271948

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