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Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks
Chudik, Alexander - 2020
This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...
Persistent link: https://www.econbiz.de/10012825993
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Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Quantile Regression Models
Harding, Matthew - 2018
Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under …This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … new quantile regression estimator. Monte Carlo studies are carried out to study the small sample behavior of the proposed …
Persistent link: https://www.econbiz.de/10012908711
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Setting a Good Example? Examining Sibling Spillovers in Education Achievement Using a Regression Discontinuity Design
Karbownik, Krzysztof - 2019
We identify externalities in human capital production function arising from sibling spillovers. Using regression …
Persistent link: https://www.econbiz.de/10012891055
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Limited Self-Knowledge and Survey Response Behavior
Falk, Armin; Neuber, Thomas; Strack, Philipp - 2021
-knowledge significantly increases the explanatory power of regression models. Using a median split in self-knowledge and regressing risky …
Persistent link: https://www.econbiz.de/10013219070
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Energy Expenditure in Egypt : Empirical Evidence Based on a Quantile Regression Approach
Bélaïd, Fateh; Rault, Christophe - 2021
Egyptian HIECS Survey, we develop a quantile regression model with an innovative variable selection approach via Adaptive Lasso … outcome highlights the added value of implementing quantile regression methods. Our empirical results have various interesting …
Persistent link: https://www.econbiz.de/10013250744
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Identification and Estimation of Categorical Random Coefficient Models
Gao, Zhan; Pesaran, M. Hashem - 2022
This paper proposes a linear categorical random coefficient model, in which the random coefficients follow parametric categorical distributions. The distributional parameters are identified based on a linear recurrence structure of moments of the random coefficients. A Generalized Method of...
Persistent link: https://www.econbiz.de/10013291320
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What Drives Financial Development? A Meta-Regression Analysis
Doucouliagos, Chris - 2020
This paper offers a meta-regression analysis of the literature on the drivers of financial development. Our results …
Persistent link: https://www.econbiz.de/10012830987
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Variable Selection in High Dimensional Linear Regressions with Parameter Instability
Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2023
This paper is concerned with the problem of variable selection when the marginal effects of signals on the target variable as well as the correlation of the covariates in the active set are allowed to vary over time, without committing to any particular model of parameter instabilities. It poses...
Persistent link: https://www.econbiz.de/10014262743
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On the Capital Structure of Foreign Subsidiaries : Evidence from a Panel Data Quantile Regression Model
Miniaci, Raffaele; Panteghini, Paolo - 2021
This paper studies how variations in tax rates and profitability affect the (unconditional) quantiles of the distribution of the leverage of European foreign owned subsidiaries in the presence of unobserved company characteristics, possibly correlated with their observable dimensions. To achieve...
Persistent link: https://www.econbiz.de/10013226660
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Categorical Forecasts and Non-Categorical Loss Functions
Bürgi, Constantin - 2020
This paper introduces a new test of the predictive performance and market timing for categorical forecasts based on contingency tables when the user has non-categorical loss functions. For example, a user might be interested in the return of an underlying variable instead of just the direction....
Persistent link: https://www.econbiz.de/10012834366