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The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis
Gronwald, Marc - 2013
This paper applies different copulas in order to investigate the complex dependence structure between EU emission allowance (EUA) futures returns and those of other commodities, equity and energy indices. The analysis yields important insights into the relationship between carbon, commodities...
Persistent link: https://www.econbiz.de/10013093522
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Log-Normal Approximation of the Equity Premium in the Production Model
Heer, Burkhard - 2011
The conditional equity premium in the model with production is often approximated by assuming a jointly log-normal distribution of the marginal rate of substitution in consumption and the marginal productivity of capital. We show that, for standard parameterization, this premium is about one...
Persistent link: https://www.econbiz.de/10013131345
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On the Equivalence of Location Choice Models : Conditional Logit, Nested Logit and Poisson
Schmidheiny, Kurt - 2009
It is well understood that the two most popular empirical models of location choice - conditional logit and Poisson - return identical coefficient estimates when the regressors are not individual specific. We show that these two models differ starkly in terms of their implied predictions. The...
Persistent link: https://www.econbiz.de/10013157652
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Estimation of Heterogeneous Agent Models : A Likelihood Approach
Parra-Alvarez, Juan Carlos - 2020
In this paper, we study the statistical properties of heterogeneous agent models with incomplete markets. Using a Bewley-Hugget-Aiyagari model we compute the equilibrium density function of wealth and show how it can be used for likelihood inference. We investigate the identifiability of the...
Persistent link: https://www.econbiz.de/10012853321
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Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts
Dovern, Jonas - 2018
Established tests for proper calibration of multivariate density forecasts based on Rosenblatt probability integral transforms can be manipulated by changing the order of variables in the forecasting model. We derive order invariant tests. The new tests are applicable to densities of arbitrary...
Persistent link: https://www.econbiz.de/10012916359
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Structural Reforms, Growth and Inequality : An Overview of Theory, Measurement and Evidence
Campos, Nauro F. - 2018
takes stock of theoretical developments, measurement efforts and of the econometric evidence. We start with a simple …
Persistent link: https://www.econbiz.de/10012927189
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A Rise By Any Other Name? Sensitivity of Growth Regressions to Data Source
Hanousek, Jan - 2008
Measured rates of growth in real per capita income differ drastically depending on the data source. This phenomenon occurs largely because data sets differ in whether and how they adjust for changes in relative prices across countries. Replication of several recent studies of growth determinants...
Persistent link: https://www.econbiz.de/10012773476
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Measurement Error in Education and Growth Regressions
Portela, Miguel - 2008
The perpetual inventory method used for the construction of education data per country leads to systematic measurement … error. This paper analyses the effect of this measurement error on GDP regressions. There is a systematic difference in the … the measurement error. The standard attenuation bias suggests that using these corrected data would lead to a higher …
Persistent link: https://www.econbiz.de/10012774497
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Eigenvalue Productivity : Measurement of Individual Contributions in Teams
Müller, Julia - 2017
While the output of a team is evident, the productivity of each team member is typically not readily identifiable. In this paper we consider the problem of measuring the productivity of team members. We propose a new concept of coworker productivity, which we refer to as eigenvalue productivity...
Persistent link: https://www.econbiz.de/10012944882
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A Spatial Approach to Energy Economics : Theory, Measurement and Empirics
Moreno-Cruz, Juan - 2014
incentives for economic activity to concentrate. Our theory provides a novel scaling law; a magnification effect; and reveals a …
Persistent link: https://www.econbiz.de/10013051291