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Dependence measures in bivariate gamma frailty models
Berg, Gerard J. van den; Effraimidis, Georgios - 2014
Bivariate duration data frequently arise in economics, biostatistics and other areas. In "bivariate frailty models", dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this...
Persistent link: https://www.econbiz.de/10010339585
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Revisiting gender identity and relative income within households: a cautionary tale on the potential pitfalls of density estimators
Kühnle, Daniel; Oberfichtner, Michael; Ostermann, Kerstin - 2021
couples at the point where wives start to earn more than their husbands is unstable across different estimation procedures and …
Persistent link: https://www.econbiz.de/10012517056
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …
Persistent link: https://www.econbiz.de/10003586562
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Publication bias and editorial statement on negative findings
Blanco-Perez, Cristina; Brodeur, Abel - 2019
In February 2015, the editors of eight health economics journals sent out an editorial statement which aims to reduce the extent of specification searching and reminds referees to accept studies that: "have potential scientific and publication merit regardless of whether such studies' empirical...
Persistent link: https://www.econbiz.de/10012054792
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The variability and volatility of sleep: an archetypal approach
Hamermesh, Daniel S.; Pfann, Gerard A. - 2022
individuals' sleep time exhibits both variability and volatility characterized by stationary autoregressive conditional … young children at home. Volatility is greater among parents with young children, slightly greater among men than women, but … rates. Volatility in sleep spills over onto volatility in other personal activities, with no reverse causation onto sleep …
Persistent link: https://www.econbiz.de/10012805079
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From riches to rags, and back? : institutional change, financial development and economic growth in Argentina since the 1890s
Campos, Nauro; Karanasos, Menelaos; Tan, Bin - 2014
individual effects on economic growth and volatility using the power-ARCH framework with annual data since the 1890s. The results …
Persistent link: https://www.econbiz.de/10010440609
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Moving the goalposts : addressing limited overlap in estimation of average treatment effects by changing the estimand
Crump, Richard K.; Hotz, Vincent Joseph; Imbens, Guido; … - 2006
Estimation of average treatment effects under unconfoundedness or exogenous treatment assignment is often hampered by …
Persistent link: https://www.econbiz.de/10003474186
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A flexible sample selection model : a GTL-copula approach
Hasebe, Takuya; Vijverberg, Wim P. M. - 2012
In this paper, we propose a new approach to estimating sample selection models that combines Generalized Tukey Lambda (GTL) distributions with copulas. The GTL distribution is a versatile univariate distribution that permits a wide range of skewness and thick- or thin-tailed behavior in the data...
Persistent link: https://www.econbiz.de/10009665514
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The value of knowing the propensity score for estimating average treatment effects
Rothe, Christoph - 2016
a nonparametric adjustment for covariates, building on ideas from the literature on double robust estimation. It is …
Persistent link: https://www.econbiz.de/10011486511
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GTL regression : a linear model with skewed and thick-tailed disturbances
Vijverberg, Wim P. M.; Hasebe, Takuya - 2015
If the disturbances of a linear regression model are skewed and/or thick-tailed, a maximum likelihood estimator is efficient relative to the customary Ordinary Least Squares (OLS) estimator. In this paper, we specify a highly flexible Generalized Tukey Lambda (GTL) distribution to model skewed...
Persistent link: https://www.econbiz.de/10010489608