Similar Search Results

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10009530816

A survey of hedge and safe havens assets against G-7 stock markets before and during the COVID-19 pandemic

Ozdemir, Huseyin; Ozdemir, Zeynel Abidin - 2021

We propose a new Sharpe ratio index obtained from return and volatility spillover indices to individual assets from the whole financial system. We use our new approach to shed light on a new perspective on a hot topic examining the safe-haven assets after Covid-19. To do that, we compare both...

Persistent link: https://www.econbiz.de/10012705552

Dependence measures in bivariate gamma frailty models

Berg, Gerard J. van den; Effraimidis, Georgios - 2014

distributions. For such cases we calculate general bounds for two association measures, Pearson's correlation coefficient and …

Persistent link: https://www.econbiz.de/10010339585

Efficient probit estimation with partially missing covariates

Conniffe, Denis; O'Neill, Donal - 2009

A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...

Persistent link: https://www.econbiz.de/10003829113

Implementing the panel event study

Clarke, Damian; Tapia Schythe, Kathya - 2020

practical considerations for its estimation. We describe a Stata command eventdd that allows for simple estimation, inference …

Persistent link: https://www.econbiz.de/10012256137

How prediction markets can save event studies

Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - 2011

This review paper articulates the relationship between prediction market data and event studies, with a special focus on applications in political economy. Event studies have been used to address a variety of political economy questions - from the economic effects of party control of government...

Persistent link: https://www.econbiz.de/10009238627

Testing dependence among serially correlated multi-category variables

Pesaran, M. Hashem (contributor); … - 2006

maximum canonical correlation between pairs of discrete variables. We also propose a trace canonical correlation test using …

Persistent link: https://www.econbiz.de/10003344606

How to control for many covariates? : reliable estimators based on the propensity score

Huber, Martin; Lechner, Michael; Wunsch, Conny - 2010

We investigate the finite sample properties of a large number of estimators for the average treatment effect on the treated that are suitable when adjustment for observable covariates is required, like inverse probability weighting, kernel and other variants of matching, as well as different...

Persistent link: https://www.econbiz.de/10009154559

Canonical correlation and assortative matching : a remark

Dupuy, Arnaud; Galichon, Alfred - 2012

weighted sum of their respective multivariate attributes, many papers in the literature have used linear canonical correlation …, and related techniques, in order to estimate these weights. We argue that this estimation technique is inconsistent and … suggest some solutions. -- matching ; marriage ; assignment ; assortative matching ; canonical correlation …

Persistent link: https://www.econbiz.de/10009631441

An alternative explanation for the variation in reported estimates of risk aversion

Conniffe, Denis; O'Neill, Donal - 2012

aversion parameter hold only in very restricted circumstances and that serious under or over estimation can easily arise as a … result. -- variability in risk aversion estimation ; mean-variance estimation ; location scale …

Persistent link: https://www.econbiz.de/10009629057

1
2
3
4
5
6
7
8
9
10
Next
Last