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A unified approach to the measurement error problem in time series models
Tanaka, Katsuto - In: Econometric theory 18 (2002) 2, pp. 278-296
Persistent link: https://www.econbiz.de/10001661295
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The Bias of the Gini Coefficient due to Grouping
Ourti, Tom Van; Clarke, Philip - 2008
We propose a first order bias correction term for the Gini index to reduce the bias due to grouping. The first order … reveals an intuitive formula for the remaining second order bias which is useful in empirical analyses. We analyze the … it reduces a considerable share of the bias due to grouping. …
Persistent link: https://www.econbiz.de/10010325812
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The Bias of the Gini Coefficient Due to Grouping : Revisiting First-Order Corrections
Van Ourti, Tom - 2008
We propose a first order bias correction term for the Gini index to reduce the bias due to grouping. The first order … reveals an intuitive formula for the remaining second order bias which is useful in empirical analyses. We analyze the … it reduces a considerable share of the bias due to grouping …
Persistent link: https://www.econbiz.de/10012722922
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Measurement Error in Education and Growth Regressions
Portela, Miguel; Alessie, Rob; Teulings, Coen N. - 2004
the measurement error. The standard attenuation bias suggests that using these corrected data would lead to a higher …
Persistent link: https://www.econbiz.de/10010325186
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Average derivative estimation under measurement error
Dong, Hao; Otsu, Taisuke; Taylor, Luke - In: Econometric theory 37 (2021) 5, pp. 1004-1033
Persistent link: https://www.econbiz.de/10012656392
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Bias correctoin of semiparametric long memory parameter estimators via the prefiltered sieve bootstrap
Poskitt, Donald Stephen; Martin, M.; Grose, Simone D. - In: Econometric theory 33 (2017) 3, pp. 578-609
Persistent link: https://www.econbiz.de/10011810039
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Asymmetries in Conditional Mean and Variance: Modelling Stock Returns by asMA-asQGARCH
Brännäs, Kurt; de Gooijer, Jan G. - 2000
variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared …
Persistent link: https://www.econbiz.de/10010324389
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Combined Forecasts from Linear and Nonlinear Time Series Models
Terui, N.; van Dijk, Herman K. - 2000
Combined forecasts from a linear and a nonlinear model areinvestigated for timeseries with possibly nonlinear characteristics. The forecasts arecombined by aconstant coefficient regression method as well as a time varyingmethod. Thetime varying method allows for a locally (non)linear model....
Persistent link: https://www.econbiz.de/10010324396
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The Monetary Exchange Rate Model as a Long-Run Phenomenon
Groen, Jan J.J. - 1998
Pure time series-based tests fail to find empirical support formonetary exchange rate models. In this paper we apply pooled timeseries estimation on a forward-looking monetary model, resulting inparameter estimates which are in compliance with the underlyingtheory. Based on a panel version of...
Persistent link: https://www.econbiz.de/10010324410
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Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach
Koop, Gary; van Dijk, Herman K.; Hoek, Henk - 1997
In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to...
Persistent link: https://www.econbiz.de/10010324436