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Interpretation of Regressions with Multiple Proxies
Lubotsky, Darren; Wittenberg, Martin - EconWPA - 2001
We consider the situation in which there are multiple proxies for one unobserved explanatory variable in a linear regression and provide a procedure by which the coefficient of interest can be extracted "post hoc" from a multiple regression in which all the proxies are used simultaneously. This...
Persistent link: https://www.econbiz.de/10005407980
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Recovering the most entropic copulas from preliminary knowledge of dependence
Chu, Ba; Satchell, Stephen - In: Econometrics 4 (2016) 2, pp. 1-21
information by constructing the most entropic copula (MEC) and its canonical form, namely the most entropic canonical copula (MECC …). The MECC can effectively be obtained by maximizing Shannon entropy to yield a proper copula such that known dependence … estimator can potentially outperform many other copula estimators in finite samples. …
Persistent link: https://www.econbiz.de/10011755325
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Copula-based vMEM specifications versus alternatives: The case of trading activity
Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - In: Econometrics 5 (2017) 2, pp. 1-24
interdependence and contemporaneously correlated innovations (vector MEM or vMEM). We suggest copula functions to link Gamma marginals …
Persistent link: https://www.econbiz.de/10011755372
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Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term
Doğan, Osman - In: Econometrics 3 (2015) 1, pp. 101-127
In this study, I investigate the necessary condition for the consistency of the maximum likelihood estimator (MLE) of spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive and spatial moving average parameters is generally...
Persistent link: https://www.econbiz.de/10011755273
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Measurement errors arising when using distances in microeconometric modelling and the individuals' position is geo-masked for confidentiality
Arbia, Giuseppa; Espa, Giuseppe; Giuliani, Diego - In: Econometrics 3 (2015) 4, pp. 709-718
In many microeconometric models we use distances. For instance, in modelling the individual behavior in labor economics or in health studies, the distance from a relevant point of interest (such as a hospital or a workplace) is often used as a predictor in a regression framework. However, in...
Persistent link: https://www.econbiz.de/10011755307
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Counterfactual distributions in bivariate models: A conditional quantile approach
Alejo, Javier; Badaracco, Nicolás - In: Econometrics 3 (2015) 4, pp. 719-732
This paper proposes a methodology to incorporate bivariate models in numerical computations of counterfactual distributions. The proposal is to extend the works of Machado and Mata (2005) and Melly (2005) using the grid method to generate pairs of random variables. This contribution allows...
Persistent link: https://www.econbiz.de/10011755308
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Multiple discrete endogenous variables in weakly-separable triangular models
Jun, Sung Jae; Pinkse, Joris; Xu, Haiqing; Yıldız, Neşe - In: Econometrics 4 (2016) 1, pp. 1-21
We consider a model in which an outcome depends on two discrete treatment variables, where one treatment is given before the other. We formulate a three-equation triangular system with weak separability conditions. Without assuming assignment is random, we establish the identification of an...
Persistent link: https://www.econbiz.de/10011755316
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Between institutions and global forces: Norwegian wage formation since industrialisation
Nymoen, Ragnar - In: Econometrics 5 (2017) 1, pp. 1-54
This paper reviews the development of labour market institutions in Norway, shows how labour market regulation has been related to the macroeconomic development, and presents dynamic econometric models of nominal and real wages. Single equation and multi-equation models are reported. The...
Persistent link: https://www.econbiz.de/10011755357
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Bayesian inference for latent factor copulas and application to financial risk forecasting
Schamberger, Benedikt; Gruber, Lutz F.; Czado, Claudia - In: Econometrics 5 (2017) 2, pp. 1-23
develop Bayesian inference for a recently proposed latent factor copula model, which utilizes a pair copula construction to …
Persistent link: https://www.econbiz.de/10011755371
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A Self-Consistent Model for the Forward Price Dynamics
Makhankov, Vlad - EconWPA - 2003
We consider mean-reverting stochastic processes and build a self- consistent model for forward price dynamics and their applications in power industries. This model with stochastic volatility of the forward price is built using the ideas and equations of stochastic differential geometry in order...
Persistent link: https://www.econbiz.de/10005124894