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Two-Part Models for Fractional Responses Defined as Ratios of Integers

Oberhofer, Harald; Pfaffermayr, Michael - In: Econometrics 2 (2014) 3, pp. 123-144

This paper discusses two alternative two-part models for fractional response variables that are defined as ratios of … discriminate between the two models. The second model extends the first one by allowing for overdispersion in the data. We … demonstrate the usefulness of the proposed two-part models for data on the 401(k) pension plan participation rates used in Papke …

Persistent link: https://www.econbiz.de/10010945729

Information Recovery in a Dynamic Statistical Markov Model

Miller, Douglas J.; Judge, George - In: Econometrics 3 (2015) 2, pp. 187-198

models. A quadratic loss function is used as a basis for selecting the optimal member from the family of possible likelihood …

Persistent link: https://www.econbiz.de/10011211017

Plug-in Bandwidth Selection for Kernel Density Estimation with Discrete Data

Chu, Chi-Yang; Henderson, Daniel J.; Parmeter, … - In: Econometrics 3 (2015) 2, pp. 199-214

This paper proposes plug-in bandwidth selection for kernel density estimation with discrete data via minimization of mean summed square error. Simulation results show that the plug-in bandwidths perform well, relative to cross-validated bandwidths, in non-uniform designs. We further find that...

Persistent link: https://www.econbiz.de/10011220361

The SAR Model for Very Large Datasets: A Reduced Rank Approach

Burden, Sandy; Cressie, Noel; Steel, David G. - In: Econometrics 3 (2015) 2, pp. 317-338

The SAR model is widely used in spatial econometrics to model Gaussian processes on a discrete spatial lattice, but for large datasets, fitting it becomes computationally prohibitive, and hence, its usefulness can be limited. A computationally-efficient spatial model is the spatial random...

Persistent link: https://www.econbiz.de/10011276475

Selection Criteria in Regime Switching Conditional Volatility Models

Chuffart, Thomas - In: Econometrics 3 (2015) 2, pp. 289-316

A large number of nonlinear conditional heteroskedastic models have been proposed in the literature. Model selection is … lead to choice of the right specification in a regime switching framework. We focus on two types of models: the Logistic … Smooth Transition GARCH and the Markov-Switching GARCH models. Simulation experiments reveal that information criteria and …

Persistent link: https://www.econbiz.de/10011276476

A Pitfall in Using the Characterization of Granger Non-Causality in Vector Autoregressive Models

Triacca, Umberto - In: Econometrics 3 (2015) 2, pp. 233-239

It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that...

Persistent link: https://www.econbiz.de/10011249490

Detecting Location Shifts during Model Selection by Step-Indicator Saturation

Castle, Jennifer L.; Doornik, Jurgen A.; Hendry, David F.; … - In: Econometrics 3 (2015) 2, pp. 240-264

To capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a...

Persistent link: https://www.econbiz.de/10011254953

Nonparametric Regression Estimation for Multivariate Null Recurrent Processes

Cai, Biqing; Tjøstheim, Dag - In: Econometrics 3 (2015) 2, pp. 265-288

This paper discusses nonparametric kernel regression with the regressor being a \(d\)-dimensional \(\beta\)-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate \(\sqrt{n(T)h^{d}}\), where \(n(T)\) is...

Persistent link: https://www.econbiz.de/10011254954

Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States

Mohammadi, Hassan; Tan, Yuting - In: Econometrics 3 (2015) 2, pp. 215-232

Examinations of the dynamics of daily returns and volatility in stock markets of the U.S., Hong Kong and mainland China (Shanghai and Shenzhen) over 2 January 2001 to 8 February 2013 suggest: (1) evidence of unidirectional return spillovers from the U.S. to the other three markets; but no...

Persistent link: https://www.econbiz.de/10011227996

Academic Rankings with RePEc

Zimmermann, Christian - In: Econometrics 1 (2013) 3, pp. 249-280

This article describes the data collection and use of data for the computation of rankings within RePEc (Research Papers in Economics). This encompasses the determination of impact factors for journals and working paper series, as well as the ranking of authors, institutions, and geographic...

Persistent link: https://www.econbiz.de/10010723460