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Testing and Estimating Persistence in Canadian Unemployment.

Mikhail, Ossama; Eberwein, Curtis J.; Handa, Jagdish - EconWPA - 2003

framework of Bayesian ARFIMA class of models. The results conclude that Canadian unemployment exhibits persistence in the short …

Persistent link: https://www.econbiz.de/10005062535

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

Persistent link: https://www.econbiz.de/10011755339

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 … posterior simulation: Gibbs sampling enables application to Bayesian problems, while ARMS is an adaptive strategy that replaces …

Persistent link: https://www.econbiz.de/10011755371

A Method for Assigning Letter Grades: Multi-Curve Grading

Strashny, Alex - EconWPA - 2003

This paper describes a new method for assigning letter grades to students based on their raw scores, which I call Multi-Curve Grading (MCG). The intuition behind the method is that a class can be composed of several different subgroups, each of which should be assigned a different grade. In...

Persistent link: https://www.econbiz.de/10005119214

Not p-values, said a little bit differently

Startz, Richard - In: Econometrics 7 (2019) 1, pp. 1-5

As a contribution toward the ongoing discussion about the use and mis-use of p-values, numerical examples are presented demonstrating that a p-value can, as a practical matter, give you a really different answer than the one that you want.

Persistent link: https://www.econbiz.de/10012696226

Bayesian nonparametric measurement of factor betas and clustering with application to hedge fund returns

Garay, Urbi; ter Horst, Enrique; Molina, German; … - In: Econometrics 4 (2016) 1, pp. 1-23

We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory factors) in a multivariate setting. This...

Persistent link: https://www.econbiz.de/10011755320

Bayesian and Classical Approaches to Instrumental Variables Regression

Kleibergen, Frank; Zivot, Eric - EconWPA - 1998

We estabilsh the relationships between certain Bayesian and classical approaches to instrumental variables regression … classical 2SLS and LIML and in doing so provide some new insight to the small sample behavior of Bayesian and classical … Bayesian and classical procedures in linear regression models: i.e., Bayesian analysis with a diffuse prior leads to posteriors …

Persistent link: https://www.econbiz.de/10005062530

Likelihood ratio tests of restrictions on common trends loading matrices in I(2) VAR Systems

Boswijk, H. Peter; Paruolo, Paolo - In: Econometrics 5 (2017) 3, pp. 1-17

Persistent link: https://www.econbiz.de/10011995238

Structural Equation Models in Human Behavior Genetics

Goldberger, Arthur S. - EconWPA - 2003

Persistent link: https://www.econbiz.de/10005556258

Exogenous impact and conditional quantile functions

Chesher, Andrew - EconWPA - 2001

nonparametric identification of exogenous impact functions under quantile independence conditions. It is shown that, when valid …

Persistent link: https://www.econbiz.de/10005119107

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