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Bayesian Modelling of Catch in a Northwest Atlantic Fishery

Fernandez, Carmen; Ley, Eduardo; Steel, Mark - EconWPA - 2001

We model daily catches of fishing boats in the Grand Bank fishing grounds. We use data on catches per species for a number of vessels collected by the European Union in the context of the Northwest Atlantic Fisheries Organization. Many variables can be thought to influence the amount caught: a...

Persistent link: https://www.econbiz.de/10005556300

Statistical Modeling of Fishing Activities in the North Atlantic

Fernandez, Carmen; Ley, Eduardo; Steel, Mark F.J. - EconWPA - 1997

This paper deals with the issue of modeling daily catches of fishing boats in the Grand Bank fishing grounds. We have data on catches per species for a number of vessels collected by the European Union in the context of the North Atlantic Fisheries Organization. Many variables can be thought to...

Persistent link: https://www.econbiz.de/10005119131

Estimating unobservable inflation expectations in the New Keynesian Phillips Curve

Rondina, Francesca - In: Econometrics 6 (2018) 1, pp. 1-20

This paper uses an econometric model and Bayesian estimation to reverse engineer the path of inflation expectations implied by the New Keynesian Phillips Curve and the data. The estimated expectations roughly track the patterns of a number of common measures of expected inflation available from...

Persistent link: https://www.econbiz.de/10011995207

Bias-Correction in Vector Autoregressive Models: A Simulation Study

Engsted, Tom; Pedersen, Thomas Q. - In: Econometrics 2 (2014) 1, pp. 45-71

compares very favorably to bootstrap bias-correction, both in terms of bias and mean squared error. In non-stationary models …

Persistent link: https://www.econbiz.de/10010752061

Testing for A Set of Linear Restrictions in VARMA Models Using Autoregressive Metric: An Application to Granger Causality Test

Iorio, Francesca Di; Triacca, Umberto - In: Econometrics 2 (2014) 4, pp. 203-216

In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by Piccolo in 1990. In particular, we show...

Persistent link: https://www.econbiz.de/10011105155

On Diagnostic Checking of Vector ARMA-GARCH Models with Gaussian and Student-t Innovations

Wang, Yongning; Tsay, Ruey S. - In: Econometrics 1 (2013) 1, pp. 1-31

model checking. A residual-based bootstrap method is provided and demonstrated as an effective way to approximate the …

Persistent link: https://www.econbiz.de/10010674374

Statistical inference on the Canadian middle class

Davidson, Russell - In: Econometrics 6 (2018) 1, pp. 1-18

normality. Bootstrap inference can be expected to be more reliable, and appropriate bootstrap procedures are proposed. As an … enough for asymptotic and bootstrap inference to be almost identical, but that, in the twenty-first century, the bootstrap …

Persistent link: https://www.econbiz.de/10011995215

Testing for a set of linear restrictions in VARMA models using autoregressive metric: An application to Granger causality test

DiIorio, Francesca; Triacca, Umberto - In: Econometrics 2 (2014) 4, pp. 203-216

In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by Piccolo in 1990. In particular, we show...

Persistent link: https://www.econbiz.de/10011755267

Asymptotic distribution and finite sample bias correction of QML estimators for spatial error dependence model

Liu, Shew Fan; Yang, Zhenlin - In: Econometrics 3 (2015) 2, pp. 376-411

In studying the asymptotic and finite sample properties of quasi-maximum likelihood (QML) estimators for the spatial linear regression models, much attention has been paid to the spatial lag dependence (SLD) model; little has been given to its companion, the spatial error dependence (SED) model....

Persistent link: https://www.econbiz.de/10011755286

On bootstrap inference for quantile regression panel data: A Monte Carlo study

Galvão Júnior, Antônio Fialho; Montes-Rojas, Gabriel - In: Econometrics 3 (2015) 3, pp. 654-666

This paper evaluates bootstrap inference methods for quantile regression panel data models. We propose to construct … confidence intervals for the parameters of interest using percentile bootstrap with pairwise resampling. We study three different … bootstrapping procedures. First, the bootstrap samples are constructed by resampling only from cross-sectional units with …

Persistent link: https://www.econbiz.de/10011755298