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Iassopack : Model Selection and Prediction with Regularized Regression in Stata
Ahrens, Achim - 2019
, square-root lasso, elastic net, ridge regression, adaptive lasso and post-estimation OLS. The methods are suitable for the …
Persistent link: https://www.econbiz.de/10012894061
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Exponent of Cross-Sectional Dependence : Estimation and Inference
Bailey, Natalia - 2012
An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10013110862
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Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution
Pesaran, Bahram; Pesaran, M. Hashem - 2021
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …
Persistent link: https://www.econbiz.de/10013316934
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Measuring the Shadow Economy : Endogenous Switching Regression with Unobserved Separation
Lichard, Tomas - 2012
separation enables the estimation of consumption-income gaps for both underreporting and truthful households. This avoids the …
Persistent link: https://www.econbiz.de/10013099400
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The Sources of Wage Variation : A Three-Way High-Dimensional Fixed Effects Regression Model
Torres, Sónia Manuela - 2013
This paper estimates a wage equation with three high-dimensional fixed effects, using a longitudinal matched employer-employee dataset covering virtually all Portuguese wage earners over a little more than two decades. The variation in log real hourly wages is decomposed into different...
Persistent link: https://www.econbiz.de/10013084670
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Overeducation Wage Penalty Among Ph.D. Holders : An Unconditional Quantile Regression Analysis on Italian Data
Gaeta, Giuseppe Lucio - 2018
The wage effect of job-education vertical mismatch (i.e. overeducation) has only recently been investigated in the case of Ph.D. holders. The existing contributions rely on OLS estimates that allow measuring the average effect of being mismatched at the mean of the conditional wages...
Persistent link: https://www.econbiz.de/10012926726
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How Much Can We Trust Causal Interpretations of Fixed-Effects Estimators in the Context of Criminality?
Bjerk, David - 2009
Researchers are often interested in estimating the causal effect of some treatment on individual criminality. For example, two recent relatively prominent papers have attempted to estimate the respective direct effects of marriage and gang participation on individual criminal activity. One...
Persistent link: https://www.econbiz.de/10013155604
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Regression Discontinuity Design with Continuous Measurement Error in the Running Variable
Davezies, Laurent - 2017
Since the late 90s, Regression Discontinuity (RD) designs have been widely used to estimate Local Average Treatment Effects (LATE). When the running variable is observed with continuous measurement error, identification fails. Assuming non-differential measurement error, we propose a consistent...
Persistent link: https://www.econbiz.de/10012955015
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An Alternative Estimator for Industrial Gender Wage Gaps : A Normalized Regression Approach
Yun, Myeong-Su - 2015
Using normalized regression equations, we propose an alternative estimator of industrial gender wage gaps which is identified in the sense that it is invariant to the choice of an unobserved non-discriminatory wage structure, and to the choice of the reference groups of any categorical...
Persistent link: https://www.econbiz.de/10013014021
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A Permutation Test and Estimation Alternatives for the Regression Kink Design
Ganong, Peter - 2014
The Regression Kink (RK) design is an increasingly popular empirical method, with more than 20 studies circulated using RK in the last 5 years since the initial circulation of Card, Lee, Pei and Weber (2012). We document empirically that these estimates, which typically use local linear...
Persistent link: https://www.econbiz.de/10013051441