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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …
Persistent link: https://www.econbiz.de/10010276254
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Modelling heterogeneity and dynamics in the volatility of individual wages
Hospido, Laura - 2010
proposed. The expression for a modified likelihood function is obtained for estimation and inference in a fixed-T context …. Using a bias-corrected likelihood approach makes it possible to reduce the estimation bias to a term of order 1/T². The …
Persistent link: https://www.econbiz.de/10010269628
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Testing for Asymmetry in British, German and US Unemployment Data
Kohns, Stephan - 2001
asymmetries and compare the testing procedures. The results indicate that unemployment increases more quickly than it decreases …
Persistent link: https://www.econbiz.de/10010262548
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Aggregation in large dynamic panels
Pesaran, Mohammad Hashem; Chudik, Alexander - 2011
Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …
Persistent link: https://www.econbiz.de/10010285520
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Causal effects of monetary shocks: semiparametric conditional independence tests with a multinomial propensity score
Angrist, Joshua D.; Kuersteiner, Guido M. - 2008
dependent data and allowing for first-step estimation of the propensity score. …
Persistent link: https://www.econbiz.de/10010270625
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Real wages and the business cycles in Germany
Marczak, Martyna; Beissinger, Thomas - 2010
This paper establishes stylized facts about the cyclicality of real consumer wages and real producer wages in Germany. As detrending methods we apply the deterministic trend model, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter, the Baxter-King filter and the structural time...
Persistent link: https://www.econbiz.de/10010274586
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Misspecification testing in a class of conditional distributional models
Rothe, Christoph; Wied, Dominik - 2012
We propose a specification test for a wide range of parametric models for the conditional distribution function of an outcome variable given a vector of covariates. The test is based on the Cramer-von Mises distance between an unrestricted estimate of the joint distribution function of the data,...
Persistent link: https://www.econbiz.de/10010282420
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Innocent bystanders? Monetary policy and inequality in the US
Coibion, Olivier; Gorodnichenko, Yuriy; Kueng, Lorenz; … - 2012
We study the effects and historical contribution of monetary policy shocks to consumption and income inequality in the United States since 1980. Contractionary monetary policy actions systematically increase inequality in labor earnings, total income, consumption and total expenditures....
Persistent link: https://www.econbiz.de/10010287628
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Exponent of cross-sectional dependence: Estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, Hashem - 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/10010282124
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Assessing forecast uncertainties in a VECX model for Switzerland: an exercise in forecast combination across models and observation windows
Assenmacher-Wesche, Katrin; Pesaran, Mohammad Hashem - 2007
averaging over forecasts from different models. Second, we look at different estimation windows. We find that averaging over … estimation windows is at least as effective as averaging over different models and both complement each other. Third, we explore …
Persistent link: https://www.econbiz.de/10010276259