Similar Search Results

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by … 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 …

Persistent link: https://www.econbiz.de/10010276254

Efficient probit estimation with partially missing covariates

Conniffe, Denis; O'Neill, Donal - 2009

A common approach to dealing with missing data is to estimate the model on the common subset of data, by necessity throwing away potentially useful data. We derive a new probit type estimator for models with missing covariate data where the dependent variable is binary. For the benchmark case of...

Persistent link: https://www.econbiz.de/10010269313

Testing the correlated random coefficient model

Heckman, James Joseph; Schmierer, Daniel; Urzúa, Sergio - 2009

The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...

Persistent link: https://www.econbiz.de/10010276910

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

Compulsory schooling reforms, education and mortality in twentieth century Europe

Gathmann, Christina; Jürges, Hendrik; Reinhold, Steffen - 2012

mortality reductions. Using data from 19 compulsory schooling reforms implemented in Europe during the twentieth century, we …

Persistent link: https://www.econbiz.de/10010282359

Real Wages and the Cycle: The View from the Frequency Domain

Hart, Robert A.; Malley, James R.; Woitek, Ulrich - 2001

In the time domain, the observed cyclical behavior of the real wage hides a range of economic influences that give rise to cycles of differing lengths and amplitudes. This may serve to produce a distorted picture of wage cyclicality. Here, we employ frequency domain methods that allow us...

Persistent link: https://www.econbiz.de/10010262530

The Covariance Structure of East and West German Incomes and its Implications for the Persistence of Poverty and Inequality

Biewen, Martin - 2002

Using data from the German Socio-Economic Panel (GSOEP), this paper analyzes the dynamics of equivalent income in Germany in the eighties and nineties. Special emphasis is given to the separation of permanent and transitory components, the persistence of transitory shocks and their implications...

Persistent link: https://www.econbiz.de/10010262791

Intergenerational earnings mobility in Japan among sons and daughters: Levels and trends

Lefranc, Arnaud; Ojima, Fumiaki; Yoshida, Takashi - 2012

has been roughly stable over the last decades. Lastly, we estimate the intergenerational correlation of earnings. …

Persistent link: https://www.econbiz.de/10010291383

Identification and Estimation of Causal Effects of Multiple Treatments Under the Conditional Independence Assumption

Lechner, Michael - 1999

of various causal effects. Therefore, a comparable reduction of the dimension of the estimation problem is achieved and …

Persistent link: https://www.econbiz.de/10010262311

Identification of the covariance structure of earnings using the GMM estimator

Doris, Aedín; O'Neill, Donal; Sweetman, Olive - 2010

In this paper we study the performance of the GMM estimator in the context of the covariance structure of earnings. Using analytical and Monte Carlo techniques we examine the sensitivity of parameter identification to key features such as panel length, sample size, the degree of persistence of...

Persistent link: https://www.econbiz.de/10010269863

1
2
3
4
5
6
7
8
9
10
Next
Last