Showing 1 - 10 of 281
The paper develops a general Bayesian framework for robust linear static panel data models using epsilon …. We illustrate the performance of our estimator relative to classic panel estimators using data on earnings and crime. …
Persistent link: https://www.econbiz.de/10011113489
Extreme Value Theory is increasingly used in the modelling of financial time series. The non-normality of stock returns leads to the search for alternative distributions that allows skewness and leptokurtic behavior. One of the most used distributions is the Pareto Distribution because it allows...
Persistent link: https://www.econbiz.de/10013109505
When estimating regional inequality, many economists use inequality indices weighted by the regions' shares in the national population. Although this approach is widespread, its adequacy has not received attention in the regional science literature. This paper proves that such approach is...
Persistent link: https://www.econbiz.de/10012943787
Efficient GMM estimation of the semi-strong GARCH(1,1) model requires simultaneous estimation of the conditional third and fourth moments. This paper proposes a simple alternative to efficient GMM based upon the unconditional skewness of residuals and the autocovariances of squared residuals. An...
Persistent link: https://www.econbiz.de/10008543477
`sampling' by second-stage firms, we find that the lower the cost of sampling, or the larger the differential between high and …
Persistent link: https://www.econbiz.de/10005619722
Applied econometricians tend to show a long neglect for the proper frequency to be considered while sampling the time …
Persistent link: https://www.econbiz.de/10008835363
Using Bayesian maximum likelihood and data for Portugal, I estimate a New Keynesian DSGE model allowing for the presence of non-Ricardian households and test the stability of the model's prediction when the fraction of liquidity-constrained households changes. In particular, I assess the impacts...
Persistent link: https://www.econbiz.de/10011111995
This paper addresses the estimation of the nonparametric conditional moment restricted model that involves an infinite-dimensional parameter g0. We estimate it in a quasi-Bayesian way, based on the limited information likelihood, and investigate the impact of three types of priors on the...
Persistent link: https://www.econbiz.de/10011113752
Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag (ADL) model is chosen. The results show that a...
Persistent link: https://www.econbiz.de/10005103392
used in importance sampling for model estimation, model selection and model combination. The procedure is fully automatic …
Persistent link: https://www.econbiz.de/10008498470