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The Bias of the Gini Coefficient due to Grouping

Ourti, Tom Van; Clarke, Philip - 2008

We propose a first order bias correction term for the Gini index to reduce the bias due to grouping. The first order … reveals an intuitive formula for the remaining second order bias which is useful in empirical analyses. We analyze the … it reduces a considerable share of the bias due to grouping. …

Persistent link: https://www.econbiz.de/10010325812

The Bias of the Gini Coefficient Due to Grouping : Revisiting First-Order Corrections

Van Ourti, Tom - 2008

Persistent link: https://www.econbiz.de/10012722922

Measurement Error in Education and Growth Regressions

Portela, Miguel; Alessie, Rob; Teulings, Coen N. - 2004

the measurement error. The standard attenuation bias suggests that using these corrected data would lead to a higher …

Persistent link: https://www.econbiz.de/10010325186

Bayesian Analysis of ARMA Models using Noninformative Priors

Kleibergen, Frank; Hoek, Henk - 1997

Parameters in AutoRegressive Moving Average (ARMA) models are locally nonidentified, due to the problem of root cancellation. Parameters can be constructed which represent this identification problem. We argue that ARMA parameters should be analyzed conditional on these identifying...

Persistent link: https://www.econbiz.de/10010324701

Value-at-Risk and Extreme Returns

Daníelsson, Jón; de Vries, Casper G. - 1998

Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...

Persistent link: https://www.econbiz.de/10010324710

Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach

Koop, Gary; van Dijk, Herman K. - 1999

In this paper, we make use of state space models toinvestigate the presence of stochastic trends in economic time series. Amodel is specified where such a trend can enter either in the autoregressiverepresentation or in a separate state equation. Tests based on the formerare analogous to...

Persistent link: https://www.econbiz.de/10010324712

Block Local to Unity and Continuous Record Asymptotics

Boswijk, H. Peter - 2001

This paper provides a continuous record interpretation of the block local to unity asymptotics proposed recentlyby Phillips, Moon and Xiao (2001). It also demonstrates that in the case of homogeneous dynamics and a fixednumber of blocks, the new asymptotic approximation coincides with the...

Persistent link: https://www.econbiz.de/10010324829

Detecting Serial Dependence in Tail Events

Diks, Cees - 2002

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Persistent link: https://www.econbiz.de/10010324850

Tests for Serial Independence and Linearity based on Correlation Integrals

Diks, Cees; Manzan, Sebastiano - 2001

We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare based on the conditional mutual information, a general measure of dependence between lagged variables. In caseof rejecting the null hypothesis, this readily provides insights into...

Persistent link: https://www.econbiz.de/10010324976

Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series

Koopman, Siem Jan; Bos, Charles S. - 2002

The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...

Persistent link: https://www.econbiz.de/10010324992