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Multivariate methods for monitoring structural change

Groen, Jan J. J.; Kapetanios, George; Price, Simon - 2010

and average CUSUM detection tests. Monte Carlo experiments suggest that these both provide an improvement in detection …

Persistent link: https://www.econbiz.de/10010286276

Prospect Theory and Higher Moments

Ågren, Martin - 2006

The paper relates cumulative prospect theory to the moments of returns distributions, e.g. skewness and kurtosis … related to the skewness. However, the relation is negative when probability weighing is set aside. This shows that cumulative … prospect theory investors display a preference for skewness through the probability weighting function. Furthermore, the …

Persistent link: https://www.econbiz.de/10010321576

Testing for skewness in AR conditional volatility models for financial return series

Mantalos, Panagiotis; Karagrigoriou, Alex - 2012

In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size …

Persistent link: https://www.econbiz.de/10012654374

Identification using higher-order moments restrictions

Andrade, Philippe; Ferroni, Filippo; Melosi, Leonardo - 2023

We exploit inequality restrictions on higher-order moments of the distribution of structural shocks to sharpen their identification. We show that these constraints can be treated as necessary conditions and used to shrink the set of admissible rotations. We illustrate the usefulness of this...

Persistent link: https://www.econbiz.de/10014480420

Resistant outlier rules and the non-Gaussian case

Carling, Kenneth - 1998

The techniques of exploratory data analysis include a resistant rule, based on a linear combination of quartiles, for identification of outliers. This paper shows that the substitution of the quartiles with the median leads to a better performance in the non-Gaussian case. The improvement occurs...

Persistent link: https://www.econbiz.de/10010321056

Bootstrap Methods and Applications in Econometrics - A Brief Survey

Bergström, Pål - 1999

This paper provides a brief survey of the bootstrap and its use in econometrics. As an introduction, the paper gives a description of the basics of the method, with a special emphasis on boostrap testing. A fairly large amount of space is devoted to discuss why bootstrap tests provide...

Persistent link: https://www.econbiz.de/10010321776

Relevancia del ajuste estacional en el análisis de corto plazo: Efectos del calendario doméstico sobre la serie de billetes y monedas en Argentina

Burdisso, Tamara; Blanco, Emilio; Sardi, Mariano - 2010

The presence of seasonal fluctuations (regular behavior along the year related to weather or institutional factors) invalidates monthly (quarterly) comparisons. In turn, since inter-annual variations depend on the comparison basis being used, they could provide very little information to the...

Persistent link: https://www.econbiz.de/10010325094

Statistical matching using propensity scores: theory and application to the Levy Institute measure of economic well-being

Kum, Hyunsub; Masterson, Thomas - 2008

This paper summarizes the background, type, logic, and working procedure of the statistical matching used in the Levy Institute Measure of Economic Well-Being (LIMEW) project to combine the various data sets used to produce the synthetic data set with which the LIMEW is constructed. The authors...

Persistent link: https://www.econbiz.de/10010266457

Correlation and efficiency of propensity score-based estimators for average causal effects

Pingel, Ronnie; Waernbaum, Ingeborg - 2015

Propensity score based-estimators are commonly used to estimate causal effects in evaluation research. To reduce bias in observational studies researchers might be tempted to include many, perhaps correlated, covariates when estimating the propensity score model. Taking into account that the...

Persistent link: https://www.econbiz.de/10011440140

Quality of statistical match used in the estimation of the Levy Institute Measure of Time and Income Poverty (LIMTIP) for Italy 2008 and 2014 and preliminary results

Aloè, Erica - 2020

This paper assesses the quality of the statistical matching used in the LIMTIP estimates for Italy for 2008 and 2014. The match combines the 2008-9 and 2013-14 Italian Time Use Survey (IT-TUS) with the Italian data collected for the European Survey on Income and Living Conditions (IT-SILC) in...

Persistent link: https://www.econbiz.de/10012610195

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