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Bonhomme, Stéphane; Lamadon, Thibaut; Manresa, Elena - 2017

classified into groups in a first step using kmeans clustering, and the model is estimated in a second step allowing for group …

Persistent link: https://www.econbiz.de/10012039274

Streamlining time-varying VAR with a factor structure in the parameters

Beyeler, Simon - 2019

I introduce a factor structure on the parameters of a Bayesian TVP-VAR to reduce the dimension of the model's state space. To further limit the scope of over-fitting the estimation of the factor loadings uses a new generation of shrinkage priors. A Monte Carlo study illustrates the ability of...

Persistent link: https://www.econbiz.de/10012271928

Modelos de puntuación crediticia: La falta de información y el uso de datos de una central de riesgos

Balzarotti, Verónica; Castelpoggi, Fernando - 2008

The main purpose of this paper is to study the problem created by the lack of information about the credit history of some debtors in the databases used to develop credit scoring models and the use of information about behavior compiled by a credit risk register as a potential solution to the...

Persistent link: https://www.econbiz.de/10010325097

Proxying ability by family background in returns to schooling estimations is generally a bad idea

Mellander, Erik; Sandgren-Massih, Sofia - 2008

A regression model is considered where earnings are explained by schooling and ability. It is assumed that schooling is measured with error and that there are no data on ability. Regressing earnings on observed schooling then yields an estimate of the return to schooling that is subject to...

Persistent link: https://www.econbiz.de/10010273950

A discrete choice model of dividend reinvestment plans: Classification and prediction

Boehm, Thomas P.; DeGennaro, Ramon P. - 2007

We study 852 companies with dividend reinvestment plans in 1999 matched by total assets to 852 companies without such plans. We use discrete choice methods to predict the classification of these companies. We interpret the misclassified companies as being likely to switch their plan status. That...

Persistent link: https://www.econbiz.de/10010292321

Price Clustering in the FX Market: A Disaggregate Analysis using Central Bank Interventions

Fischer, Andreas - 2004

Price clustering is a well-documented regularity of foreign exchange transactions. In this paper, I present new … empirical evidence of price clustering for central bank interventions. A feature of the price clustering in Swiss National Bank … (SNB) transactions is market dependency. Evidence of clustering in the broker market is considerably smaller than in the …

Persistent link: https://www.econbiz.de/10011430050

Investigating asymmetries in the bank lending channel. An analysis using Austrian banks' balance sheet data

Fruehwirth-Schnatter, Sylvia; Kaufmann, Sylvia - 2003

In the present paper we use a balanced bank panel data set to obtain an inference on two dimensions of the asymmetric response of bank lending to interest rate changes. The cross-sectional dimension is captured by group-specific parameters whereby each bank's group membership is estimated along...

Persistent link: https://www.econbiz.de/10013370002

Is economics a house divided? Analysis of citation networks

Önder, Ali Sina; Terviö, Marko - 2013

We investigate divisions within the citation network in economics using citation data between 1990 and 2010. We consider all partitions of top institutions into two equal-sized clusters, and pick the one that minimizes cross-cluster citations. The strongest division is much stronger than could...

Persistent link: https://www.econbiz.de/10010321412

Evaluating Ensemble Density Combination - Forecasting GDP and Inflation

Gerdrup, Karsten R.; Jore, Anne Sofie; Smith, Christie; … - 2009

Forecast combination has become popular in central banks as a means to improve forecasts and to alleviate the risk of selecting poor models. However, if a model suite is populated with many similar models, then the weight attached to other independent models may be lower than warranted by their...

Persistent link: https://www.econbiz.de/10012143724

The Role of Education and Income Inequality on Environmental Quality. A Panel Data Analysis of the EKC Hypothesis on OECD

Maranzano, Paolo; Bento, Joao Paulo Cerdeira; Manera, Matteo - 2021

evolution of income inequality and clustering techniques to feature the annual value of the Gini Index on disposable income from …

Persistent link: https://www.econbiz.de/10012501726