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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808264
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DSGE priors for BVAR models
Filippeli, Thomai; Theodoridis, Konstantinos - 2014
comparable - if not better - to the one obtained using theory free "Minnesota" priors (Doan et al., 1984). Additionally, the … marginal-likelihood of the time-series model with theory founded priors - derived from the output of the Gibbs sampler - can be …
Persistent link: https://www.econbiz.de/10010339762
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Consistent testing for structural change at the ends of the sample
McCracken, Michael W. - 2012
Persistent link: https://www.econbiz.de/10009615733
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Partial identification of population average and quantile treatment effects in observational data under sample selection
Christelis, Dimitris; Messina, Julián - 2019
This paper partially identifies population treatment effects in observational data under sample selection, without the benefit of random treatment assignment. Bounds are provided for both average and quantile population treatment effects, combining assumptions for the selected and the...
Persistent link: https://www.econbiz.de/10011992007
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Gender differences in double burden of malnutrition in india: quantile regression estimates
Agnihotri, Archana; Viswanathan, Brinda - 2021
Persistent link: https://www.econbiz.de/10013541510
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Asymmetry and long memory in volatility modelling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008695596
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A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2015
This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the multiple testing (MT) literature. The approach tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
Persistent link: https://www.econbiz.de/10011405221
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Uncovering regimes in out of sample forecast errors from predictive regressions
Silva Neto, Aníbal Emiliano da; Gonzalo, Jesús; … - 2020
Persistent link: https://www.econbiz.de/10012501495
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Out of sample predictability in predictive regressions with many predictor candidates
Gonzalo, Jesús; Pitarakis, Jean-Yves - 2020
Persistent link: https://www.econbiz.de/10012501524
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Investment strategy and selection bias : an equilibrium perspective on overoptimism
Jehiel, Philippe - 2017
Persistent link: https://www.econbiz.de/10011695504