Showing 1 - 10 of 160
In this paper, the authors provide some asymptotic results for the J-type test on non-nested hypotheses proposed by Davidson and MacKinnon (1981), in the context of I(1) time series.
Persistent link: https://www.econbiz.de/10005478685
Brief summaries and user instruction are presented for the programs TRAMO ("Time Series regression with ARIMA Noise, Missing Observations and Outlers") and SEATS ("Signal Extraction in ARIMA Time Series").
Persistent link: https://www.econbiz.de/10005590679
This paper is concerned with the empirical investigation of models of the US short term interest rate, using a mixture of classical non-parametric methods and of Bayesian parametric methods. The shape of the drift and volatility functions of the usual di usion equation are rst investigated using...
Persistent link: https://www.econbiz.de/10005634036
Brief summeries and user instruction are presented for the programs TRAMO ("Time Series regression with ARIMA Noise, Missing Observations and Outlers") and SEATS ("Signal Extraction in ARIMA Time Series").
Persistent link: https://www.econbiz.de/10005618389
We consider truncated processes, both in discrete and continuous time, and study their dynamic properties. When the underlying process is a diffusion process, we derive the infinitesimal generator of its truncated counterpart. This result is the basis for the estimation of the drift and...
Persistent link: https://www.econbiz.de/10005671518
We propose a nonparametric estimation technique of the coefficients of an univariate diffusion process. The estimation is done with a process observed at random times, corresponding to the crossing times of discrete levels. We first estimate the scale function of the process, which allows to...
Persistent link: https://www.econbiz.de/10005486782
Household surveys are often plagued by item non-response on economic variables of interest like income, savings or the amount of wealth. Manski (1989, 1994, 1995) shows how, in the presence of such non-response, bounds on conditional quantiles of the variable of interest can be derived, allowing...
Persistent link: https://www.econbiz.de/10005660518
This paper analyzes the quality of life over time in the U.S. In this paper we propose a statistical cluster analysis method based on an informationbased measure. This method is then employed to cluster diverse attributes of the quality of life. Aggregate annual measures of welfare are computed...
Persistent link: https://www.econbiz.de/10005574898
In this paper, a very general model of survival data with (exclusive or inclusive) right censoring, explanatory processes and a baseline predictable hazard function is considered in the ocntezt of nonparametric Bayasian analysis. particular cases are semiparametric proportional hazards and...
Persistent link: https://www.econbiz.de/10005776105
This paper finds that the predicted unemployment rate in a community increases dramatically when the fraction of neighborhood residents with college degreed drops below twenty percent. This threshold behavior provides empirical support for "epidemic" theories of inner-city unemployment.
Persistent link: https://www.econbiz.de/10005776806