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GRID for model structure discovering in high dimensional regression

Giordano, Francesco; Lahiri, Soumendra Nath; Parrella, … - Dipartimento di Scienze Economiche e Statistiche … - 2014

Given a nonparametric regression model, we assume that the number of covariates $d\rightarrow\infty$ but only some of these covariates are relevant for the model. Our goal is to identify the relevant covariates and to obtain some information about the structure of the model. We propose a new...

Persistent link: https://www.econbiz.de/10010894331

Analysis of Gini for evaluating attrition in Italian survey on income and living condition

Ceccarelli, Claudio; Giorgi, Giovanni Maria - In: RIEDS - Rivista Italiana di Economia, Demografia e … LXIII (2009) 1-2, pp. 49-69

The Italian National Institute of Statistics (Istat) has set up a survey on income and living conditions (It-Silc), mainly composed of a cross-sectional and a longitudinal component.This paper aims at proving, by a decomposition of Gini concentration index, also known as Analysis of Gini...

Persistent link: https://www.econbiz.de/10010786583

Adaptive Markov chain Monte Carlo sampling and estimation in Mata

Baker, Matthew J. - Department of Economics, Hunter College - 2013

I describe algorithms for drawing from distributions using adaptive Markov chain Monte Carlo (MCMC) methods, introduce a Mata function for per- forming adaptive MCMC, amcmc(), and a suite of functions amcmc_*() allowing an implementation of adaptive MCMC using a structure. To ease use in...

Persistent link: https://www.econbiz.de/10010839261

Estimating Stable Factor Models By Indirect Inference

Calzolari, Giorgio; Halbleib, Roxana - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2014

Financial returns exhibit common behavior described at best by factor models, but also fat tails, which may be captured by α-stable distributions. This paper concentrates on estimating factor models with multivariate α-stable distributed and independent factors and idiosyncratic noises under...

Persistent link: https://www.econbiz.de/10011150337

Improving quarterly index of turnover by means of a calibration estimator

Bacchini, Fabio; Ceccarelli, Claudio; Chianella, Diego; … - In: RIEDS - Rivista Italiana di Economia, Demografia e … LXVIII (2014) 1, pp. 15-22

The sampling design strategies used for estimation of economic indicators in short-term statistics domain are heterogeneous depending on the characteristic the variable to be estimated and timeliness required for the indices. On the occasion of change of the base year for the turnover indices...

Persistent link: https://www.econbiz.de/10010752872

Estimation of Regression Disturbances Based on Minimum Message Length.

Laskar, M.R.; King, M.L. - Department of Econometrics and Business Statistics, … - 1996

This paper derives six different forms of message length functions for general linear regression model. In so doing, two different prior densities and the idea of parameter orthogonality are employed.

Persistent link: https://www.econbiz.de/10005087586

The Robustness of Estimators for Dynamic Panel Data Models to Misspecification.

Harris, M.N.; Longmire, R.J.; Matyas, L. - Department of Econometrics and Business Statistics, … - 1996

It is well known that the usual techniques for estimating random and fixed effects panel data models are inconsistent in the dynamic setting. As a consequence, numerous consistent estimators have been proposed in the literature. However, all such estimators rely on certain well defined...

Persistent link: https://www.econbiz.de/10005087599

Confidence sets based on penalized maximum likelihood estimators

Pötscher, Benedikt M.; Schneider, Ulrike - Volkswirtschaftliche Fakultät, … - 2008

LASSO, adaptive LASSO, and hard-thresholding are analyzed. It is shown that symmetric intervals are the shortest. The length … based on the adaptive LASSO, which is larger than the length of the shortest interval based on the LASSO, which in turn is …

Persistent link: https://www.econbiz.de/10005026624

Estimating an Ethical Index of Human Wellbeing

Choudhury, Masudul Alam; Hossain, Mohammad Zakir; … - In: Journal of Developing Areas 45 (2011) Single, pp. 375-409

A theory of strongly endogenous interactive relationship in participatory development is expounded through the use of a … referred to as circular causation approach and resembles the social causation theory propounded by Gunnar Myrdal. The paper … theory of economic growth principally are critically examined. …

Persistent link: https://www.econbiz.de/10011096514

Estimating an Ethical Index of Human Wellbeing

Choudhury, Masudul Alam; Hossain, Mohammad Zakir; … - In: Journal of Developing Areas 45 (2011) 1, pp. 375-409

Persistent link: https://www.econbiz.de/10011097037