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Modeling Area-Level Health Rankings
Courtemanche, Charles; Soneji, Samir; Tchernis, Rusty - 2013
We propose a Bayesian factor analysis model to rank the health of localities. Mortality and morbidity variables empirically contribute to the resulting rank, and population and spatial correlation are incorporated into a measure of uncertainty. We use county-level data from Texas and Wisconsin...
Persistent link: https://www.econbiz.de/10010328998
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A factor analysis approch to measuring European loan and bond market integration
Wagenvoort, Rien; Ebner, André; Morgese Borys, Magdalena - 2009
By using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are converging for the non-financial corporate sector across the euro area. Whilst we find evidence for complete bond market integration, the market for bank loans remains segmented,...
Persistent link: https://www.econbiz.de/10010427552
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Inference for rank-rank regressions
Chetverikov, Denis N.; Wilhelm, Daniel - 2023
Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility, for instance in regressions of a child's income rank on their parent's income rank. In this paper, we first point out that commonly used variance estimators such as the homoskedastic or robust...
Persistent link: https://www.econbiz.de/10014480485
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Robust estimation and inference in panels with interactive fixed effects
Armstrong, Timothy B.; Weidner, Martin; Zeleneev, Andrei - 2023
We consider estimation and inference for a regression coefficient in panels with interactive fixed effects (i.e., with … minimax linear estimation to form a debiased estimate using a nuclear norm bound on the error of an initial estimate of the … weak, with little cost to estimation error when factors are strong. …
Persistent link: https://www.econbiz.de/10014480692
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2009
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10010303679
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The dynamics of hourly electricity prices
Härdle, Wolfgang Karl; Trück, Stefan - 2010
The dynamics of hourly electricity prices in day-ahead markets is an important element of competitive power markets that were only established in the last decade. In electricity markets, the market microstructure does not allow for continuous trading, since operators require advance notice in...
Persistent link: https://www.econbiz.de/10010270725
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2009
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10010270816
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Dynamic semiparametric factor models in risk neutral density estimation
Giacomini, Enzo; Härdle, Wolfgang Karl; Krätschmer, Volker - 2008
Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...
Persistent link: https://www.econbiz.de/10010274146
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Yield curve modeling and forecasting using semiparametric factor dynamics
Härdle, Wolfgang Karl; Majer, Piotr - 2012
Using a Dynamic Semiparametric Factor Model (DSFM) we investigate the term structure of interest rates. The proposed methodology is applied to monthly interest rates for four southern European countries: Greece, Italy, Portugal and Spain from the introduction of the Euro to the recent European...
Persistent link: https://www.econbiz.de/10010318745
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Estimation of Generalized Entropy and Atkinson Inequality Indices from Complex Survey Data
Biewen, Martin; Jenkins, Stephen P. - 2003
Applying a method suggested by Woodruff (1971), we derive the sampling variances of Generalized Entropy and Atkinson inequality indices when estimated from complex survey data. It turns out that this method also greatly simplifies the calculations for the i.i.d. case when compared to previous...
Persistent link: https://www.econbiz.de/10010262721