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Identification and estimation of causal effects of multiple treatments under the conditional independence assumption
Lechner, Michael - 1999
the approach retains its basic simplicity. The paper also outlines a matching estimator potentially suitable in that …
Persistent link: https://www.econbiz.de/10011317474
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Conditional systemic risk with penalized copula
Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015
Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...
Persistent link: https://www.econbiz.de/10011309638
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Forecast combination under heavy-tailed errors
Cheng, Gang; Wang, Sicong; Yang, Yuhong - In: Econometrics : open access journal 3 (2015) 4, pp. 797-824
Forecast combination has been proven to be a very important technique to obtain accurate predictions for various applications in economics, finance, marketing and many other areas. In many applications, forecast errors exhibit heavy-tailed behaviors for various reasons. Unfortunately, to our...
Persistent link: https://www.econbiz.de/10011411497
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Non-Parametric Tests for Firm Efficiency in Case of Errors-in-Variables
Kuosmanen, Timo; Post, Thierry - 2009
This paper develops a novel statistic for firm efficiency called efficiency depth that allows for statistical inference in case of errors-in-variables. We derive statistical tests that require minimal statistical assumptions; neither the sample distribution nor the noise level is required. An...
Persistent link: https://www.econbiz.de/10014031522
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Statistical matching using propensity scores : theory and application to the Levy Institute measure of economic well-being
Kum, Hyunsub (contributor); Masterson, Thomas (contributor) - 2008
This paper summarizes the background, type, logic, and working procedure of the statistical matching used in the Levy … Demographic Survey of the Current Population Survey data sets to demonstrate the procedure and results of the matching. Challenges … Matching ; Survey of Consumer Finances ; Annual Demographic Supplement ; Distribution of Income and Wealth …
Persistent link: https://www.econbiz.de/10003727292
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Identification and Estimation of Causal Effects of Multiple Treatments Under the Conditional Independence Assumption
Lechner, Michael - 1999
approach retains its basic simplicity. The paper also outlines a matching estimator potentially suitable in that framework …
Persistent link: https://www.econbiz.de/10014185533
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Adaptive Intelligent Behavior and Causal Entropy Maximization as a Basis for Microeconomic Information Recovery
Judge, George - 2014
In this paper we emphasize the connection between adaptive intelligent behavior, causal entropy maximization and self-organized equilibrium seeking behavior in an open dynamic micro economic systems. This entropy based causal adaptive behavior framework permits the use of information theoretic...
Persistent link: https://www.econbiz.de/10014144114
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Identification and estimation of causal effects of multiple treatments under the conditional independence assumption
Lechner, Michael - 1999
the approach retains its basic simplicity. The paper also outlines a matching estimator potentially suitable in that …
Persistent link: https://www.econbiz.de/10001452880
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The microeconometric estimation of treatment effects : an overview
Caliendo, Marco (contributor); Hujer, Reinhard (contributor) - 2005
evaluation. -- evaluation ; effect heterogeneity ; matching ; dynamic treatments …
Persistent link: https://www.econbiz.de/10003094328
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The Microeconometric Estimation of Treatment Effects - an Overview
Caliendo, Marco; Hujer, Reinhard - 2021
The need to evaluate the performance of active labour market policies is not questioned any longer. Even though OECD countries spend significant shares of national resources on these measures, unemployment rates remain high or even increase. We focus on microeconometric evaluation which has to...
Persistent link: https://www.econbiz.de/10013318415