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The estimation uncertainty of permanent-transitory decompositions in cointegrated systems
Schreiber, Sven - 2011 - this version: February 2011
The topic of this paper is the estimation uncertainty of the Stock-Watsonand Gonzalo-Granger permanent-transitory decompositions in the frameworkof the cointegrated vector-autoregression. Specifically, we suggest an approach to construct the confidence interval of the transitory component in...
Persistent link: https://www.econbiz.de/10009530402
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Trade potential revisited : a panel data analysis for Zimbabwe
Martínez-Galán, Enrique; Proença, Isabel; Fontoura, … - 2015
Persistent link: https://www.econbiz.de/10011549961
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The estimation uncertainty of permanent-transitory decompositions in co-integrated systems : conference paper
Schreiber, Sven - 2014 - This version: February 2014
The topic of this paper is the estimation uncertainty of the Stock-Watson and Gonzalo-Granger permanent-transitory decompositions in the framework of the co-integrated vector autoregression. We suggest an approach to construct the confidence interval of the transitory component estimate in a...
Persistent link: https://www.econbiz.de/10010489880
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Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius; Nagl, Maximilian; Fischer, Matthias; … - In: Journal of risk 22 (2019/2020) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10012297503
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The estimation uncertainty of permanent-transitory decompositions in co-integrated systems
Schreiber, Sven - In: Econometric reviews 38 (2019) 3, pp. 279-300
Persistent link: https://www.econbiz.de/10012181279
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The variances of non-parametric estimates of the cross-sectional distribution of durations
Tian, Maoshan; Dixon, Huw - In: Econometric reviews 41 (2022) 10, pp. 1243-1264
Persistent link: https://www.econbiz.de/10013490704
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World equity premium based risk aversion estimates
Pozzi, Lorenzo; Vries, Casper G. de; Zenhorst, J. - 2010
gauge the uncertainty pertaining to the country risk aversion estimates by means of jackknife resampling and pooling. The …
Persistent link: https://www.econbiz.de/10011379612
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Estimation and inference in predictive regressions
Kurozumi, Eiji; Aono, Kohei - In: Hitotsubashi journal of economics 54 (2013) 2, pp. 231-250
Persistent link: https://www.econbiz.de/10010343650
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Determining individual or time effects in panel data models
Lu, Xun; Su, Liangjun - In: Journal of econometrics 215 (2020) 1, pp. 60-83
Persistent link: https://www.econbiz.de/10012439155
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Public sector wage gaps over the long-run : evidence from panel administrative data
Bargain, Olivier; Etienne, Audrey; Melly, Blaise - 2018
-specific fixed effects and a jackknife correction for the potential incidental parameter bias. We find that the public wage gap is …
Persistent link: https://www.econbiz.de/10011946846