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A Statistical Model of Inequality
Fernholz, Ricardo T. - 2016
about the current trajectory of inequality as well as estimates of the distributional effects of progressive capital taxes … just 1% of households substantially reshapes the distribution of wealth and reduces inequality …
Persistent link: https://www.econbiz.de/10012998459
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A nondegenerate Vuong test and post selection confidence intervals for semi/nonparametric models
Liao, Zhipeng; Shi, Xiaoxia - In: Quantitative economics : QE ; journal of the … 11 (2020) 3, pp. 983-1017
This paper proposes a new model selection test for the statistical comparison of semi/non-parametric models based on a general quasi-likelihood ratio criterion. An important feature of the new test is its uniformly exact asymptotic size in the overlapping nonnested case, as well as in the easier...
Persistent link: https://www.econbiz.de/10012315790
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A User's Guide to Inference in Models Defined by Moment Inequalities
Canay, Ivan A.; Illanes, Gastón; Velez, Amilcar - National Bureau of Economic Research - 2023
inference in moment inequality models is large and complex, including multiple survey papers that document the non … to help applied researchers navigate all the decisions required to frame a model as a moment inequality model and then to … decision model, (b) moving from the decision model to a moment inequality model, (c) choosing a test statistic and critical …
Persistent link: https://www.econbiz.de/10014247961
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A User’s Guide for Inference in Models Defined by Moment Inequalities
Canay, Ivan A; Illanes, Gaston; Velez, Amilcar - 2023
inference in moment inequality models is large and complex, including multiple survey papers that document the non … to help applied researchers navigate all the decisions required to frame a model as a moment inequality model and then to … decision model, (b) moving from the decision model to a moment inequality model, (c) choosing a test statistic and critical …
Persistent link: https://www.econbiz.de/10014255405
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Least squares model averaging by prediction criterion
Xie, Tian - 2012
This paper proposes a new estimator for least squares model averaging. A model average estimator is a weighted average of common estimates obtained from a set of models. We propose computing weights by minimizing a model average prediction criterion (MAPC). We prove that the MAPC estimator is...
Persistent link: https://www.econbiz.de/10009668445
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Modeling House Prices using Multilevel Structured Additive Regression
Brunauer, Wolfgang; Lang, Stefan; Umlauf, Nikolaus - 2010
This paper analyzes house price data belonging to three hierarchical levels of spatial units. House selling prices with associated individual attributes (the elementary level-1) are grouped within municipalities (level-2), which form districts (level-3), which are themselves nested in counties...
Persistent link: https://www.econbiz.de/10010294764
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Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models
Conrad, Christian; Mammen, Enno - 2008
We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...
Persistent link: https://www.econbiz.de/10011422182
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Variable Selection and Functional Form Uncertainty in Cross-Country Growth Regressions
Salimans, Tim - 2011
Regression analyses of cross-country economic growth data are complicated by two main forms of model uncertainty: the uncertainty in selecting explanatory variables and the uncertainty in specifying the functional form of the regression function. Most discussions in the literature address these...
Persistent link: https://www.econbiz.de/10010325783
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Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees; Panchenko, Valentyn; van Dijk, Dick - 2008
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10010325942
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Measuring comovements by regression quantiles
Cappiello, Lorenzo; Gérard, Bruno; Manganelli, Simone - 2005
This paper develops a rigorous econometric framework to investigate the structure of codependence between random variables and to test whether it changes over time. Our approach is based on the computation - over both a test and a benchmark period - of the conditional probability that a random...
Persistent link: https://www.econbiz.de/10011604547