Showing 1 - 10 of 110
Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time...
Persistent link: https://www.econbiz.de/10012904559
This paper investigates the use of regularization priors in the context of treatment effect estimation using observational data where the number of control variables is large relative to the number of observations. First, the phenomenon of “regularization-induced confounding” is introduced,...
Persistent link: https://www.econbiz.de/10012936513
Persistent link: https://www.econbiz.de/10014293020
The results of analyzing experimental data using a parametric approach may heavily depend on the chosen model. With this paper we describe computational tools in Splus for a simultaneous selection of parametric regression and variance models from a relatively rich model class and of Box-Cox...
Persistent link: https://www.econbiz.de/10014052352
This article describes qregsel, a Stata module to implement a copula-based sample selection correction for quantile regression recently proposed by Arellano and Bonhomme (2017, Econometrica 85(1): 1-28). The command allows the user to model selection in quantile regressions using either a...
Persistent link: https://www.econbiz.de/10013238290
Stock economic time series, such as end-of-month inventories, arise as the cumulative sum of monthly inflows and outflows over time, i.e., as accumulations of monthly net flows. In this article, we derive holiday regressors for stock series from cumulative sums of flow-series holiday regressors....
Persistent link: https://www.econbiz.de/10013088985
This article introduces lassopack, a suite of programs for regularized regression in Stata. lassopack implements lasso, square-root lasso, elastic net, ridge regression, adaptive lasso and post-estimation OLS. The methods are suitable for the high-dimensional setting where the number of...
Persistent link: https://www.econbiz.de/10012894061
Covariates in regressions may be linked to each other on a network. Knowledge of the network structure can be incorporated into regularized regression settings via a network penalty term. However, when it is unknown whether the connection signs in the network are positive (connected covariates...
Persistent link: https://www.econbiz.de/10014357781
We demonstrate that regression models can be estimated by working independently in a row-wise fashion. We document a simple procedure which allows for a wide class of econometric estimators to be implemented cumulatively, where, in the limit, estimators can be produced without ever storing more...
Persistent link: https://www.econbiz.de/10014437200
This paper addresses the public and regulatory discussions on whether firms use derivatives to reduce or increase risk. The investigation is carried out to see whether firms hedge or speculate with derivatives by using a regression quantitative analysis of a sample of 433 firm quarters of 31...
Persistent link: https://www.econbiz.de/10013160128