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Generalized dynamic panel data models with random effects for cross-section and time

Mesters, G.; Koopman, Siem Jan - In: Journal of econometrics 180 (2014) 2, pp. 127-140

Persistent link: https://www.econbiz.de/10010433402

Two-stage nested simulation of tail risk measurement : a likelihood ratio approach

Dang, Ou; Feng, Mingbin; Hardy, Mary Rosalyn - In: Insurance / Mathematics & economics 108 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10013534507

Fitting a distribution to survey data for the half-life of deviations from PPP

Fisher, Mark - 2015

This note presents a nonparametric Bayesian approach to fitting a distribution to the survey data provided in Kilian and Zha (2002) regarding the prior for the half-life of deviations from purchasing power parity (PPP). A point mass at infinity is included. The unknown density is represented as...

Persistent link: https://www.econbiz.de/10011403123

Importance sampling from posterior distributions using copula-like approximations

Dellaportas, Petros; Tsionas, Efthymios G. - In: Journal of econometrics 210 (2019) 1, pp. 45-57

Persistent link: https://www.econbiz.de/10012303370

Realized density estimation using intraday prices

Arnerić, Josip - In: Croatian review of economic, business and social … 6 (2020) 1, pp. 1-9

with respect to the bandwidth selection as well as the sampling frequency selection. The main finding is that the kernel … bandwidth is strongly related to the sampling frequency at the slow-time-time scale when applying a two-scale estimator, while … the fast-time-time scale sampling frequency is held fixed. The realized kernel density estimation enriches the literature …

Persistent link: https://www.econbiz.de/10012264979

Asymptotic versus bootstrap inference for inequality indices of the cumulative distribution function

Abul Naga, Ramses H.; Stapenhurst, Christopher; … - In: Econometrics : open access journal 8 (2020) 1/8, pp. 1-15

We examine the performance of asymptotic inference as well as bootstrap tests for the Alphabeta and Kobus-Miłoś family of inequality indices for ordered response data. We use Monte Carlo experiments to compare the empirical size and statistical power of asymptotic inference and the Studentized...

Persistent link: https://www.econbiz.de/10012265388

Finite Gaussian mixture approximations to analytically intractable density Kernels

Khorunzhina, Natalia; Richard, Jean-François - In: Computational economics 53 (2019) 3, pp. 991-1017

Persistent link: https://www.econbiz.de/10012135106

Small area quantile estimation based on distribution function using linear mixed models

Stachurski, Tomasz - In: Economics and business review 7/21 (2021) 2, pp. 97-114

Persistent link: https://www.econbiz.de/10012613362

The slice sampler and centrally symmetric distributions

Planas, Christophe; Rossi, Alessandro - 2018

stepping out and multivariate sampling with hyperrectangles. In the general asymmetric case, we argue that symmetrizing the … with several sampling problems. …

Persistent link: https://www.econbiz.de/10012055009

A sequential importance sampling for estimating multi-period tail risk

Seo, Ye-Ji; Kim, Sunggon - In: Risks : open access journal 12 (2024) 12, pp. 1-22

. To overcome this shortcoming, we propose a sequential importance sampling, which is a modification of CMC. In the … proposed method. The sampling distribution of innovations is chosen differently from the estimated conditional distribution of … error of ES, and requires the less simulated samples. We propose how to find the near optimal sampling distribution. The …

Persistent link: https://www.econbiz.de/10015328727