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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

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

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

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

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

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

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

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

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

The behavior of uncertainty and disagreement and their roles in economic prediction : a panel analysis

Rich, Robert W.; Tracy, Joseph S. - 2017

This paper examines point and density forecasts from the European Central Bank's Survey of Professional Forecasters. We derive individual uncertainty measures along with individual point- and density-based measures of disagreement. We also explore the relationship between uncertainty and...

Persistent link: https://www.econbiz.de/10011604042

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