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Long-term forecasts of age-specific labour market participation rates with functional data models
Url, Thomas; Hyndman, Rob J.; Dokumentov, Alexander - 2016
Many countries have implemented social programmes providing long-term financial or in-kind entitlements. These programmes often focus on specific age-groups and consequently their expenditure streams are subject to demographic change. Given the strains already existing on public budgets,...
Persistent link: https://www.econbiz.de/10011495122
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Trend extraction from time series with structural breaks and missing observations
Schlicht, Ekkehart - 2008
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. Practical problems arise, however, if the time series contains structural breaks (as produced by German unification for German time series, for instance),...
Persistent link: https://www.econbiz.de/10003951479
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A specification test for nonparametric instrumental variable regression
Gagliardini, Patrick (contributor);  … - 2007
distribution is normal under the null hypothesis, and a consistent bootstrap is available to get simulation based critical values …
Persistent link: https://www.econbiz.de/10003550675
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The dependence between income inequality and carbon emissions : a distributional copula analysis
Dorn, Franziska; Maxand, Simone; Kneib, Thomas - 2021
High levels of carbon emissions and rising income inequality are interconnected challenges for the global society. Commonly-applied linear regression models fail to unravel the complexity of potential bi-directional transmission channels. Specifically, consumption, energy sources and the...
Persistent link: https://www.econbiz.de/10012487787
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Optimization in a Simulation Setting : Use of Function Approximation in Debt Strategy Analysis
Bolder, David Jamieson - 2008
The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt … nonetheless complicated by two challenges. First, performing optimization with traditional techniques in a simulation setting is … address a number of policy questions that could not be fully addressed with the current stochastic simulation engine …
Persistent link: https://www.econbiz.de/10012725872
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Self-employment grants vs. subsidized employment : is there a difference in the re-unemployment risk?
Carling, Kenneth; Gustafson, Lena - 1999
Self-employment grants and employment subsidies are active labor market programs that aim at helping unemployed workers to escape unemployment by becoming self-employed or being hired at an initially reduced cost for the employer. In Sweden in the 1990's the participation rate in the...
Persistent link: https://www.econbiz.de/10011571874
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Modelling Stochastic Volatility with Leverage and Jumps : A Simulated Maximum Likelihood Approach via Particle Filtering
Malik, Sheheryar; Pitt, Michael K. - 2011
In this paper we provide a unified methodology for conducting likelihood-based inference on the unknown parameters of a general class of discrete-time stochastic volatility (SV) models, characterized by both a leverage effect and jumps in returns. Given the nonlinear/non-Gaussian state-space...
Persistent link: https://www.econbiz.de/10014185810
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ROM Simulation with Random Rotation Matrices
Ledermann, Dan - 2011
This paper explores the properties of random orthogonal matrix (ROM) simulation when the random matrix is drawn from …
Persistent link: https://www.econbiz.de/10013127392
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Robust Value at Risk Prediction : Appendix
Mancini, Loriano - 2010
This appendix extends simulation and empirical results reported in Mancini and Trojani (2010). It discusses the choice … forecast evaluation; provides additional Monte Carlo simulation results on GARCH model estimation and VaR prediction; extends …
Persistent link: https://www.econbiz.de/10013138328
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Estimation of Generalized Entropy and Atkinson inequality indices from complex survey data
Biewen, Martin; Jenkins, Stephen - 2003 - This version: 11 April 2003
Applying a method suggested by Woodruff (1971), we derive the sampling variances of Generalized Entropy and Atkinson inequality indices when estimated from complex survey data. It turns out that this method also greatly simplifies the calculations for the i.i.d. case when compared to previous...
Persistent link: https://www.econbiz.de/10011438447