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Particle filters for continuous likelihood evaluation and maximisation

Malik, Sheheryar; Pitt, Michael K. - In: Journal of Econometrics 165 (2011) 2, pp. 190-209

In this paper, a method is introduced for approximating the likelihood for the unknown parameters of a state space model. The approximation converges to the true likelihood as the simulation size goes to infinity. In addition, the approximating likelihood is continuous as a function of the...

Persistent link: https://www.econbiz.de/10010574072

THE EVOLUTION OF ROMANIAN DEMOGRAPHIC PHENOMENA IN TERMS OF GLOBALIZATION

BĂLAN, Mariana; VASILE, Emilia - In: Annals of Spiru Haret University, Economic Series 1 (2010) 3, pp. 177-188

Globalisation and demography are the main forces modelling the development of societies at large and of each nation in particular.The paper aims to identify and synthetically present some factors of influence which triggered by the end of the 20th century and the beginning of the 21st century a...

Persistent link: https://www.econbiz.de/10008830048

Exchange Market Pressure and De Facto The Evolution of Demographic Phenomena in Terms of Globalization and Environmental Changes

Balan, Mariana - In: Journal for Economic Forecasting (2010) 2, pp. 100-118

Globalization, climatic changes and demography are the main forces modeling the development of societies, in general, and of each nation, in particular. Both offer opportunities but also imply challenges. The paper aims to identify and synthetically present some factors of influence which...

Persistent link: https://www.econbiz.de/10008492983

Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

Persistent link: https://www.econbiz.de/10014024953

A Bunch of Models, a Bunch of Nulls and Inference about Predictive Ability

Pincheira, Pablo - In: Journal for Economic Forecasting (2013) 3, pp. 26-43

Inference about predictive ability is usually carried-out in the form of pairwise comparisons between two forecasting methods. Nevertheless, some interesting questions are concerned with families of models and not just with a couple of forecasting strategies. For instance: Are time-series models...

Persistent link: https://www.econbiz.de/10010702341

A consistent nonparametric test of parametric regression functional form in fixed effects panel data models

Lin, Zhongjian; Li, Qi; Sun, Yiguo - In: Journal of Econometrics 178 (2014) P1, pp. 167-179

test is a consistent test. We also establish the asymptotic validity of a bootstrap procedure which is used to better …

Persistent link: https://www.econbiz.de/10010730130

Smooth minimum distance estimation and testing with conditional estimating equations: Uniform in bandwidth theory

Lavergne, Pascal; Patilea, Valentin - In: Journal of Econometrics 177 (2013) 1, pp. 47-59

restrictions on parameters as well as a bootstrap technique to account for the bandwidth’s influence. Our new methods are simple to …

Persistent link: https://www.econbiz.de/10010703138

Estimación de reservas en una compañía aseguradora. Una aplicación en Excel del método Chain-Ladder y Bootstrap || Estimating the Reserves in Insurance Companies: An Excel Applicat...

Álvarez-Jareño, José Antonio; Coll-Serrano, Vicente - In: Revista de Métodos Cuantitativos para la Economía y … 14 (2012) 1, pp. 124-136

Chain-Ladder para la estimación puntual de las reservas y, posteriormente, se recurre al bootstrap para obtener el error de … seguimiento del proceso a desarrollar, los métodos Chain-Ladder y bootstrap se ejecutan paso a paso en una aplicación Excel … we use the bootstrap technique to estimate the margin of error and the confidence interval of the reserves. Since …

Persistent link: https://www.econbiz.de/10010595357

Heteroskedasticity-robust inference in finite samples

Hausman, Jerry; Palmer, Christopher - In: Economics Letters 116 (2012) 2, pp. 232-235

Since the advent of heteroskedasticity-robust standard errors, several papers have proposed adjustments to the original White formulation. We replicate earlier findings that each of these adjusted estimators performs quite poorly in finite samples. We propose a class of alternative...

Persistent link: https://www.econbiz.de/10010597169

An improved test for statistical arbitrage

Jarrow, Robert; Teo, Melvyn; Tse, Yiu Kuen; Warachka, Mitch - In: Journal of Financial Markets 15 (2012) 1, pp. 47-80

We improve upon the power of the statistical arbitrage test in Hogan, Jarrow, Teo, and Warachka (2004). Our methodology also allows for the evaluation of return anomalies under weaker assumptions. We then compare strategies based on their convergence rates to arbitrage and identify strategies...

Persistent link: https://www.econbiz.de/10010572952