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Indirect inference : which moments to match?
Frazier, David T.; Renault, Eric - In: Econometrics : open access journal 7 (2019) 1/14, pp. 1-17
The standard approach to indirect inference estimation considers that the auxiliary parameters, which carry the identifying information about the structural parameters of interest, are obtained from some recently identified vector of estimating equations. In contrast to this standard...
Persistent link: https://www.econbiz.de/10012025566
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Non-parametric statistic for testing cumulative abnormal stock returns
Pynnönen, Seppo - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-13
Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative to parametric tests in financial economics event studies. In rank tests, financial assets’ multiple day cumulative abnormal returns (CARs) are replaced by cumulated ranks. This paper proposes...
Persistent link: https://www.econbiz.de/10013168738
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A silent revolution : how central bank statistics have changed in the last 25 years
De Bonis, Riccardo; Piazza, Matteo - In: PSL quarterly review 74 (2021) 299, pp. 347-371
This work provides a comprehensive overview of the giant leap made by European central bank statistics over the last … quarter century. We illustrate, first, the work that led to a brand-new set of central bank statistics for the implementation … at challenges lying ahead for official statistics, namely, how to deal with digitalization and globalization, and how to …
Persistent link: https://www.econbiz.de/10013175146
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Matching as a regression estimator : matching avoids making assumptions about the functional form of the regression equation, making analysis more reliable
Black, Dan A. - 2015
"Matching" is a statistical technique used to evaluate the effect of a treatment by comparing the treated and non-treated units in an observational study. Matching provides an alternative to older estimation methods, such as ordinary least squares (OLS), which involves strong assumptions that...
Persistent link: https://www.econbiz.de/10011433502
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Bootstrap tests for overidentification in linear regression models
Davidson, Russell; MacKinnon, James G. - In: Econometrics : open access journal 3 (2015) 4, pp. 825-863
variety of test statistics as functions of eight mutually independent random variables and two nuisance parameters. The … distributions of the statistics are shown to have an ill-defined limit as the parameter that determines the strength of the …
Persistent link: https://www.econbiz.de/10011411381
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Building a structural model : parameterization and structurality
Mouchart, Michel; Orsi, Renzo - In: Econometrics : open access journal 4 (2016) 2, pp. 1-16
A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when...
Persistent link: https://www.econbiz.de/10011506231
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A comparative analysis of exchange rate volatility in the West African Monetary Zone
Onanuga, Abayomi Toyin; Onanuga, Olaronke Toyin - In: CBN journal of applied statistics 6 (2015) 2, pp. 161-185
This study employs measures of variability and three GARCH models to comparatively explore the behaviour of exchange rate volatility of the currencies in the West African Monetary Zone (WAMZ) for the period 1960M01-2011M12. The study selects a sub-sample period of 2000M1 to 2011M12 to...
Persistent link: https://www.econbiz.de/10011470693
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Exchange rate volatility in Nigeria : consistency, persistency & severity analyses
Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49
The adoption of the International Monetary Fund (IMF) Structural Adjustment Programme (SAP) in 1986 resulted in the transition from fixed exchange rate regime to floating exchange rate regime in Nigeria. Ever since, the exchange rate of naira vis-à-vis the U.S dollar has attained varying rates...
Persistent link: https://www.econbiz.de/10011477452
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Contagion pattern identification through minimum spanning trees during the Asian financial crisis
Marica, Vasile-George - In: Financial studies 23 (2019) 2, pp. 76-96
Complexity in financial markets is slowly overwhelming canonical statistical modelling. With global crises which stemming from contagion effects becoming more frequent, new tools for financial distress transmission c apture are needed. Graph theory , with its branch on minimum spanning trees can...
Persistent link: https://www.econbiz.de/10012037392
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The role of personal motivation in sustainable purchasing practices
Vörösmarty, Gyöngyi; Dobos, Imre - In: Amfiteatru economic : an economic and business research … 21 (2019) 50, pp. 121-137
There is growing interest in identifying the drivers of and barriers to green purchasing, and many publications focus on motivational factors. However, the effects of these factors on the activities and means applied to sustainable purchasing are seldom investigated. This paper addresses this...
Persistent link: https://www.econbiz.de/10011979785