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Various versatile variances : an object-oriented implementation of clustered covariances in R
Berger, Susanne; Graham, Nathaniel; Zeileis, Achim - 2017
Clustered covariances or clustered standard errors are very widely used to account for correlated or clustered data, especially in economics, political sciences, or other social sciences. They are employed to adjust the inference following estimation of a standard least-squares regression or...
Persistent link: https://www.econbiz.de/10011697332
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Leverage, influence, and the jackknife in clustered regression models : reliable inference using summclust
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - 2022
Cluster-robust inference is widely used in modern empirical work in economics and many other disciplines. The key unit of observation is the cluster. We propose measures of "high-leverage" clusters and "influential" clusters for linear regression models. The measures of leverage and partial...
Persistent link: https://www.econbiz.de/10013169182
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Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions
Dufour, Jean-Marie; Khalaf, Lynda - 2000
Persistent link: https://www.econbiz.de/10001504719
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Matrix Box-Cox models for multivariate realized volatility
Weigand, Roland - 2014
covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed …
Persistent link: https://www.econbiz.de/10010344500
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Level-slope-curvature : fact or artefact?
Lord, Roger; Pelsser, Antoon André Jean - 2005
conditions have the nice interpretation of restricting the level, slope and curvature of the correlation surface. It is proven … that the Schoenmakers-Coffey correlation matrix also brings along such factors. Finally, we formulate and corroborate our … conjecture that the order present in correlation matrices causes slope. …
Persistent link: https://www.econbiz.de/10011346478
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Common factors governing VDAX movements and the maximum loss
Härdle, Wolfgang; Schmidt, Peter - 2000
Persistent link: https://www.econbiz.de/10001555314
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Robust estimation of linear fixed effects panel data models with an application to the exporter productivity premium
Verardi, Vincenzo; Wagner, Joachim - 2010
In empirical studies it often happens that some variables for some units are far away from the other observations in the sample. These extreme observations, or outliers, often have a large impact on the results of statistical analyses – conclusions based on a sample with and without these...
Persistent link: https://www.econbiz.de/10003958692
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Robust estimation of linear fixed effects panel data models with an application to the exporter productivity premium
Verardi, Vincenzo; Wagner, Joachim - 2010
In empirical studies it often happens that some variables for some units are far away from the other observations in the sample. These extreme observations, or outliers, often have a large impact on the results of statistical analyses – conclusions based on a sample with and without these...
Persistent link: https://www.econbiz.de/10003962105
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Robust estimates of exporter productivity premia in German business services enterprises
Vogel, Alexander; Wagner, Joachim - 2011 - This version: July 1, 2011
A large and growing number of micro-econometric studies show that exporting firms are more productive than firms that sell their products on the home market only. This so-called exporter productivity premium qualifies as a stylized fact. Only recently researchers started to look at the role of...
Persistent link: https://www.econbiz.de/10009229007
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Fast methods for jackknifing inequality indices
Karoly, Lynn A.; Schröder, Carsten - 2013
The jackknife is a resampling method that uses subsets of the original database by leaving out one observation at a time from the sample. The paper outlines a procedure to obtain jackknife estimates for several inequality indices with only a few passes through the data. The number of passes is...
Persistent link: https://www.econbiz.de/10010128879