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Estimation of linear dynamic panel data models with time-invariant regressors : conference paper
Kripfganz, Sebastian; Schwarz, Claudia - 2013 - This version: May 6, 2013
This paper considers estimation methods and inference for linear dynamic panel data models with unit …-invariant variables in a dynamic version of the Hausman and Taylor (1981) model. We propose a two-stage estimation procedure to identify … errors are adjusted to take into account the first-stage estimation uncertainty. As potential first-stage estimators we …
Persistent link: https://www.econbiz.de/10010342822
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The estimation uncertainty of permanent-transitory decompositions in co-integrated systems : conference paper
Schreiber, Sven - 2014 - This version: February 2014
The topic of this paper is the estimation uncertainty of the Stock-Watson and Gonzalo-Granger permanent … data in that period. To calculate asymptotically valid confidence intervals we use the delta method and two bootstrap …
Persistent link: https://www.econbiz.de/10010489880
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Unconditional transformed likelihood estimation of time-space dynamic panel data models : conference paper
Kripfganz, Sebastian - 2014
polynomial of the spatial weights matrix and, in general, tends to infinity with increasing sample size. Consistent estimation …
Persistent link: https://www.econbiz.de/10010490568
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Cyclical asset returns in the consumption and investment goods sector : conference paper
Heer, Burkhard; Maußner, Alfred; Süssmuth, Bernd - 2014
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we onsider a standard two-sector real-business cycle model with...
Persistent link: https://www.econbiz.de/10010482490
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Bootstrapping and related techniques : proceedings of an international conference held in Trier, FRG, June 4 - 8, 1990
Jöckel, Karl-Heinz (ed.); Rothe, Günter (contributor);  … - 1992
Persistent link: https://www.econbiz.de/10000851682
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Overidentification test in a nonparametric treatment model with unobserved heterogeneity : conference paper
Dzemski, Andreas; Sarnetzki, Florian - 2014 - This version: February 15, 2014
investigate the validity and finite sample performance of an easy-to-implement wild bootstrap procedure. Finally, we illustrate … the effect of the first stage estimation error and find that in order to have good power against local alternatives we … a multiplier bootstrap to conduct inference in a treatment model with nonparametrically estimated regressors. Our …
Persistent link: https://www.econbiz.de/10010491120
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Bubble thy neighbor : portfolio effects and externalities from capital controls ; conference paper
Forbes, Kristin; Fratzscher, Marcel; Kostka, Thomas; … - 2013
We use changes in Brazil s tax on capital inflows from 2006 to 2011 to test for direct portfolio effects and externalities from capital controls on investor portfolios. The analysis is structured based on information from investor interviews. We find that an increase in Brazil s tax on foreign...
Persistent link: https://www.econbiz.de/10010341669
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Asset management in volatile markets
Haiss, Peter R.; Sammer, Bernhard; Gartner, Martin; … - New Trends in Asset Management: Exploring the … - 2010
The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to...
Persistent link: https://www.econbiz.de/10011705329
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Is real exchange rate hedging motive still important in determining equity home bias? : conference paper
Stewen, Iryna - 2014
The majority of general equilibrium models of international portfolio holdings differ substantially in their modeling procedures but typically feature a term that captures the relationship between real exchange rate changes and relative, i.e. home vs. foreign, equity market returns. However,...
Persistent link: https://www.econbiz.de/10010489904
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Decision making with conditional value-at-risk and spectral risk measures : the problem of comparative risk aversion ; conference paper
Brandtner, Mario; Kürsten, Wolfgang - 2014
We analyze spectral risk measures with respect to comparative risk aversion following Arrow (1965) and Pratt (1964) on … widely-applied spectral Arrow-Pratt-measure is not a consistent measure of Arrow-Pratt-risk aversion. A decision maker with a … decision maker with a smaller spectral Arrow-Pratt-measure. We further show how a proper measure of Arrow-Pratt-risk aversion …
Persistent link: https://www.econbiz.de/10010491150