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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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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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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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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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Computational statistics and data visualization
Unwin, Antony (contributor); Chen, Chun-houh (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003633608
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Productivity premia for German manufacturing firms exporting to the Euro-area and beyond : first evidence from robust fixed effects estimations
Verardi, Vincenzo; Wagner, Joachim - 2010
This paper makes three contributions. (1) It summarizes in tabular form a recent literature made of 36 micro-econometric studies for 16 different countries on the relationship between export destination and firm performance. (2) It reports estimates of the productivity premium of German firms...
Persistent link: https://www.econbiz.de/10003968468
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Productivity premia for German manufacturing firms exporting to the Euro-area and beyond : first evidence from robust fixed effects estimations
Verardi, Vincenzo; Wagner, Joachim - 2010
This paper makes three contributions. (1) It summarizes in tabular form a recent literature made of 36 micro-econometric studies for 16 different countries on the relationship between export destination and firm performance. (2) It reports estimates of the productivity premium of German firms...
Persistent link: https://www.econbiz.de/10003968702
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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