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Statistics, data analysis, and decision modeling

Evans, James R.; Basu, Ayanendranath - 2013 - 5th ed., internat. ed.

Persistent link: https://www.econbiz.de/10009525190

U-MIDAS: MIDAS regressions with unrestricted lag polynomials

Foroni, Claudia; Marcellino, Massimiliano; Schumacher, … - 2011

Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by … high-frequency variables and their lags. When the difference in sampling frequencies between the regressand and the … macroeconomic applications, however, differences in sampling frequencies are often small. In such a case, it might not be necessary …

Persistent link: https://www.econbiz.de/10009490826

Finite sample performance of sequential designs for model identification

Dette, Holger; Kwiecien, Robert - 2003

Classical regression analysis is usually performed in two steps. In a first step an appropriate model is identified to describe the data generating process and in a second step statistical inference is performed in the identified model. An intuitively appealing approach to the design of...

Persistent link: https://www.econbiz.de/10010511732

Dynamic latent class model averaging for online prediction

Yang, Hongxia; Hosking, Jonathan R. M.; Amemiya, Yasuo - In: Journal of forecasting 34 (2015) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10011305378

The lasso for high-dimensional regression with a possible change-point

Lee, Sokbae; Seo, Myung Hwan; Shin, Youngki - 2014

We consider a high-dimensional regression model with a possible change-point due to a covariate threshold and develop the Lasso estimator of regression coefficients as well as the threshold parameter. Our Lasso estimator not only selects covariates but also selects a model between linear and...

Persistent link: https://www.econbiz.de/10010358938

Waiting times and socioeconomic status : does sample selection matter?

Sharma, Anurag; Siciliani, Luigi; Harris, Anthony H. - In: Economic modelling 33 (2013), pp. 659-667

Persistent link: https://www.econbiz.de/10010194439

Hedonic price indexes for residential housing : a survey, evaluation and taxonomy

Hill, Robert J. - In: Journal of economic surveys 27 (2013) 5, pp. 879-914

Persistent link: https://www.econbiz.de/10010195906

Extremal quantile regressions for selection models and the black-white wage gap

D'Haultfœuille, Xavier; Maurel, Arnaud; Zhang, Yichong - 2014

We consider the estimation of a semiparametric location-scale model subject to endogenous selection, in the absence of an instrument or a large support regressor. Identification relies on the independence between the covariates and selection, for arbitrarily large values of the outcome. In this...

Persistent link: https://www.econbiz.de/10010369818

Disaggregation methods based on MIDAS regression

Guay, Alain; Maurin, Alain - In: Economic modelling 50 (2015), pp. 123-129

Persistent link: https://www.econbiz.de/10011440036

U-MIDAS : MIDAS regressions with unrestricted lag polynomials

Foroni, Claudia; Marcellino, Massimiliano; Schumacher, … - 2012

Persistent link: https://www.econbiz.de/10009512876