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Econometric Issues in the Analysis of Contagion
Pesaran, M. Hashem; Pick, Andreas - 2004
This paper presents a canonical, econometric model of contagion and investigates the conditions under which contagion can be distinguished from inter-dependence. In a two-country (market) setup it is shown that for a range of fundamentals the solution is not unique, and for sufficiently large...
Persistent link: https://www.econbiz.de/10010315922
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Oil Prices, Exchange Rates and Asset Prices
Fratzscher, Marcel; Schneider, Daniel; Robays, Ine Van - 2013
asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a …
Persistent link: https://www.econbiz.de/10010317045
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Competing risks models
van den Berg, Gerard J. - 2005
models. The central problem is the non-identification of dependent competing risks models. Models with regressors can …
Persistent link: https://www.econbiz.de/10010317935
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Nonparametric identification and semiparametric estimation of classical measurement error models without side information
Schennach, S. M.; Hu, Yingyao - 2012
rule, this identification result should have a wide applicability. It leads to a new perspective on handling measurement …
Persistent link: https://www.econbiz.de/10010318690
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Econometric analysis of games with multiple equilibria
de Paula, Áureo - 2012
identification), but ignoring it can lead to misspecifications. The survey starts with a general characterization of structural … guide to identification and estimation strategies, I discuss games of complete and incomplete information separately …
Persistent link: https://www.econbiz.de/10010318713
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Local identification of nonparametric and semiparametric models
Chen, Xiaohong; Chernozhukov, Victor; Lee, Sokbae; … - 2012
In parametric models a sufficient condition for local identification is that the vector of moment conditions is … the true value that are sufficient for local identification. We apply these results to obtain new, primitive … identification conditions in several important models, including nonseparable quantile instrumental variable (IV) models, single …
Persistent link: https://www.econbiz.de/10010318716
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Quantile models with endogeneity
Chernozhukov, Victor; Hansen, Christian - 2013
the use of instrumental variables and discuss conditions under which partial and point identification are obtained. We … update the identification results of Chernozhukov and Hansen (2005). We illustrate the modelling assumptions through …
Persistent link: https://www.econbiz.de/10010318721
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Individual heterogeneity and average welfare
Hausman, Jerry; Newey, Whitney - 2013
Individual heterogeneity is an important source of variation in demand. Allowing for general heterogeneity is needed for correct welfare comparisons. We consider general heterogenous demand where preferences and linear budget sets are statistically independent. We find that the dimension of...
Persistent link: https://www.econbiz.de/10010318724
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The signal of volatility
Strohsal, Till; Weber, Enzo - 2012
The present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that...
Persistent link: https://www.econbiz.de/10010318768
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Identifying VARs through heterogeneity: An application to bank runs
De Graeve, Ferre; Karas, Alexei - 2010
, based on microeconomic deposit market data. We impose identification restrictions both in the cross-section (across insured …
Persistent link: https://www.econbiz.de/10010320742