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Statistical Inference of a Bivariate Proportional Hazard Model with Grouped Data.

Yuying An, M. - School of Economics and Management, Institut for Økonomi - 1998

This paper proposes a semiparametric proportional hazard model for bivariate duration data in the analysis of two-component systems. Examples include the two infection times of the left and the right kidneys of patients and the two retirement times of married couples. As a generalization of the...

Persistent link: https://www.econbiz.de/10005487183

Semiparametrically Efficient Inference Based on Signs and Ranks for Median Restricted Models

Werker, Bas J.M.; Hallin, M.; Vermandele, C. - Tilburg University, Center for Economic Research - 2004

Since the pioneering work of Koenker and Bassett (1978), econometric models involving median and quantile rather than … the classical mean or conditional mean concepts have attracted much interest.Contrary to the traditional models where the … noise is assumed to have mean zero, median-restricted models enjoy a rich group-invariance structure.In this paper, we …

Persistent link: https://www.econbiz.de/10011092707

Equality Restricted Random Variables: Densities and Sampling Algorithms

Kleibergen, F. - Econometrisch Instituut, Faculteit der Economische … - 1996

Many common statistical models can be specified as linear models with restrictions imposed on the parameters. A large … amount of these models impose restrictions which do not allow for the analytical construction of the probability density …

Persistent link: https://www.econbiz.de/10005660914

Bayesian Evaluation of a Semi-Parametric Binary Response Model.

Scheihing, E.; Mouchart, M. - Center for Operations Research and Econometrics (CORE), … - 1998

In this paper, we develop a Bayesian analysis of a semi-parametric binary choice model. The prior specification of the functional parameter, namely the distribution function of a latent variable, is of the Dirichlet process type and the prior specification of the Euclidean parameter, namely the...

Persistent link: https://www.econbiz.de/10005779498

Econometric Models of Option Pricing Errors.

Renault, E. - Groupe de Recherche en Économie Mathématique et … - 1996

This paper, prepared for the Invited Symposium "Financial Econometrics" at the 7th WCES, Tokyo, August 1995, surveys the subject of Econometrics of option pricing, and more precisely try to offer versatile tools to model the source of the prediction errors in option pricing.

Persistent link: https://www.econbiz.de/10005780436

Bayesian Identification of Semi-Parametric Binary Response Models.

Mouchart, M.; Rolin, J.-M.; Scheihing, E. - Center for Operations Research and Econometrics (CORE), … - 1998

In this paper, minimal conditions under which a semi-parametric binary response model is identified in a Bayesian framework are presented and compared to the conditions usually required in a sampling theory framework.

Persistent link: https://www.econbiz.de/10005634011

Smooth Conditional Distribution Function and Quantiles Under Random Censorship.

Leconte, E.; Poiraud-Casanova, S.; Tohomas-Agnan, C. - Groupe de Recherche en Économie Mathématique et … - 2000

We consider a nonparametric random design regression model in which the response variable is possibly right censored. The aim of this paper is to estimate the conditional destribution function and the conditional x-quantile of the response variable. We restrict attention to the case where the...

Persistent link: https://www.econbiz.de/10005639372

A Finite-Sample Analysis of Returns to Schooling Across Public High Schools.

Tobias, J. - California Irvine - School of Social Sciences - 2000

In an important and influential paper, Card and Krueger argued that proxies for school quality positively affect the rate of return to future education. In this paper, we analyze a variant of the Card and Krueger model using a hierarchical Bayesian approach and school-level quality data from the...

Persistent link: https://www.econbiz.de/10005641201

Long-run Exchange Rate Determination:a Neural Network Study.

Verkooijen, W.; Plasmans, J.; Daniels, H. - CentER for Economic Research, Universiteit van Tilburg - 1995

Persistent link: https://www.econbiz.de/10005618617

Likelihood Ratio Test in the Correlated Gamma-Frailty Model.

Korsholm, L. - School of Economics and Management, Institut for Økonomi - 1998

The correlated gamma-frailty model is a generalization of Cox' proportional hazard model, which allows for correlation between individuals within the same group. The nonparametric maximum likelihood estimator in this model has previously been studied by Murphy (1994, 1995) and Parner (1998)....

Persistent link: https://www.econbiz.de/10005783425