Showing 101 - 110 of 268
In the analysis of microarray data, and in some other contemporary statistical problems, it is not uncommon to apply hypothesis tests in a highly simultaneous way. The number, N say, of tests used can be much larger than the sample sizes, n, to which the tests are applied, yet we wish to...
Persistent link: https://www.econbiz.de/10009439776
We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The information contained in large datasets is captured by few dynamic common factors, which we assume being conditionally heteroskedastic. After presenting the model, we propose a...
Persistent link: https://www.econbiz.de/10009439780
This paper examines the relationship between the level of public infrastructure and the level of productivity using panel data for the Spanish provinces over the period 1984-2004, a period which is particularly relevant due to the substantial changes occurring in the Spanish economy at that...
Persistent link: https://www.econbiz.de/10009439787
In this paper, I study the equilibrium pricing of asset shares in the presence of dynamic private information. The market consists of a risk-neutral informed agent who observes the firm value, noise traders and competitive market makers who set share prices using the total order flow as a noisy...
Persistent link: https://www.econbiz.de/10009439871
The aim of this paper is to investigate the empirical relationship between daily fluctuations in the risk premium for holding a large diversified credit portfolio, which we approximate by a benchmark credit index, and some tradeable market factors which capture systematic risk. The analysis is...
Persistent link: https://www.econbiz.de/10009439932
Protection against disclosure is important for statistical agencies releasing microdata files from sample surveys. Simple measures of disclosure risk can provide useful evidence to support decisions about release. We propose a new measure of disclosure risk: the probability that a unique match...
Persistent link: https://www.econbiz.de/10009439938
Consideration of the National Minimum Wage requires estimates of the distribution of hourly pay. The UK Labour Force Survey (LFS) is a key source of such estimates. The approach most frequently adopted by researchers has been to measure hourly earnings from several questions on pay and hours....
Persistent link: https://www.econbiz.de/10009439939
The paper establishes a correspondence between statistical disclosure control and forensic statistics regarding their common use of the concept of ‘probability of identification’. The paper then seeks to investigate what lessons for disclosure control can be learnt from the forensic...
Persistent link: https://www.econbiz.de/10009439940
This article considers the assessment of the risk of identification of respondents in survey microdata, in the context of applications at the United Kingdom (UK) Office for National Statistics (ONS). The threat comes from the matching of categorical “key“ variables between microdata records...
Persistent link: https://www.econbiz.de/10009440011
Complex designs are often used to select the sample which is followed over time in a panel survey. We consider some parametric models for panel data and discuss methods of estimating the model parameters which allow for complex schemes. We incorporate survey weights into alternative point...
Persistent link: https://www.econbiz.de/10009440012