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Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK

Caggiano, Giovanni; apetanios, George; Labhard, Vincent - European Central Bank - 2009

Factor based forecasting has been at the forefront of developments in the macroeconometricforecasting literature in the recent past. Despite the flurry of activityin the area, a number of specification issues such as the choice of the number offactors in the forecasting regression, the benefits...

Persistent link: https://www.econbiz.de/10005866599

Are more data always better for factor analysis? : results for the euro area, the six largest euro area countries and the UK

Caggiano, Giovanni; Kapetanios, George; Labhard, Vincent - 2009

Factor based forecasting has been at the forefront of developments in the macroeconometric forecasting literature in the recent past. Despite the flurry of activity in the area, a number of specification issues such as the choice of the number of factors in the forecasting regression, the...

Persistent link: https://www.econbiz.de/10003865998

Testing for restricted stochastic dominance

Davidson, Russell (contributor); … - 2006

Asymptotic and bootstrap tests are studied for testing whether there is a relation of stochastic dominance between two … be used to perform bootstrap tests that can turn out to provide much improved reliability of inference compared with the … asymptotic tests so far proposed in the literature. -- stochastic dominance ; empirical likelihood ; bootstrap test …

Persistent link: https://www.econbiz.de/10003301664

Bootstrap confidence sets with weak instruments

Davidson, Russell; MacKinnon, James G. - 2011

the others are based on inverting t statistics or the bootstrap P values associated with them. We propose a new method for … constructing bootstrap confidence sets based on t statistics. In large samples, the procedures that generally work best are CLR … confidence sets using asymptotic critical values and bootstrap confidence sets based on LIML estimates. -- Weak instruments …

Persistent link: https://www.econbiz.de/10009308299

Methods for calculating cartel damages: a survey

Doose, Anna Maria - 2013

The paper focuses on the various methods used to quantify cartel damages, which have become more and more important as private damage suits in the aftermath of antitrust litigation increase. The approaches implementation is embedded into current legal environments with regards to the estimation...

Persistent link: https://www.econbiz.de/10010230329

Nanoeconomics : a statistical model of company profit influenced by individual interests of managers

Sokolov, Igor; Katyshev, Anatoly - 2015

A concept and mathematical model of modern economics are formulated in which a company profit is defined when taking into account possible interests of individual decision makers rather than based exclusively on benefits of either the company (ground of microeconomics) or the whole society...

Persistent link: https://www.econbiz.de/10010469609

Bootstrap tests for overidentification in linear regression models

Davidson, Russell; MacKinnon, James G. - In: Econometrics : open access journal 3 (2015) 4, pp. 825-863

-defined. Several bootstrap procedures are proposed. They alleviate the problem and allow reliable inference when the instruments are …

Persistent link: https://www.econbiz.de/10011411381

Default Risk Under Different Colors of Noise

Parnes, Dror - 2011

In this study we theoretically simulate default risk scenarios under various economic noises. We find that firms default more quickly with stronger economic shocks but simultaneously expose higher default probabilities during their deterioration, offering traders better visibility. When the...

Persistent link: https://www.econbiz.de/10013133441

The Advantages of Using Quarterly Returns for Long-Term Event Studies

Bremer, Ronald - 2010

The main purpose of this paper is to explore the low power and methodological problems as they continue to plague long-term event study research. We investigate long-term tests (up to 2 years) performed on non-overlapping quarterly time frames as a solution. Components of commonly employed...

Persistent link: https://www.econbiz.de/10013139784

Event Study Testing with Cross-Sectional Correlation of Abnormal Returns

Kolari, James W. - 2012

This article examines the issue of cross-sectional correlation in event studies. When there is event-date clustering, we find that even relatively low cross-correlation among abnormal returns is serious in terms of over-rejecting the null hypothesis of zero average abnormal returns.We propose a...

Persistent link: https://www.econbiz.de/10013114804