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Various versatile variances : an object-oriented implementation of clustered covariances in R
Berger, Susanne; Graham, Nathaniel; Zeileis, Achim - 2017
limited responses). In R, functions for covariances in clustered or panel models have been somewhat scattered or available … methods' performance in a simulation study. …
Persistent link: https://www.econbiz.de/10011697332
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Leverage, influence, and the jackknife in clustered regression models: Reliable inference using summclust
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - 2022
Cluster-robust inference is widely used in modern empirical work in economics and many other disciplines. The key unit of observation is the cluster. We propose measures of "high-leverage" clusters and "influential" clusters for linear regression models. The measures of leverage and partial...
Persistent link: https://www.econbiz.de/10013254705
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Leverage, influence, and the jackknife in clustered regression models : reliable inference using summclust
MacKinnon, James G.; Nielsen, Morten Ørregaard; Webb, … - 2022
Cluster-robust inference is widely used in modern empirical work in economics and many other disciplines. The key unit of observation is the cluster. We propose measures of "high-leverage" clusters and "influential" clusters for linear regression models. The measures of leverage and partial...
Persistent link: https://www.econbiz.de/10013169182
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Extended Beta Regression in R: Shaken, Stirred, Mixed, and Partitioned
Grün, Bettina; Kosmidis, Ioannis; Zeileis, Achim - 2011
(tree model). All three extensions are provided in the R package betareg (at least 2.4.0), building on generic algorithms …, respectively. Specifically, the new functions betatree() and betamix() reuse the object-oriented flexible implementation from the R …
Persistent link: https://www.econbiz.de/10010294793
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Flexible Rasch Mixture Models with Package psychomix
Frick, Hannah; Strobl, Carolin; Leisch, Friedrich; … - 2011
of Rasch mixture models is established and implemented in R, using conditional maximum likelihood estimation of the item … through mean and variance. The function raschmix() in the R package psychomix provides these models, leveraging the general …
Persistent link: https://www.econbiz.de/10010294820
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Increased Trading Hours and its Post-Impact on Market Efficiency : Empirical Evidence from the Indian Stock Market
Chauhan, Ajay Kumar - 2011
Efficiency of the equity market is one of the areas of prime concern for the stock market regulators because of its bearing on the investment behavior of investors. Also, with the increase in the level of integration with global stock markets, information originating in different countries has...
Persistent link: https://www.econbiz.de/10013132983
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Financial Development and International Trade in Ghana : An Empirical Study
Owusu-Amoako, Johnson - 2015
This paper analyzes the relationship between growth in international trade and financial development in Ghana. Applying Co-integration Test and the Vector Error Correction Model to a time series dataset from 1960 to 2013, the study finds that there is long run causal relationship among the...
Persistent link: https://www.econbiz.de/10013009911
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Market Timing Using Exchange Traded Funds
Glenn, Lewis A. - 2010
The method previously devised to harvest most of the potential gain in bull markets while avoiding most of the pain in bear markets is improved to provide greater accuracy and minimize whipsaw trading that can occur in some cases. The basic method focuses on a buy-the-market and hold strategy...
Persistent link: https://www.econbiz.de/10013144683
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Very Fast and Correctly Sized Estimation of the Bds Statistic
Kanzler, Ludwig - 1999
This paper is concerned with the study of some fundamental aspects of the BDS test. Brock, Dechert, Scheinkman & LeBaron (Econometric Reviews, 1996) propose this non-parametric tool as a test of the null hypothesis of an independently and identically distributed (i.i.d.) time series, with power...
Persistent link: https://www.econbiz.de/10014200277
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Global Finance Liquidity Risk Revisited : Development of a Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant...
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...
Persistent link: https://www.econbiz.de/10013403261