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Quantile aggregation of density forecasts
Busetti, Fabio - 2014
Persistent link: https://www.econbiz.de/10011531105
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Quantile aggregation of density forecasts
Busetti, Fabio - In: Oxford bulletin of economics and statistics 79 (2017) 4, pp. 495-512
Persistent link: https://www.econbiz.de/10011772036
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Quantile Aggregation of Density Forecasts
Busetti, Fabio - 2015
Quantile aggregation (or 'Vincentization') is a simple and intuitive way of combining probability distributions, originally proposed by S. B. Vincent in 1912. In certain cases, such as under Gaussianity, the Vincentized distribution belongs to the same family as that of the individual...
Persistent link: https://www.econbiz.de/10013030198
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Distributed lags, aggregation and compounding : Some econometric implications
Trivedi, Pravin K.; Trivedi, P.K. - 1984
Persistent link: https://www.econbiz.de/10000007934
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Counting on count data models : quantitative policy evaluation can benefit from a rich set of econometric methods for analyzing count data
Winkelmann, Rainer - 2015
Often, economic policies are directed toward outcomes that are measured as counts. Examples of economic variables that use a basic counting scale are number of children as an indicator of fertility, number of doctor visits as an indicator of health care demand, and number of days absent from...
Persistent link: https://www.econbiz.de/10011430771
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Ill-posed inverse problems in economics
Horowitz, Joel - In: Annual review of economics 6 (2014), pp. 21-51
Persistent link: https://www.econbiz.de/10011379933
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Monte Carlo analysis of skew posterior distributions : an illustrative econometric example
Dijk, H. K. van; Kloek, T. - 1982
Persistent link: https://www.econbiz.de/10001561715
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Covariates hiding in the tails
Bachem, Milian; Ergun, Lerby M.; Vries, Casper G. de - 2021 - Last updated: September 29, 2021
Scaling behavior measured in cross-sectional studies through the tail index of a power law is prone to a bias. This hampers inference; in particular, time variation in estimated tail indices may be erroneous. In the case of a linear factor model, the factor biases the tail indices in the left and...
Persistent link: https://www.econbiz.de/10012627934
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Estimation of heterogeneous agent models : a likelihood approach
Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2020
We study the statistical properties of heterogeneous agent models. Using aBewley-Hugget-Aiyagari model we compute the density function of wealth and in-come and use it for likelihood inference. We study the finite sample properties of themaximum likelihood estimator (MLE) using Monte Carlo...
Persistent link: https://www.econbiz.de/10012256501
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Econometrics with partial identification
Molinari, Francesca - 2019
Econometrics has traditionally revolved around point identi cation. Much effort has been devoted to finding the weakest … early 1990s, gaining momentum over time and developing into a widely researched area of econometrics. Partial identification … set as the parameters' sharp identifi cation region. Econometrics with partial identi fication is concerned with: (1 …
Persistent link: https://www.econbiz.de/10012011565