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Displaying results 1 to 16 of 16.

  1. Nonlinear cointegrating power function regression with endogeneity
    Author: Hu, Zhishui; Phillips, Peter C. B.; Wang, Qiying
    Published: 2019
    Publisher:  Cowles Foundation for Research in Economics, Yale University, New Haven, Connecticut

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    Language: English
    Media type: Book
    Format: Online
    Series: Cowles Foundation discussion paper ; no. 2211 (December 2019)
    Subjects: Nonlinear power regression; Least squares estimation; Nonstationarity; Endogeneity; Heteroscedasticity
    Scope: 1 Online-Ressource (circa 42 Seiten)
  2. Around-the-clock USD/MXN volatility: macroeconomic announcement spillovers and FX market intervention mechanisms
    Author: Pedroza, Wilfrido Jurado
    Published: June 2021
    Publisher:  Banco de México, [Ciudad de México, México]

    This paper advances the literature on the dynamics of the U.S. Dollar-Mexican Peso (USD/MXN) volatility process by leveraging high-frequency data. First, it documents the factors that characterize the intraday volatility process of the USD/MXN... more

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    This paper advances the literature on the dynamics of the U.S. Dollar-Mexican Peso (USD/MXN) volatility process by leveraging high-frequency data. First, it documents the factors that characterize the intraday volatility process of the USD/MXN exchange rate at high frequencies based on a sample of five-minute returns from 2008 to 2017. Second, it empirically identifies the effects and the relative impact on the USD/MXN volatility process of various macroeconomic announcements, at different frequencies. The results conclude that the most impactful releases are associated with the monetary policy announcements by the Federal Reserve and Banco de México, together with the publication of some U.S. and China macroeconomic data. Furthermore, the results suggest that the different mechanisms implemented by Mexico's FX Commission have accomplished their objective of stabilizing the volatility of the USD/MXN.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/240714
    Series: Working papers / Banco de México ; no 2021, 05
    Subjects: FX Volatility; Heteroscedasticity; Macroeconomic Announcements; High-Frequency Data
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  3. Improved regression inference using a second overlapping regression model
    Author: Peng, Liang; Einmahl, John H. J.
    Published: 28 October 2021
    Publisher:  CentER, Center for Economic Research, Tilburg

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Discussion paper / CentER, Center for Economic Research ; no. 2021, 029
    Subjects: Cross-sectional dependence; Heteroscedasticity; Random weight bootstrap; Regression model; Variance reduction
    Scope: 1 Online-Ressource (circa 18 Seiten)
  4. Identification and estimation of quadratic food Engel curves
    evidence from Cameroon
    Author: Wirba, Ebenezer Lemven
    Published: April 2023
    Publisher:  African Economic Research Consortium, Nairobi, Kenya

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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789966612267
    Series: Research paper / African Economic Research Consortium ; 523
    Subjects: Quadratic food Engel curve; Foodshare; Non-parametric; Heteroscedasticity; Cameroon
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  5. The evolution of the response of credit spread variables to monetary policy shocks
    Author: Kim, Do-wan
    Published: 2024. 1
    Publisher:  Bank of Korea, Seoul, Korea

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    Format: Online
    Series: BOK working paper ; no. 2024, 1
    Subjects: Time-Varying Parameter VAR; Credit spreads; External Instrument; Monetary policy; Heteroscedasticity
    Scope: 1 Online-Ressource (circa 76 Seiten), Illustrationen
  6. Identifying demand elasticity via heteroscedasticity
    a panel GMM approach to estimation and inference
    Author: Brasch, Thomas von; Raknerud, Arvid; Vigtel, Trond C.
    Published: October 2024
    Publisher:  Statistics Norway, Research Department, Oslo

    This paper introduces a panel GMM framework for identifying and estimating demand elasticities via heteroscedasticity. While existing panel estimators address the simultaneity problem, the state-ofthe-art Feenstra/Soderbery (F/S) estimator suffers... more

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    This paper introduces a panel GMM framework for identifying and estimating demand elasticities via heteroscedasticity. While existing panel estimators address the simultaneity problem, the state-ofthe-art Feenstra/Soderbery (F/S) estimator suffers from inconsistency, inefficiency, and lacks a valid framework for inference. We develop a constrained GMM (C-GMM) estimator that is consistent and derive a uniform formula of its asymptotic standard error that is valid even at the boundary of the parameter space. A Monte Carlo study demonstrates the consistency of the C-GMM estimator and shows that it substantially reduces bias and root mean squared error compared to the F/S estimator. Unlike the F/S estimator, the C-GMM estimator maintains high coverage of confidence intervals across a wide range of sample sizes and parameter values, enabling more reliable inference.

     
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    Language: English
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    Other identifier:
    hdl: 10419/305432
    Series: Discussion papers / Statistics Norway, Research Department ; 1015
    Subjects: Demand Elasticity; Panel Data; Heteroscedasticity; GMM; Constrained Estimation; Bagging
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  7. Sparse models and methods for optimal instruments with an application to eminent domain
    Published: 2010
    Publisher:  Centre for Microdata Methods and Practice, London

    We develop results for the use of LASSO and Post-LASSO methods to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments, p, that apply even when p is much larger than the... more

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    We develop results for the use of LASSO and Post-LASSO methods to form first-stage predictions and estimate optimal instruments in linear instrumental variables (IV) models with many instruments, p, that apply even when p is much larger than the sample size, n. We rigorously develop asymptotic distribution and inference theory for the resulting IV estimators and provide conditions under which these estimators are asymptotically oracle-efficient. In simulation experiments, the LASSO-based IV estimator with a data-driven penalty performs well compared to recently advocated many-instrument-robust procedures. In an empirical example dealing with the effect of judicial eminent domain decisions on economic outcomes, the LASSO-based IV estimator substantially reduces estimated standard errors allowing one to draw much more precise conclusions about the economic effects of these decisions. Optimal instruments are conditional expectations; and in developing the IV results, we also establish a series of new results for LASSO and Post-LASSO estimators of non-parametric conditional expectation functions which are of independent theoretical and practical interest. Specifically, we develop the asymptotic theory for these estimators that allows for non-Gaussian, heteroscedastic disturbances, which is important for econometric applications. By innovatively using moderate deviation theory for self-normalized sums, we provide convergence rates for these estimators that are as sharp as in the homoscedastic Gaussian case under the weak condition that log p = o(n 1/3). Moreover, as a practical innovation, we provide a fully data-driven method for choosing the user-specified penalty that must be provided in obtaining LASSO and Post-LASSO estimates and establish its asymptotic validity under non-Gaussian, heteroscedastic disturbances. --

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Other identifier:
    hdl: 10419/64662
    Series: Cemmap working paper / Centre for Microdata Methods and Practice ; 31/10
    Subjects: IV-Schätzung; Regressionsanalyse; Ökonometrie; Theorie; Instrumental Variables; Optimal Instruments; LASSO; Post-LASSO; Sparsity; Eminent Domain; Data-Driven Penalty; Heteroscedasticity; non-Gaussian errors; moderate deviations for self-normalized sums
    Scope: Online-Ressource (PDF-Datei: 59 S., 829,18 KB)
  8. Sparse models and methods for optimal instruments with an application to eminent domain
    Published: 2011
    Publisher:  Massachusetts Inst. for Technology, Dep. of Economics, Cambridge, Mass.

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    Source: Union catalogues
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    Series: Working paper series / Massachusetts Institute of Technology, Department of Economics ; 11-19
    Subjects: IV-Schätzung; Regressionsanalyse; Ökonometrie; Theorie; Instrumental Variables; Optimal Instruments; LASSO; Post-LASSO; Sparsity; Eminent Domain; Data-Driven Penalty; Heteroscedasticity; non-Gaussian errors; moderate deviations for self-normalized sums
    Scope: Online-Ressource (PDF-Datei: 62 S., 686,21 KB)
  9. Separate estimation of spatial dependence parameters and variance parameters in a spatial model
    Author: Arnold, Matthias; Wied, Dominik
    Published: 2010
    Publisher:  Universitätsbibliothek Dortmund, Dortmund

  10. Einführung in die Ökonometrie
    Author: Huschens, Stefan
    Published: 2017
    Publisher:  Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, Dresden ; Technische Universität Dresden

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  11. Einführung in die Ökonometrie
    Author: Huschens, Stefan
    Published: Februar 2017
    Publisher:  Technische Universität Dresden, Fakultät Wirtschaftswissenschaften, [Dresden]

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    Source: Union catalogues
    Language: German
    Media type: Book
    Format: Print
    RVK Categories: SK 980 ; QH 300 ; QH 310 ; QH 400 ; QH 400
    DDC Categories: 330
    Series: Dresdner Beiträge zu quantitativen Verfahren ; Nr. 69 (17)
    Subjects: Ökonometrie; Theorie
    Other subjects: (stw)Ökonometrie; (stw)Theorie; Econometric models; Econometrics; Lehrbuch; Lineares Einfach-Regressionsmodell; Konfidenzintervall; Multiples lineares Regressionsmodell; Autokorrelation; Heteroskedastie; Multikollinearität e; Linear Simple Regression Model; Confidence Interval; Multiple Linear Regression Model; Autocorrelation; Heteroscedasticity; Multicollinearity; Graue Literatur; Lehrbuch
    Scope: VI, 113 Seiten, Illustrationen, 30 cm
  12. White heteroscedasticty testing after outlier removal
    Author: Berenguer-Rico, Vanessa; Wilms, Ines
    Published: [2018]
    Publisher:  University of Oxford, Department of Economics, Oxford

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Department of Economics discussion paper series / University of Oxford ; number 853 (June 2018)
    Subjects: Asymptotic theory; Empirical processes; Heteroscedasticity; Marked and Weighted Empirical processes; Outlier detection; Robust Statistics; White test
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  13. Impact of monetary policy on the Indian stock market
    does the devil lie in the detail?
    Author: Edwin Prabu A; Bhattacharyya, Indranil; Ray, Partha
    Published: march 2019
    Publisher:  Indian Institute of Management Calcutta, Calcutta

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    Series: Working paper series / Indian Institute of Management Calcutta ; no. 822
    Subjects: India; Stock Market; Monetary Policy; Event Study; SVAR; Heteroscedasticity
    Scope: 1 Online-Ressource (circa 28 Seiten)
  14. Direct simultaneous inference in additive models and its application to model undernutrition
    Published: 2011
    Publisher:  Courant Research Centre, Göttingen

    This article proposes a simple and fast approach to build simultaneous confi dence bands and perform specification tests for smooth curves in additive models. The method allows for handling of spatially heterogeneous functions and its derivatives as... more

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    This article proposes a simple and fast approach to build simultaneous confi dence bands and perform specification tests for smooth curves in additive models. The method allows for handling of spatially heterogeneous functions and its derivatives as well as heteroscedasticity in the data. It is applied to study the determinants of chronic undernutrition of Kenyan children, with particular focus on the highly non-linear age pattern in undernutrition. Model estimation using the mixed model representation of penalized splines in combination with simultaneous probability calculations based on the volume-of-tube formula enable the simultaneous inference directly, i.e. without resampling methods. Finite sample properties of simultaneous con fidence bands and specifi cation tests are investigated in simulations. To facilitate and enhance its application, the method has been implemented in the R package AdaptFitOS.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/90515
    Edition: First Version December 2010, revised July 2011
    Series: Discussion papers / Courant Research Centre ; 50
    Subjects: Additive model; Con dence band; Undernutrition; Heteroscedasticity; Locally adaptive smoothing; Kenya; Penalized splines; Varying variance
    Scope: Online-Ressource (31 S.), graph. Darst.
  15. Jump-preserving varying-coefficient models for nonlinear time series
    Author: Čížek, Pavel; Koo, Chao Hui
    Published: December 2016
    Publisher:  CentER, Center for Economic Research, Tilburg

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    Series: Discussion paper / CentER, Center for Economic Research ; no. 2017, 017
    Subjects: Change point; Heteroscedasticity; Local linear fitting; Nonlinear time series; Varying-coefficient models
    Scope: 1 Online-Ressource (circa 76 Seiten)
  16. Profit persistence and stock returns
    Author: Gschwandtner, Adelina; Hauser, Michael A.
    Published: 2013
    Publisher:  Univ. of Kent, School of Economics, [Canterbury]

    This paper attempts to assemble evidence for the relationship between the product and the financial market. Drawing back on work in industrial organization, we analyze the relationship between profit persistence and expected stock returns. We show... more

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    This paper attempts to assemble evidence for the relationship between the product and the financial market. Drawing back on work in industrial organization, we analyze the relationship between profit persistence and expected stock returns. We show that long-run profit persistence together with other additional economic firm fundamentals have a significant impact on stock returns and on their volatility even after adjusting for risk. At the same time we bring evidence for a "low volatility anomaly".

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/105704
    Series: School of Economics discussion papers ; 1320
    Subjects: Profit Persistence; Competition; Stock Return; Heteroscedasticity; Low-Volatility Anomaly; Dividend Discount Model
    Scope: Online-Ressource (35 S.)