Similar Search Results

A comparison of dynamic panel data estimators: Monte Carlo evidence and an application to the investment function

Behr, Andreas - 2003

In our analysis we discuss several dynamic panel data estimators proposed in the literature and assess their performance in Monte Carlo simulations. It is a well known fact that the natural choice, the least squares dummy variable estimator is biased in the context of dynamic estimation. The...

Persistent link: https://www.econbiz.de/10010295751

Real-time macroeconomic data and ex ante predictability of stock returns

Döpke, Jörg; Hartmann, Daniel; Pierdzioch, Christian - 2006

We report results on the ex ante predictability of monthly excess stock returns in Germany using real-time and revised …

Persistent link: https://www.econbiz.de/10010295798

The Empirical Performance of Option Based Densities of Foreign Exchange

Keller, Joachim G.; Craig, Ben R. - 2002

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

Persistent link: https://www.econbiz.de/10010295724

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

Persistent link: https://www.econbiz.de/10010295747

Exact tests and confidence sets for the tail coefficient of a-stable distributions

Dufour, Jean-Marie; Kurz-Kim, Jeong-Ryeol - 2003

In this paper, using the Monte Carlo (MC) method we propose an estimation and (at the same time) a test procedure for the stability parameter of a-stable distributions. One powerful advantage of the MC method is that it provides an exact significance level for finite samples, whose distribution...

Persistent link: https://www.econbiz.de/10010295764

Asymptotic distribution of linear unbiased estimators in the presence of heavy-tailed stochastic regressors and residuals

Samorodnitsky, Gennady; Rachev, Svetlozar T.; Kurz-Kim, … - 2005

Under the symmetric α-stable distributional assumption for the disturbances, Blattberg et al (1971) consider unbiased linear estimators for a regression model with non-stochastic regressors. We consider both the rate of convergence to the true value and the asymptotic distribution of the...

Persistent link: https://www.econbiz.de/10010295766

A note on the coefficient of determination in regression models with infinite-variance variables

Loretan, Michael Stanislaus; Kurz-Kim, Jeong-Ryeol - 2007

Since Mandelbrot's seminal work (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical results on...

Persistent link: https://www.econbiz.de/10010295847

Panel estimation of state dependent adjustment when the target is unobserved

von Kalckreuth, Ulf - 2008

Understanding adjustment processes has become central in economics. Empirical analysis is fraught with the problem that the target is usually unobserved. This paper develops, simulates and applies GMM methods for estimating dynamic adjustment models in a panel data context with partially...

Persistent link: https://www.econbiz.de/10010295881

Empirical simultaneous confidence regions for path-forecasts

Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010

Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. The probabilistic assessment about the set of possible trajectories that...

Persistent link: https://www.econbiz.de/10010300297

Ein disaggregierter Ansatz zur Berechnung konjunkturbereinigter Budgetsalden für Deutschland: Methoden und Ergebnisse

Mohr, Matthias - 2001

In diesem Papier wird eine Konjunkturbereinigung des öffentlichen Haushaltssaldos für Deutschland vorgestellt. In den …, dass die Konjunkturabhängigkeit des Saldos in Deutschland geringer ist als bisher vermutet wurde. …A method for the calculation of a cyclically adjusted balance for Germany is presented. Within the most commonly …

Persistent link: https://www.econbiz.de/10011447196