Search Results - subject:"Linear regression"

Efficient Regression in Time Series Partial Linear Models

Phillips, Peter C.B.; Guo, Binbin; Xiao, Zhijie - Cowles Foundation for Research in Economics, Yale University - 2002

This paper studies efficient estimation of partial linear regression in time series models. In particular, it combines … two topics that have attracted a good deal of attention in econometrics, viz. spectral regression and partial linear … regression, and proposes an efficient frequency domain estimator for partial linear models with serially correlated residuals. A …

Persistent link: https://www.econbiz.de/10005593565

Can We Feed the Animals? Origins and Implications of Rising Meat Demand

Keyzer, Michiel A.; Merbis, Max D.; Pavel, Ferdinand - European Association of Agricultural Economists - EAAE - 2002

The paper argues that current long-term projections of global meat and feed demand may underestimate future consumption patterns for mainly two reasons. First, they do not explicitly consider increased demand for protein foods of animal origin with rising incomes in some developing countries,...

Persistent link: https://www.econbiz.de/10005806057

TESTING MEAN-VARIANCE EFFICIENCY IN CAPM WITH POSSIBLY NON-GAUSSIAN ERRORS : AN EXACT SIMULATION-BASED APPROACH

BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda - Centre Interuniversitaire de Recherche en Économie … - 2002

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/10005729586

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda. - Département de Sciences Économiques, Université de … - 2002

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 frame-work of...

Persistent link: https://www.econbiz.de/10005729905

Common and Idiosyncratic Components in Real Output; Further International Evidence

Simone, Francisco Nadal-De - International Monetary Fund (IMF) - 2002

This paper uses the classical (level) definition of business cycles to analyze the characteristics-duration, amplitude, steepness, and cumulative output movements-of the real GDP series of France, Germany, Italy, the rest of the euro area, and the United States. An index of concordance and its...

Persistent link: https://www.econbiz.de/10005263734

Analysis of quantitative traits using regression and log-linear modeling when phase is unknown

Mander, A. P. - In: Stata Journal 2 (2002) 1, pp. 65-70

syntax for model specification, which is necessary because when phase is unknown, the explanatory variables for the linear … regression are never observed. The data must be a population-based sample because within family effects are not modeled …

Persistent link: https://www.econbiz.de/10005568809

Robust signal extraction for on-line monitoring data

Davies, P. L.; Fried, Roland; Gather, Ursula - 2002

Data from the automatic monitoring of intensive care patients exhibits trends, outliers, and level changes as well as periods of relative constancy. All this is overlaid with a high level of noise and there are dependencies between the different items measured. Current monitoring systems tend to...

Persistent link: https://www.econbiz.de/10009775959

Alternative measures of the explanatory power of multivariate probit models with continuous or ordinal responses

Spieß, Martin; Tutz, Gerhard - 2002

In this paper R2-type measures of the explanatory power of multivariate linear and categorical probit models proposed in the literature are reviewed and their deficiencies are discussed. It is argued that a measure of the explanatory power should take into account the components which are...

Persistent link: https://www.econbiz.de/10011436274

Alternative measures of the explanatory power of multivariate probit models with continuous or ordinal responses

Spieß, Martin - 2002

In 1986 German federal parental leave and benefit policy was expanded in several ways, extending the potential duration of leave from six to ten months and paying child-rearing benefits to all new mothers regardless of their employment status before childbirth. The potential duration has...

Persistent link: https://www.econbiz.de/10013436205

Monitoring the Parameters of the Market Model by Linear Profile Procedures

Ho, Linda Lee; El Said, Mahmoud; Kim, Ricardo Wonseuk - In: Stochastics and Quality Control 25 (2010) 1, pp. 81-96

Abstract The method to measure the market risk (which stocks are exposed) by the slope coefficient of a linear … regression model (that relates the returns of the asset and the returns of a market index) is known as Market Model. When …

Persistent link: https://www.econbiz.de/10014590897