Search Results - subject:"Linear regression"

Inference in Regression Models with Many Regressors

Anatolyev, Stanislav - Center for Economic and Financial Research (CEFIR), New … - 2009

We investigate the behavior of various standard and modified F, LR and LM tests in linear homoskedastic regressions, adapting an alternative asymptotic framework where the number of regressors and possibly restrictions grows proportionately to the sample size. When restrictions are not numerous,...

Persistent link: https://www.econbiz.de/10004969066

Analisis de regresion

Velez-Pareja, Ignacio - MASTER CONSULTORES - 2009

Este es material de curso para un curso introductorio a la Probabilidad y la Estadistica en Ingenieria y Administracion. Es parte de algunas notas de clases de mis cursos en Español sobre esos temas. Cuando se toman decisiones y existen eventos futuros y desconocidos la unica razon por la cual...

Persistent link: https://www.econbiz.de/10010763063

Environmental Kuznets Curve for CO2 in Canada

He, Jie; Richard, Patrick - Département d'économique, Faculté d'administration - 2009

The environmental Kuznets curve hypothesis is a theory by which the relationship between per capita GDP and per capita pollutant emissions has an inverted U shape. This implies that, past a certain point, economic growth may actually be profitable for environmental quality. Most studies on this...

Persistent link: https://www.econbiz.de/10005016224

Optimal Bandwidth Choice for the Regression Discontinuity Estimator

Imbens, Guido W.; Kalyanaraman, Karthik - Institute for the Study of Labor (IZA) - 2009

estimator. We focus on estimation by local linear regression, which was shown to be rate optimal (Porter, 2003). Investigation … the regression discontinuity estimator. We focus on estimation by local linear regression, which was shown to be rate … rule performs well. JEL Classification: C14 Keywords: optimal bandwidth selection, local linear regression …

Persistent link: https://www.econbiz.de/10005761925

Performance Analysis of a Collateralized Fund Obligation (CFO) Equity Tranche

Aboul-Enein, Shady; Dionne, Georges; Papageorgiou, Nicolas - Centre Interuniversitaire sur le Risque, les Politiques … - 2009

This article examines the performance of the junior tranche of a Collateralized Fund Obligation (CFO), i.e. the residual claim (equity) on a securitized portfolio of hedge funds. We use a polynomial goal programming model to create optimal portfolios of hedge funds, conditional to investor...

Persistent link: https://www.econbiz.de/10008528556

Unstable volatility functions: the break preserving local linear estimator

Casas, Isabel; Gijbels, Irene - School of Economics and Management, University of Aarhus - 2009

The objective of this paper is to introduce the break preserving local linear (BPLL) estimator for the estimation of unstable volatility functions. Breaks in the structure of the conditional mean and/or the volatility functions are common in Finance. Markov switching models (Hamilton, 1989) and...

Persistent link: https://www.econbiz.de/10008577798

Empirical analysis of the influencing factors of sugar imports in China

Gong, Xue-wu; Wu, Ge - In: Asian Agricultural Research 1 (2009) 01

We study the factors influencing the sugar imports in China. A multivariate linear regression model for quantitative …

Persistent link: https://www.econbiz.de/10008577911

Numerical and Monte Carlo Methods to make Normal Residues in Regression

Ciuiu, Daniel - In: Journal for Economic Forecasting (2009) 4, pp. 119-131

The Jarque-Bera normality test verifies if the residues of the regression hyper-plane are normal random variables.In this paper we present some numerical and Monte Carlo methods to obtain normal residues if the Jarque-Bera test fails. We consider the case when we know the pdf, the cdf and the...

Persistent link: https://www.econbiz.de/10008633170

Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations

Genton, Marc G.; Lucas, André - Tinbergen Institute - 2000

both linear and non-linear regression settings. In some cases, it leads to a different notion of breakdown than other … and non-linear regression as well as time-series and spatial statistics. …

Persistent link: https://www.econbiz.de/10005281897

Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations

Genton, Marc G.; Lucas, André - 2000

both linear and non-linear regression settings. Insome cases, it leads to a different notion of breakdown than other … and non-linear regression as well as time-series and spatial statistics. …

Persistent link: https://www.econbiz.de/10010324408