Search Results - subject:"Missing Variable"

Lessons in Econometric Methodology: The Axiom of Correct Specification

Zaman, Asad - In: International Econometric Review (IER) 9 (2017) 2, pp. 50-68

Leamer first pointed out that a regression model is valid only if all of the assumptions under which it is constructed are valid. In particular, this means that all of relevant regressors which are determinants must be included. In practice, applied econometricians assume that whatever model...

Persistent link: https://www.econbiz.de/10012610966

Measuring currency exposure with quantile regression

Du, Ding; Ng, Pin; Zhao, Xiaobing - In: Review of Quantitative Finance and Accounting 41 (2013) 3, pp. 549-566

In this paper, we explore an alternative explanation of the exposure puzzle, the missing variable bias in previous … 46:33–51, <CitationRef CitationID="CR30">1978</CitationRef>). Empirically, as soon as we take into account the missing … variable bias as well as time variation in currency exposure, we find that 26 out of 30 or 87 % of the US industry portfolios …

Persistent link: https://www.econbiz.de/10010989620

Measuring currency exposure with quantile regression

Du, Ding; Ng, Pin T.; Zhao, Xiaobing - In: Review of quantitative finance and accounting 41 (2013) 3, pp. 549-566

Persistent link: https://www.econbiz.de/10010188239

Missing value imputation via copula and transformation methods, with applications to financial and economic data

Friedman, Craig; Huang, Jinggang; Zhang, Yangyong; Cao, … - In: International Journal of Data Analysis Techniques and … 4 (2012) 4, pp. 315-339

We present new, tractable methods to impute missing values based on conditional probability density functions that we estimate via copula and mixture models. Our methods exploit known analytical results concerning conditional distributions for the Arellano-Valle and Bolfarine's generalised...

Persistent link: https://www.econbiz.de/10010669757