Search Results - subject:"Statistical inference"

Teaching Causal Inference in Undergraduate Econometrics

Habermalz, Steffen - 2010

This paper argues that the current way in which the undergraduate introductory econometrics course is taught is neither inline with current empirical practice nor very intuitive. It proposes a shift in focus of the course on causal inference using the Roy-Rubin Causal Model (RRCM). A second...

Persistent link: https://www.econbiz.de/10013144775

Modeling Dependence Using Skew T Copulas : Bayesian Inference and Applications

Smith, Michael S. - 2010

We construct a copula from the skew t distribution of Sahu, Dey & Branco (2003). This copula can capture asymmetric and extreme dependence between variables, and is one of the few copulas that can do so and still be used in high dimensions effectively. However, it is difficult to estimate the...

Persistent link: https://www.econbiz.de/10013145057

On Model Selection and Model Misspecification in Causal Inference

Vansteelandt, Stijn; Bekaert, Maarten; Claeskens, Gerda - 2010

Standard variable-selection procedures, primarily developed for the construction of outcome prediction models, are routinely applied when assessing exposure e®ects in observational studies. We argue that this tradition is sub-optimal and prone to yield bias in exposure effect estimates as well...

Persistent link: https://www.econbiz.de/10014188833

Robust Trend Inference with Series Variance Estimator and Testing-Optimal Smoothing Parameter

Sun, Yixiao - 2010

The paper develops a novel testing procedure for hypotheses on deterministic trends in a multivariate trend stationary model. The trends are estimated by the OLS estimator and the long run variance (LRV) matrix is estimated by a series type estimator with carefully selected basis functions....

Persistent link: https://www.econbiz.de/10014188748

Essays on income inequality, poverty and mobility

Bönke, Timm - 2010

Persistent link: https://www.econbiz.de/10009125324

Essays on Efficiency Analysis

Jansen, Dennis W. (contributor) - 2009

simulation evidence shows that traditional statistical inference does notunderperform the bootstrap process proposed by Simar and … model in terms of statistical inference. Therefore, the traditional method, t-test, andthe tobit model should continue to be …-discretionary inputs exist. A new approach of the multi-stage Data EnvelopmentAnalysis (DEA) for non-discretionary inputs, statistical …

Persistent link: https://www.econbiz.de/10009464881

Bootstrap Confidence Bands for Forecast Paths

Staszewska-Bystrova, Anna - COMISEF - 2009

The problem of forecasting from vector autoregressive models has attracted considerable attention in the literature. The most popular non-Bayesian approaches use large sample normal theory or the bootstrap to evaluate the uncertainty associated with the forecast. The literature has concentrated...

Persistent link: https://www.econbiz.de/10008514821

Regional Financial Integration in the Caribbean; Evidence From Financial and Macroeconomic Data

Kwon, Goohoon; Espinoza, Raphael A. - International Monetary Fund (IMF) - 2009

This paper assesses the extent of regional financial integration in the Caribbean Community (CARICOM) by analyzing equity prices in the region and rigidity of external financing constraints. The results are presented in a cross-regional perspective. The Caribbean stock markets are not as well...

Persistent link: https://www.econbiz.de/10008528700

Honorary Lecture on S. James Press and Bayesian Analysis

Zellner, Arnold - In: Review of Economic Analysis 1 (2009) 1, pp. 98-118

S. James Press's many contributions to statistical research, lecturing, mentoring students, the statistics profession, etc. are summarized. Then some new developments in Bayesian analysis are described and remarks on the future of Bayesian analysis are presented.

Persistent link: https://www.econbiz.de/10008683511

Valid Inference in Partially Unstable GMM Models

Li, Hong; Müller, Ulrich K. - 2009

The paper considers time series GMM models where a subset of the parameters are time varying. We focus on an empirically relevant case with moderately large instabilities, which are well approximated by a local asymptotic embedding that does not allow the instability to be detected with...

Persistent link: https://www.econbiz.de/10014052091