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Estimating Gravity Models of International Trade with Correlated Time-Fixed Regressors: To IV or not IV?
Mitze, Timo - Volkswirtschaftliche Fakultät, … - 2010
due to a correlation of the time-fixed regressors with the combined error term in panel data settings. A common solution … performance of IV and non-IV approaches in the presence of time-fixed variables and right hand side endogeneity using Monte Carlo …
Persistent link: https://www.econbiz.de/10008550555
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Identification-robust inference for endogeneity parameters in linear structural models
Doko Tchatoka, Firmin; Dufour, Jean-Marie - Volkswirtschaftliche Fakultät, … - 2012
dependence between possibly endogenous explanatory variables and disturbances in a linear structural equation (endogeneity … parameters). We focus on second-order dependence and stress the distinction between regression and covariance endogeneity … with least-squares methods). We observe that endogeneity parameters may not be identifiable and we give the relevant …
Persistent link: https://www.econbiz.de/10011107877
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Bayesian Estimation of the GARCH(1,1) Model with Normal Innovations
David, Ardia - Volkswirtschaftliche Fakultät, … - 2006
In this article, we propose the Bayesian estimation of the parsimonious but effective GARCH(1,1) model with Normal innovations. We sample the parameters joint posterior distribution using the approach suggested by Nakatsuma (1998). As a first step, we fit the model to foreign exchange...
Persistent link: https://www.econbiz.de/10005836839
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К вопросу оценки адекватности имитационных моделей банковских бизнес-процессов
Rumyantsev, Mikhail I. - Volkswirtschaftliche Fakultät, … - 2010
This paper presents an overview of some general concepts and techniques of an adequacy estimation of simulation models of the banking business processes. A proposal on specific requirements for computer simulation models to banking activity re-engineering and optimization is formulated.
Persistent link: https://www.econbiz.de/10011260831
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Subset hypotheses testing and instrument exclusion in the linear IV regression
Doko Tchatoka, Firmin - Volkswirtschaftliche Fakultät, … - 2010
This paper explores the sensitivity of plug-in based subset tests to instrument exclusion in linear IV regression. Recently, identification-robust statistics based on plug-in principle have been developed for testing hypotheses specified on subsets of the structural parameters. However, their...
Persistent link: https://www.econbiz.de/10011107656
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The Modi ed R a Robust Measure of Association for Time Series
Rehman, Atiq-ur-; Malik, Muhammad Irfan - Volkswirtschaftliche Fakultät, … - 2014
Since times of Yule (1926), it is known that correlation between two time series can produce spurious results. Granger and Newbold (1974) see the roots of spurious correlation in non-stationarity of the time series. However the study of Granger, Hyung and Jeon (2001) prove that spurious...
Persistent link: https://www.econbiz.de/10011107693
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Testing for time-varying fractional cointegration using the bootstrap approach
Simwaka, Kisu - Volkswirtschaftliche Fakultät, … - 2012
Fractional cointegration has attracted interest in time series econometrics in recent years (see among others, Dittmann 2004). According to Engle and Granger (1987), the concept of fractional cointegration was introduced to generalize the traditional cointegration to the long memory framework....
Persistent link: https://www.econbiz.de/10011108746
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Multiple imputation in a complex household survey - the German Panel on Household Finances (PHF): challenges and solutions
Martin, Eisele; Zhu, Junyi - Volkswirtschaftliche Fakultät, … - 2013
Panel on Household Finances (PHF). A household wealth survey has to be built on a questionnaire with rather complex logical …
Persistent link: https://www.econbiz.de/10011108812
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Communicating quantitative information: tables vs graphs
Klein, Torsten L. - Volkswirtschaftliche Fakultät, … - 2014
In applied statistics and computational econometrics a key task for researchers is to bring the sizable but unstructured body of numeric evidence, for example from Monte Carlo simulation, in a form ready for introducing to scientific dialog. At their disposal they find established means of...
Persistent link: https://www.econbiz.de/10011109202
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On bootstrap validity for specification tests with weak instruments
Doko Tchatoka, Firmin - Volkswirtschaftliche Fakultät, … - 2013
This paper investigates the asymptotic validity of the bootstrap for Durbin-Wu-Hausman (DWH) specification tests when instrumental variables (IVs) may be arbitrary weak. It is shown that under strong identification, the bootstrap offers a better approximation than the usual asymptotic chi-square...
Persistent link: https://www.econbiz.de/10011109415