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Cointegration analysis with mixed-frequency data

Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2007

maximum likelihood estimation of the parameters in the model, we use an expectation maximization algorithm based on the state …

Persistent link: https://www.econbiz.de/10010264085

Nonparametric regression and the detection of turning points in the Ifo business climate

Abberger, Klaus - 2004

Business climate indicators are used to receive early signals for turning points in the general business cycle. Therefore methods for the detection of turning points in time series are required. Estimations of slopes of a smooth component in the data can be calculated with local polynomial...

Persistent link: https://www.econbiz.de/10010261265

Hybrid historical simulation VaR and ES : performance in developed and emerging markets

Zikovic, Sasa; Filer, Randall - 2009

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high … lower cost in capital reserves. In ES estimation the hybrid model yields the smallest error statistics surpassing even the …

Persistent link: https://www.econbiz.de/10010265962

Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models

Kiviet, Jan Frederik; Pleus, Milan; Poldermans, Rutger - 2015

-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …

Persistent link: https://www.econbiz.de/10010480882

Matching Theory and Evidence on Covid-19 Using a Stochastic Network SIR Model

Pesaran, M. Hashem; Yang, Cynthia Fan - 2020

models. These moment conditions are used to investigate identification and estimation of recovery and transmission rates. The …

Persistent link: https://www.econbiz.de/10012425601

Matching Theory and Evidence on COVID-19 Using a Stochastic Network SIR Model

Pesaran, M. Hashem; Yang, Cynthia Fan - 2021

models. These moment conditions are used to investigate the identification and estimation of the transmission rates. The …

Persistent link: https://www.econbiz.de/10013211615

Are real wages rigid downwards?

Holden, Steinar; Wulfsberg, Fredrik - 2007

This paper explores the existence of downward real wage rigidity (DRWR) in 19 OECD countries, over the period 1973-1999, using data for hourly nominal earnings at industry level. Based on a nonparametric statistical method, which allows for country and year specific variation in both the median...

Persistent link: https://www.econbiz.de/10010264120

Wage rigidity, institutions, and inflation

Holden, Steinar; Wulfsberg, Fredrik - 2009

A number of recent studies have documented extensive downward nominal wage rigidity (DNWR) for job stayers in many OECD countries. However, DNWR for individual workers may induce downward rigidity or a floor" for the aggregate wage growth at positive or negative levels. Aggregate wage growth may...

Persistent link: https://www.econbiz.de/10010264564

Government Spending Efficiency in Latin America

Afonso, António; Baquero Fraga, Gabriela - 2022

We assess the public spending efficiency of 20 Latin American countries over the period of 2000-2019, computing Data Envelopment Analysis efficiency scores. For the Public Sector Performance composite indicator, we use the annual data of socio-economic indicators, and for the input measure we...

Persistent link: https://www.econbiz.de/10013470354

Sequential estimation of structural models with a fixed point constraint

Kasahara, Hiroyuki; Shimotsu, Katsumi - 2008

This paper considers the estimation problem of structural models for which empirical restrictions are characterized by …. To address the issue of non-convergence, we propose alternative sequential estimation procedures that can achieve … convergence even when the NPL algorithm does not. Upon convergence, some of our proposed estimation algorithms produce more …

Persistent link: https://www.econbiz.de/10010264523