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A Bootstrap Cointegration Rank Test for Panels of VAR Models

Callot, Laurent A.F. - School of Economics and Management, University of Aarhus - 2010

This paper proposes a sequential procedure to determine the common cointegration rank of panels of cointegrated VARs …

Persistent link: https://www.econbiz.de/10008752898

Optimal hedging with the cointegrated vector autoregressive model

Johansen, Søren; Gatarek, Lukasz - School of Economics and Management, University of Aarhus - 2014

(CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the infinite …

Persistent link: https://www.econbiz.de/10010940883

A Simple Test for Spurious Regressions

Noriega, Antonio E.; Ventosa-Santaularia, Daniel - School of Economics and Management, University of Aarhus - 2011

The literature on spurious regressions has found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes for the dependent and explanatory variables. This paper...

Persistent link: https://www.econbiz.de/10009147394

Headlights on tobacco road to low birthweight outcomes - Evidence from a battery of quantile regression estimators and a heterogeneous panelCreation-Date: 20080508

Bache, Stefan Holst; Dahl, Christian M.; Tang, Johannes - School of Economics and Management, University of Aarhus

Low birthweight outcomes are associated with large social and economic costs, and therefore the possible determinants of low birthweight are of great interest. One such determinant which has received considerable attention is maternal smoking. From an economic perspective this is in part due to...

Persistent link: https://www.econbiz.de/10005440073

Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models

Callot, Laurent; Caner, Mehmet; Kock, Anders Bredahl; … - School of Economics and Management, University of Aarhus - 2015

We propose a new estimator, the thresholded scaled Lasso, in high dimensional threshold regressions. First, we establish an upper bound on the sup-norm estimation error of the scaled Lasso estimator of Lee et al. (2012). This is a non-trivial task as the literature on highdimensional models has...

Persistent link: https://www.econbiz.de/10011168920

Deterministic and stochastic trends in the Lee-Carter mortality model

Callot, Laurent; Haldrup, Niels; Lamb, Malene Kallestrup - School of Economics and Management, University of Aarhus - 2014

The Lee and Carter (1992) model assumes that the deterministic and stochastic time series dynamics loads with identical weights when describing the development of age specific mortality rates. Effectively this means that the main characteristics of the model simplifies to a random walk model...

Persistent link: https://www.econbiz.de/10011079279

Inference in High-dimensional Dynamic Panel Data Models

Kock, Anders Bredahl; Tang, Haihan - School of Economics and Management, University of Aarhus - 2014

We establish oracle inequalities for a version of the Lasso in high-dimensional fixed effects dynamic panel data models. The inequalities are valid for the coefficients of the dynamic and exogenous regressors. Separate oracle inequalities are derived for the fixed effects. Next, we show how one...

Persistent link: https://www.econbiz.de/10011115312

Oracle inequalities for high-dimensional panel data models

Kock, Anders Bredahl - School of Economics and Management, University of Aarhus - 2013

This paper is concerned with high-dimensional panel data models where the number of regressors can be much larger than the sample size. Under the assumption that the true parameter vector is sparse we establish finite sample upper bounds on the estimation error of the Lasso under two different...

Persistent link: https://www.econbiz.de/10010851282

Integration of European Bond Markets

Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2012

I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU...

Persistent link: https://www.econbiz.de/10010851292

ICT and Productivity Growth in the 1990's: Panel Data Evidence on Europe

Dahl, Christian M.; Kongsted, Hans Christian; … - School of Economics and Management, University of Aarhus - 2010

What has been the quantitative effect on productivity growth of information and communication technology (ICT) in Europe after 1995? Based on a multi-country sectoral panel data set, we provide econometric evidence of positive and signi?cant productivity effects of ICT in Europe, mainly due to...

Persistent link: https://www.econbiz.de/10008509118