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Finding relevant variables in sparse Bayesian factor models : economic applications and simulation results

Kaufmann, Sylvia; Schumacher, Christian - 2012

This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant...

Persistent link: https://www.econbiz.de/10009674269

Alternative asymptotically optimal tests in econometrics

Smith, Richard J. - 1983

Persistent link: https://www.econbiz.de/10003529381

Estimation of linear dynamic panel data models with time-invariant regressors

Kripfganz, Sebastian; Schwarz, Claudia - 2013 - This Version: May 6, 2013

This paper considers estimation methods and inference for linear dynamic panel data models with unit-specific heterogeneity and a short time dimension. In particular, we focus on the identification of the coefficients of time-invariant variables in a dynamic version of the Hausman and Taylor...

Persistent link: https://www.econbiz.de/10009775613

Forecast-error-based estimation of forecast uncertainty when the horizon is increased

Knüppel, Malte - 2014

(2014) in order to relax the condition on the data structure required for the SUR estimator to be independent from unknown … quantities. It turns out that the SUR estimator of forecast uncertainty tends to deliver large efficiency gains compared to the … OLS estimator (i.e. the sample mean of the squared forecast errors) in the case of increased forecast horizons. The SUR …

Persistent link: https://www.econbiz.de/10010465566

A data-driven selection of an appropriate seasonal adjustment approach

Webel, Karsten - 2016

Recent releases of X-13ARIMA-SEATS and JDemetra+ enable their users to choose between the non-parametric X-11 and the parametric ARIMA model-based approach to seasonal adjustment for any given time series without the necessity of switching between different software packages. To ease the...

Persistent link: https://www.econbiz.de/10011452778

Identification of affine term structure models with observed factors : economic shocks on Brazilian yield curves

Matsumura, Marco Shinobu; Moreira, Ajax - 2015

Persistent link: https://www.econbiz.de/10012053317

Estimating regional wealth in Germany : how different are East and West really?

Kreutzmann, Ann-Kristin; Marek, Philipp; Salvati, Nicola; … - 2019

More than 25 years after German reunification, key economic indicators for households living in eastern German regions are still below the western German levels. This particularly holds for private net wealth, which reaches only about 40% of the western German level. However, a more granular...

Persistent link: https://www.econbiz.de/10012101276

Estimation of heterogeneous agent models : a likelihood approach

Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2020

themaximum likelihood estimator (MLE) using Monte Carlo experiments on artificialcross-sections of wealth and income. We propose …

Persistent link: https://www.econbiz.de/10012256501

Non-standard errors

Bosch-Rosa, Ciril; Kassner, Bernhard - 2023

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across...

Persistent link: https://www.econbiz.de/10014478337

Pricing the Bund term structure with linear regressions : without an observable short rate

Speck, Christian - 2023

Affine term structure models of bond yields are important tools for analyzing fixed income markets and monetary policy. Estimators of Adrian, Crump, and Mönch (2013) and Diez de Los Rios (2015) replace time-consuming nonlinear search procedures with a set of simple linear regressions. However,...

Persistent link: https://www.econbiz.de/10014320252