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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …
Persistent link: https://www.econbiz.de/10003586562
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Evolving wage cyclicality in Latin America
Gambetti, Luca; Messina, Julián - 2017
Examines the evolution of the cyclicality of real wages and employment in four Latin American economies: Brazil, Chile, Colombia and Mexico, during the period 1980-2010. Wages are highly pro-cyclical during the 1980s and early 1990s, a period characterized by high inflation. As inflation...
Persistent link: https://www.econbiz.de/10011636567
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Identification of the timing-of-events model with multiple competing exit risks from single-spell data
Drepper, Bettina; Effraimidis, Georgios - 2015
This note describes how the (single-spell) identification result of the timing-of-events model by Abbring and Van den Berg (2003b) can be extended to a model that accommodates several competing exit risks. The extended model can be used for example to distinguish between the different effects of...
Persistent link: https://www.econbiz.de/10010479003
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Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012
An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10009530816
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VC : a method for estimating time-varying coefficients in linear models
Schlicht, Ekkehart - 2020
. A penalized least squares estimation is linked to the GLS (Aitken) estimates of the corresponding linear model with time …
Persistent link: https://www.econbiz.de/10012161405
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A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables
Keane, Michael P.; Sauer, Robert M. - 2009
This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data … important determinants of participation, while race is much less important. -- Initial conditions ; missing data ; simulation …
Persistent link: https://www.econbiz.de/10003824296
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A time-space dynamic panel data model with spatial moving average errors
Baltagi, Badi H.; Fingleton, Bernard; Pirotte, Alain - 2018
This paper focuses on the estimation and predictive performance of several estimators for the time-space dynamic panel …
Persistent link: https://www.econbiz.de/10011872320
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Estimation of linear models from coarsened observations : a method of moments approach
Praag, Bernard M. S. van; Hop, J. Peter; Greene, William - 2025
single-equation models estimation of the latent linear model by Maximum Likelihood (ML) is routine. But, for higher …-dimensional multivariate models it is computationally cumbersome as estimation requires the evaluation of multivariate normal distribution … functions on a large scale. Our proposed alternative estimation method, based on the Generalized Method of Moments (GMM …
Persistent link: https://www.econbiz.de/10015183313
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Income satisfaction inequality and its causes
Ferrer-i-Carbonell, Ada (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001784297
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Returns to education and wage equations
Pereira, Pedro Telhado; Martins, Pedro S. - 2001
We show why considering a number of education-dependent covariates in the wage equation decreases coefficient of education in the wage equation. We use a meta-analysis of results for Portugal to show, empirically, that this is the case. The coefficient decreases when we use covariates that can...
Persistent link: https://www.econbiz.de/10011401392