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Recovering the most entropic copulas from preliminary knowledge of dependence

Chu, Ba; Satchell, Stephen - In: Econometrics 4 (2016) 2, pp. 1-21

This paper provides a new approach to recover relative entropy measures of contemporaneous dependence from limited information by constructing the most entropic copula (MEC) and its canonical form, namely the most entropic canonical copula (MECC). The MECC can effectively be obtained by...

Persistent link: https://www.econbiz.de/10011755325

Removing specification errors from the usual formulation of binary choice models

Swamy, Paravastu A. V. B.; Chang, I-Lok; Mehta, Jatinder S. - In: Econometrics 4 (2016) 2, pp. 1-21

We develop a procedure for removing four major specification errors from the usual formulation of binary choice models. The model that results from this procedure is different from the conventional probit and logit models. This difference arises as a direct consequence of our relaxation of the...

Persistent link: https://www.econbiz.de/10011755331

A method for measuring treatment effects on the treated without randomization

Swamy, Paravastu A. V. B.; Hall, Stephen G.; Tavlas, … - In: Econometrics 4 (2016) 2, pp. 1-23

This paper contributes to the literature on the estimation of causal effects by providing an analytical formula for individual specific treatment effects and an empirical methodology that allows us to estimate these effects. We derive the formula from a general model with minimal restrictions,...

Persistent link: https://www.econbiz.de/10011755335

Market microstructure effects on firm default risk evaluation

Barsotti, Flavia; Sanfelici, Simona - In: Econometrics 4 (2016) 3, pp. 1-31

estimation plays a key role in its evaluation. Assuming a structural credit risk modeling approach, we study the impact of … choosing different non parametric equity volatility estimators on default probability evaluation, when market microstructure … effects of different non-parametric estimation techniques on default probability evaluation. The impact of the non …

Persistent link: https://www.econbiz.de/10011755337

Testing cross-sectional correlation in large panel data models with serial correlation

Baltagi, Badi H.; Kao, Chihwa; Peng, Bin - In: Econometrics 4 (2016) 4, pp. 1-24

This paper considers the problem of testing cross-sectional correlation in large panel data models with serially-correlated errors. It finds that existing tests for cross-sectional correlation encounter size distortions with serial correlation in the errors. To control the size, this paper...

Persistent link: https://www.econbiz.de/10011755347

Generalized information matrix tests for detecting model misspecification

Golden, Richard M.; Henley, Steven S.; White, Halbert; … - In: Econometrics 4 (2016) 4, pp. 1-24

Generalized Information Matrix Tests (GIMTs) have recently been used for detecting the presence of misspecification in regression models in both randomized controlled trials and observational studies. In this paper, a unified GIMT framework is developed for the purpose of identifying,...

Persistent link: https://www.econbiz.de/10011755349

Estimation of dynamic panel data models with stochastic volatility using particle filters

Xu, Wen - In: Econometrics 4 (2016) 4, pp. 1-13

Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across countries or regions. This paper estimates dynamic panel...

Persistent link: https://www.econbiz.de/10011755352

Pair-copula constructions for financial applications: A review

Aas, Kjersti - In: Econometrics 4 (2016) 4, pp. 1-15

This survey reviews the large and growing literature on the use of pair-copula constructions (PCCs) in financial applications. Using a PCC, multivariate data that exhibit complex patterns of dependence can be modeled using bivariate copulae as simple building blocks. Hence, this model represents...

Persistent link: https://www.econbiz.de/10011755354

Consistency of trend break point estimator with underspecified break number

Yang, Jingjing - In: Econometrics 5 (2017) 1, pp. 1-19

This paper discusses the consistency of trend break point estimators when the number of breaks is underspecified. The consistency of break point estimators in a simple location model with level shifts has been well documented by researchers under various settings, including extensions such as...

Persistent link: https://www.econbiz.de/10011755359

Business cycle estimation with high-pass and band-pass local polynomial regression

Álvarez, Luis J. - In: Econometrics 5 (2017) 1, pp. 1-11

Filters constructed on the basis of standard local polynomial regression (LPR) methods have been used in the literature to estimate the business cycle. We provide a frequency domain interpretation of the contrast filter obtained by the difference of a series and its long-run LPR component and...

Persistent link: https://www.econbiz.de/10011755360