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Variance estimation in a random coefficients model

Schlicht, Ekkehart; Ludsteck, Johannes - 2006

This papers describes an estimator for a standard state-space model with coefficients generated by a random walk that is statistically superior to the Kalman filter as applied to this particular class of models. Two closely related estimators for the variances are introduced: A maximum...

Persistent link: https://www.econbiz.de/10010267676

Variance Estimation in a Random Coefficients Model

Schlicht, Ekkehart; Ludsteck, Johannes - Institute for the Study of Labor (IZA) - 2006

Persistent link: https://www.econbiz.de/10005566384

Real Time Econometrics

Pesaran, Mohammad Hashem; Timmermann, Allan - 2004

This paper considers the problems facing decision makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many choices that researchers face in construction of automated...

Persistent link: https://www.econbiz.de/10010276178

Real Time Econometrics

Pesaran, M. Hashem; Timmermann, Allan - Institute for the Study of Labor (IZA) - 2004

Persistent link: https://www.econbiz.de/10005763536

VC - A Method For Estimating Time-Varying Coefficients in Linear Models

Schlicht, Ekkehart - 2020

This paper describes a moments estimator for a standard state-space model with coefficients generated by a random walk. A penalized least squares estimation is linked to the GLS (Aitken) estimates of the corresponding linear model with time-invariant parameters. The VC estimates are moments...

Persistent link: https://www.econbiz.de/10012180113

On the estimation and forecasting of international migration: how relevant is heterogeneity across countries?

Brücker, Herbert; Siliverstovs, Boriss - 2005

This paper performs a comparative analysis of estimation as well as of out-of-sample forecasting results of more than … estimates of the migration function. Out-of-sample forecasting results indicate the following: (i) the standard fixed effects … variables estimators, (iv) forecasting performance of heterogenous estimators is mediocre in our data set. …

Persistent link: https://www.econbiz.de/10010267584

Forecasting Time Series Subject to Multiple Structural Breaks

Timmermann, Allan; Pettenuzzo, Davide; Pesaran, … - 2004

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

Persistent link: https://www.econbiz.de/10010276180

Forecasting Time Series Subject to Multiple Structural Breaks

Pesaran, M. Hashem; Pettenuzzo, Davide; Timmermann, Allan - Institute for the Study of Labor (IZA) - 2004

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

Persistent link: https://www.econbiz.de/10005763710

On the Estimation and Forecasting of International Migration: How Relevant Is Heterogeneity Across Countries?

Brücker, Herbert; Siliverstovs, Boriss - Institute for the Study of Labor (IZA) - 2005

Persistent link: https://www.econbiz.de/10005703752

Tracking When Ranking Matters

Landaud, Fanny; Maurin, Eric - 2022

This paper investigates the effect of grouping students by prior achievement into different classes (or schools) in settings where students are competing for admission to programs offering only a limited number of places. We first develop a model that identifies the conditions under which the...

Persistent link: https://www.econbiz.de/10013351696