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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

Testing dependence among serially correlated multi-category variables

Pesaran, Mohammad Hashem; Timmermann, Allan - 2006

The contingency table literature on tests for dependence among discrete multi-category variables is extensive. Existing tests assume, however, that draws are independent, and there are no tests that account for serial dependencies - a problem that is particularly important in economics and...

Persistent link: https://www.econbiz.de/10010276251

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

Testing Dependence among Serially Correlated Multi-Category Variables

Pesaran, M. Hashem; Timmermann, Allan - Institute for the Study of Labor (IZA) - 2006

Persistent link: https://www.econbiz.de/10005763908

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

Spatial Unit Roots in Regressions: A Practitioner's Guide and a Stata Package

Becker, Sascha O.; Boll, P. David; Voth, Hans-Joachim - 2025

Spatial unit roots can lead to spurious regression results. We present a brief overview of the methods developed in Müller and Watson (2024) to test for and correct for spatial unit roots. We also introduce a suite of Stata commands (-spur-) implementing these techniques. Our commands exactly...

Persistent link: https://www.econbiz.de/10015339072

Migration and University Education: An Empirical (Macro) Link

Akkoyunlu, Sule; Epstein, Gil S.; Gang, Ira N. - 2022

university education in Turkey and migration to Germany. We implement bounds testing procedures to ascertain the long …

Persistent link: https://www.econbiz.de/10013351840

Long Memory in Turkish Unemployment Rates

Gil-Alaña, Luis A.; Ozdemir, Zeynel Abidin; Tansel, Aysit - 2017

In this paper we have examined the unemployment rate series in Turkey by using long memory models and in particular … employing fractionally integrated techniques. Our results suggest that unemployment in Turkey is highly persistent, with orders …

Persistent link: https://www.econbiz.de/10011744765

The Variability and Volatility of Sleep: An Archetypal Approach

Hamermesh, Daniel S.; Pfann, Gerard A. - 2022

individuals' sleep time exhibits both variability and volatility characterized by stationary autoregressive conditional … young children at home. Volatility is greater among parents with young children, slightly greater among men than women, but … rates. Volatility in sleep spills over onto volatility in other personal activities, with no reverse causation onto sleep …

Persistent link: https://www.econbiz.de/10012882577

A Survey of Hedge and Safe Havens Assets against G-7 Stock Markets before and during the COVID-19 Pandemic

Ozdemir, Huseyin; Ozdemir, Zeynel Abidin - 2021

We propose a new Sharpe ratio index obtained from return and volatility spillover indices to individual assets from the …-7 stock markets by using daily return and volatility data from September 2013 to October 2021. Our empirical findings …

Persistent link: https://www.econbiz.de/10012882464