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A New Method for Detecting Neural Interconnectivity

Utikal, Klaus J. - University of Bonn, Germany - 1990

We propose a class of counting process models for analysing firing times of an ensemble of neurons. We allow the counting process intensities to be unspecified, unknown functions of the times passed since the most recent firings. Under this assumption we derive a class of statistics with their...

Persistent link: https://www.econbiz.de/10004968124

Threshold Regression with Endogeneity

Yu, Ping; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2014

This paper studies estimation and specification testing in threshold regression with endogeneity. Three key results … randomness in the regressors. Third, instrumentation plays different roles in the estimation of the system parameters, delivering … finite sample critical values for both tests. Simulation studies corroborate the theory and the asymptotics. An empirical …

Persistent link: https://www.econbiz.de/10011096433

Sieve Instrumental Variable Quantile Regression Estimation of Functional Coefficient Models

Liangjun, Su; Hoshino, Tadao - School of Economics, Singapore Management University - 2015

In this paper, we consider sieve instrumental variable quantile regression (IVQR) estimation of functional coefficient … and test statistic. As an empirical illustration of our theoretical results, we present the estimation of quantile Engel …

Persistent link: https://www.econbiz.de/10011164315

A Method of Moments Estimator of Tail Dependence

Einmahl, John; Krajina, A.; Segers, J.J.J. - Tilburg University, Center for Economic Research - 2007

AMS 2000 subject classifications: 60G70, 62H12, 62H15, 62F05, 62F12, 62F25.

Persistent link: https://www.econbiz.de/10011091710

Gene selection for survival data under dependent censoring: a copula-based approach

Emura, Takeshi; Chen, Yi-Hau - Volkswirtschaftliche Fakultät, … - 2014

Dependent censoring arises in biomedical studies when the survival outcome of interest is censored by competing risks. In survival data with microarray gene expressions, gene selection based on the univariate Cox regression analyses has been used extensively in medical research, which however,...

Persistent link: https://www.econbiz.de/10011112404

A sovereign risk index for the Eurozone based on stochastic dominance

Agliardi, Elettra; Pinar, Mehmet; Stengos, Thanasis - In: Finance Research Letters 11 (2014) 4, pp. 375-384

We propose a new method to assess sovereign risk in Eurozone countries using an approach that relies on consistent tests for stochastic dominance efficiency. The test statistics and the estimators are computed using mixed integer programming methods. Our analysis is based on macroeconomic...

Persistent link: https://www.econbiz.de/10011118176

A Permutation Test and Estimation Alternatives for the Regression Kink Design

Ganong, Peter; Jäger, Simon - Institute for the Study of Labor (IZA) - 2014

The Regression Kink (RK) design is an increasingly popular empirical method, with more than 20 studies circulated using RK in the last 5 years since the initial circulation of Card, Lee, Pei and Weber (2012). We document empirically that these estimates, which typically use local linear...

Persistent link: https://www.econbiz.de/10010790521

Consistent estimation with many moment inequalities

Menzel, Konrad - In: Journal of Econometrics 182 (2014) 2, pp. 329-350

In this paper, we consider estimation of the identified set when the number of moment inequalities is large relative to … of unconditional moment inequalities. We then develop more specific results for set estimation subject to conditional …

Persistent link: https://www.econbiz.de/10010906795

Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte

Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - Frankfurt School of Finance and Management - 2014

estimation of the volatility in the market plays a key role in quantifying market risk exposure correctly. This paper presents … time-varying volatility. In this paper, the estimation of conditional volatility is applied to Value at Risk measurement …. Univariate as well as multivariate concepts are presented for the estimation of the conditional volatility. …

Persistent link: https://www.econbiz.de/10010985133

Testing for non-nested conditional moment restrictions using unconditional empirical likelihood

Otsu, Taisuke; Seo, Myung Hwan; Whang, Yoon-Jae - In: Journal of Econometrics 167 (2012) 2, pp. 370-382

We propose non-nested hypothesis tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional...

Persistent link: https://www.econbiz.de/10011052221