Narrow search
Showing 1 - 10 of 2,635
Cover Image
Estimating Gravity Models of International Trade with Correlated Time-Fixed Regressors: To IV or not IV?
Mitze, Timo - 2010
is to use Instrumental-Variable (IV) estimation in the spirit of Hausman-Taylor (1981) since a standard Fixed Effect … Model (FEM) estimation is not applicable. However, some potential shortcomings of the latter approach recently gave rise to … these findings by estimating gravity type models for German regional export activity within the EU. The results show that …
Persistent link: https://www.econbiz.de/10015222138
Cover Image
Nuevas Herramientas para la Administración del Riesgo Crediticio: El caso de una Cartera Crediticia Ecuatoriana
Maldonado, Diego; Pazmiño, Mariela - 2008
In the present document it is exposed in an abstract way the models of credit portfolioes CreditMetricsTM, KMV, CreditRisk+, Credit Portfolio View in such a way that they could be calibrated and implemented in financial institutions where the quality and quantity of credit information is scanty,...
Persistent link: https://www.econbiz.de/10015218094
Cover Image
Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn
Bušs, Ginters - 2009
Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag (ADL) model is chosen. The results show that a...
Persistent link: https://www.econbiz.de/10015218160
Cover Image
Normal versus Noncentral Chi-square Asymptotics of Misspecified Models
Chun, So Yeon; Alexander, Shapiro - 2009
The noncentral chi-square approximation of the distribution of the likelihood ratio (LR) test statistic is a critical part of the methodology in structural equations modeling (SEM). Recently, it was argued by some authors that in certain situations normal distributions may give a better...
Persistent link: https://www.econbiz.de/10015218186
Cover Image
Normal versus Noncentral Chi-square Asymptotics of Misspecified Models
Chun, So Yeon; Alexander, Shapiro - 2009
The noncentral chi-square approximation of the distribution of the likelihood ratio (LR) test statistic is a critical part of the methodology in structural equations modeling (SEM). Recently, it was argued by some authors that in certain situations normal distributions may give a better...
Persistent link: https://www.econbiz.de/10015218214
Cover Image
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R
Ardia, David - 2009
This paper presents the R package bayesGARCH which provides functions for the Bayesian estimation of the parsimonious … but effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids the …
Persistent link: https://www.econbiz.de/10015218251
Cover Image
Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
Koop, Gary; Korobilis, Dimitris - 2009
Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as time-varying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus,...
Persistent link: https://www.econbiz.de/10015220073
Cover Image
Stochastic simulation as a validation tool for econometric models
Calzolari, Giorgio; Corsi, Paolo - 1977
various steps of model building, like economic structure specification, test of hypothesis and parameter estimation …
Persistent link: https://www.econbiz.de/10015220763
Cover Image
Bayesian estimation of the GARCH(1,1) model with Student-t innovations
Ardia, David; Hoogerheide, Lennart F. - 2009
This paper presents the R package bayesGARCH which provides functions for the Bayesian estimation of the parsimonious … but effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids the …
Persistent link: https://www.econbiz.de/10015225073
Cover Image
Subset hypotheses testing and instrument exclusion in the linear IV regression
Doko Tchatoka, Firmin - 2010
, an infinite number of instruments are available for use in large sample estimation. This is particularly the case with …
Persistent link: https://www.econbiz.de/10015226151