Showing 1 - 10 of 43
This paper is a contribution to the memory of A.W.H. Phillips, drawing on the authors' personal recollections of Bill as a teacher and colleague, and also presenting links between Bill's research in econometrics and some more recent econometrics literature. Particular topics mentioned are :...
Persistent link: https://www.econbiz.de/10005816456
In this paper we present a meta-heuristic, known as a genetic algorithm, in order to solve the problems of (weigthed) independent set (IS), vertex covering (VC), set packing (SP) and maximum clique (MC).
Persistent link: https://www.econbiz.de/10005478338
We first analyse the general problem of admissible conditioning and next consider the evaluation of the loss of information when a non-admissible conditioning is used as an approximation of the exact posterior distribution. Considering the case of Fisher test, we evaluate from a Bayesian point...
Persistent link: https://www.econbiz.de/10005478975
When a model is nonlinear, boostrap testing can be expensive because of the need to perform at least one nonlinear estimation for every bootstrap sample. We show that it may be possible to reduce computational costs by performing only a fixed, small number of Newton steps or artificial...
Persistent link: https://www.econbiz.de/10005479052
In this paper we are interested in inference based on heteroskedasticity consistent covariance matrix estimators, for which the appropriate bootstrap is a version of the wild bootstrap. Simulation results, obtained by a new very efficient methos, show that all wild bootstraps tests exhibit...
Persistent link: https://www.econbiz.de/10005479073
A new predictor-corrector interior point algorithm for solving monotone linear complementarity problems (LCP) is proposed, and it is shown to be superlinearly convergent with at least order 1.5, even if the LCP has no strictly complementary solution. Unlike Mizuno's recent algorithm, the fast...
Persistent link: https://www.econbiz.de/10005474876
The factor GARCH model of Engle (1987) and the latent factor ARCH model of Diebold and Nerlove (1989) have become rather popular multivariate volatility parameterizations due to their parsimony, and the commonality in volatility movements across different financial series. Nevertheless, there is...
Persistent link: https://www.econbiz.de/10005475106
A hallmark of modern labour economics is the close interplay between the development of theory, data sources and econometric testing. The evolution of the economic analysis of unemployment insurance (UI) provides a good illustration. The economics of UI has been a very active research area over...
Persistent link: https://www.econbiz.de/10004967993
The J test for nonnested regression models often works badly as an asypmtotic test, but it generally works very well when bootstrapped. We provide a theroretical analysis of the J test which explains both of these phenomena. We also propose a modified version of the test which works even better...
Persistent link: https://www.econbiz.de/10005656779
The topic of economic growth and convergence of countries has been an active topic in the 1990's. This paper investigates the question of whether there is any empirical evidence that countries are converging, with respect to their relative incomes, over time. To test for convergence, the...
Persistent link: https://www.econbiz.de/10005664117