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Estimation and inference in factor copula models with exogenous covariates

Mayer, Alexander; Wied, Dominik - In: Journal of econometrics 235 (2023) 2, pp. 1500-1521

Persistent link: https://www.econbiz.de/10014471408

Correlation or causation? : the sorry state of inference in empirical modeling

Dong, Xiaojing; Heineke, John - In: Journal of investment management : JOIM 14 (2016) 3, pp. 62-73

Persistent link: https://www.econbiz.de/10011691119

Inference with Correlated Clusters

Powell, David - 2017

This paper introduces a method which permits valid inference given a finite number of heterogeneous, correlated clusters. Many inference methods assume clusters are asymptotically independent or model dependence across clusters as a function of a distance metric. With panel data, these...

Persistent link: https://www.econbiz.de/10012969069

Inference in Approximately Sparse Correlated Random Effects Probit Models

Wooldridge, Jeff - 2017

We propose a simple procedure based on an existing “debiased” l_{1}-regularized method for inference of the average partial effects (APEs) in approximately sparse probit and fractional probit models with panel data, where the number of time periods is fixed and small relative to the number...

Persistent link: https://www.econbiz.de/10012970017

Estimating Correlated Valuations for Data-Driven Bundle Pricing with Copula Inference

Letham, Benjamin - 2015

or normal) or restrictive dependence structure (e.g., independence or perfect correlation). We also extend the method to …

Persistent link: https://www.econbiz.de/10013024105

Robust Inference for Misspecified Models Conditional on Covariates

Abadie, Alberto - 2011

Following the work by White (1980ab; 1982) it is common in empirical work in economics to report standard errors that are robust against general misspecification. In a regression setting these standard errors are valid for the parameter that in the population minimizes the squared difference between...

Persistent link: https://www.econbiz.de/10013120210

Long Run Canonical Correlations : Estimation and Inference

Dovonon, Prosper - 2009

This paper proposes methods for both the consistent estimation of so-called long run canonical correlations (LRCCs) and also testing the null hypothesis that a subset of LRCCs are zero. Two test statistics are proposed and their limiting distribution is derived under the null hypothesis. It is...

Persistent link: https://www.econbiz.de/10013155084

The Non-Misleading Value of Inferred Correlation : An Introduction to the Cointelation Model

Mahdavi-Damghani, Babak - 2014

This paper comes together with growing evidence for power law-type scaling of correlation with time, a concept rooted … introduced via a statistical test, which uses measured correlation in different time gaps. We also provide an approximation of … the expectation in the change in measured correlation via these various time steps and use our findings in order to …

Persistent link: https://www.econbiz.de/10013054817

Inference for rank-rank regressions

Četverikov, Denis N.; Wilhelm, Daniel - 2023

Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility, for instance in regressions of a child's income rank on their parent's income rank. In this paper, we first point out that commonly used variance estimators such as the homoskedastic or robust...

Persistent link: https://www.econbiz.de/10014416045

Nonparametric causal inference with functional covariates

Kurisu, Daisuke; Otsu, Taisuke; Xu, Mengshan - 2023

Persistent link: https://www.econbiz.de/10014430124