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Caracterización de los Cambios en la Desigualdad y la Pobreza en Argentina Haciendo Uso de Técnicas de Descomposiciones Microeconometricas (1992-2001)

Bustelo, Monserrat - 2004

La pobreza y la desigualdad de los ingresos laborales y familiares en Argentina han experimentado un sostenido incremento a lo largo de la última década. Como es sabido el ingreso laboral es el producto entre el salario y las horas trabajadas. Si bien importantes resultados han surgido al...

Persistent link: https://www.econbiz.de/10011941068

Caracterización de los Cambios en la Desigualdad y la Pobreza en Argentina Haciendo Uso de Técnicas de Descomposiciones Microeconometricas (1992-2001)

Bustelo, Monserrat - Facultad de Ciencias Económicas, Universidad Nacional … - 2004

Persistent link: https://www.econbiz.de/10005022023

Inference for extremal conditional quantile models, with an application to market and birthweight risks

Chernozhukov, Victor; Fernández-Val, Iván - 2009

Quantile regression is an increasingly important empirical tool in economics and other sciences for analyzing the impact of a set of regressors on the conditional distribution of an outcome. Extremal quantile regression, or quantile regression applied to the tails, is of interest in many...

Persistent link: https://www.econbiz.de/10010288297

Quantile regression with sample selection: Estimating women's return to education in the U.S.

Buchinsky, Moshe - In: Empirical Economics 26 (2001) 1, pp. 87-113

single (linear) index selection equation uses Ichimura's (1993) semiparametric procedure. To correct for an unknown form of a … sample selection bias in the quantile regression, the second step incorporates a nonparametric method, using an idea similar … the various quantiles, especially for the younger cohorts and age groups; and (e) the semiparametric estimates of the …

Persistent link: https://www.econbiz.de/10005382195

A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies

Hamidi, Benjamin; Maillet, Bertrand; Prigent, Jean-Luc - Institut de Préparation à l'Administration et à la … - 2014

Among the most popular techniques for portfolio insurance strategies that are used nowadays, the so-called \Constant Proportion Portfolio In- surance" (CPPI) allocation simply consists in reallocating the risky part of a portfolio according to the market conditions. This general method crucially...

Persistent link: https://www.econbiz.de/10011161633

Comparing Nonparametric Regression Quantiles

Huse, Cristian - Econometric Society - 2004

This paper investigates how conditional quantiles of a given distribution relate to each other. Given two conditional quantiles estimated nonparametrically, we investigate their relation by linking them through a parametric transformation. Asymptotic normality of the associated parameter vector...

Persistent link: https://www.econbiz.de/10005699609

Headlights on tobacco road to low birthweight outcomes - Evidence from a battery of quantile regression estimators and a heterogeneous panelCreation-Date: 20080508

Bache, Stefan Holst; Dahl, Christian M.; Tang, Johannes - School of Economics and Management, University of Aarhus

Low birthweight outcomes are associated with large social and economic costs, and therefore the possible determinants of low birthweight are of great interest. One such determinant which has received considerable attention is maternal smoking. From an economic perspective this is in part due to...

Persistent link: https://www.econbiz.de/10005440073

Risk-parameter estimation in volatility models

Francq, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2012

This paper introduces the concept of risk parameter in conditional volatility models of the form $\epsilon_t=\sigma_t(\theta_0)\eta_t$ and develops statistical procedures to estimate this parameter. For a given risk measure $r$, the risk parameter is expressed as a function of the volatility...

Persistent link: https://www.econbiz.de/10011108575

Bias Transmission and Variance Reduction in Two-Stage Quantile Regression

Kim, Tae-Hwan; Muller, Christophe - 2012

In this paper, we propose a variance reduction method for quantile regressions with endogeneity problems. First, we derive the asymptotic distribution of two-stage quantile estimators based on the fitted-value approach under very general conditions on both error terms and exogenous variables....

Persistent link: https://www.econbiz.de/10010900292

Stock returns and risk: Evidence from quantile

Chiang, Thomas C.; Li, Jiandong - In: Journal of Risk and Financial Management 5 (2012) 1, pp. 20-58

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...

Persistent link: https://www.econbiz.de/10011843232