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Factor models can cope with many variables without running into scarce degrees of freedom problems often faced in a regression-based analysis. In this article we review recent work on dynamic factor models that have become popular in macroeconomic policy analysis and forecasting. By means of an...
Persistent link: https://www.econbiz.de/10010295783
The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical significance in the data on the single asset level. By...
Persistent link: https://www.econbiz.de/10010295926
The existing empirical literature on Taylor-type interest rate rules has failed to achieve a robust consensus. Indeed, the relatively common finding that the Taylor principle does not hold has fueled a degree of controversy in the field. We attribute these mixed estimation results to a raft of...
Persistent link: https://www.econbiz.de/10010460499
This paper extends previous studies in modeling and estimating energy demand functions for both gasoline and kerosene petroleum products for Nigeria from 1977 to 2008. In contrast to earlier studies on Nigeria and other developing countries, this study specifically tests for the possibility of...
Persistent link: https://www.econbiz.de/10010289392
This paper develops the idea of renewal time sampling, a novel sampling scheme constructed from stopping times of semimartingales. Based on this new sampling scheme we propose a class of volatility estimators named renewal based volatility estimators. In this paper we show that: (1) The spot...
Persistent link: https://www.econbiz.de/10014116287
In this paper, we discuss how to best exploit the information contained in spells that are in progress when an observation period begins, that is, left-censored and left-truncated duration data. We provide a survey of censoring and truncation mechanisms in event history models. We describe some...
Persistent link: https://www.econbiz.de/10014119033
The majority of work in mortality modeling involves factor-based approaches, with little use of information on the determinants and interpretable risk factors of mortality. At the same time, in the demographic community, there has been a lack of research attention towards the study of mortality...
Persistent link: https://www.econbiz.de/10014103582
The paper describes the specification, estimation, and testing of an unrestricted structural econometric model design to explain and forecast individual returns of securities listed on the Brazilian stock market. The model's explanatory variables include macroeconomic, fundamental and...
Persistent link: https://www.econbiz.de/10014112120
This paper proposes a new method for estimating random coefficients logit models using aggregate data. The method is applicable for models with discrete-type heterogeneity in consumer tastes when additional data on the total sales for each consumer type are available. The type-level data do not...
Persistent link: https://www.econbiz.de/10013250541
Several studies on heritability in twins aim at understanding the different contribution of environmental and genetic factors to specific traits. Considering the National Merit Twin Study, our purpose is to correctly analyse the influence of the socioeconomic status on the relationship between...
Persistent link: https://www.econbiz.de/10012969727