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This paper discusses two alternative two-part models for fractional response variables that are defined as ratios of integers. The first two-part model assumes a Binomial distribution and known group size. It nests the one-part fractional response model proposed by Papke and Wooldridge (1996)...
Persistent link: https://www.econbiz.de/10010417183
Generalized Information Matrix Tests (GIMTs) have recently been used for detecting the presence of misspecification in regression models in both randomized controlled trials and observational studies. In this paper, a unified GIMT framework is developed for the purpose of identifying,...
Persistent link: https://www.econbiz.de/10011650480
In this paper we discuss several aspects of simulation based Bayesian econometric inference. We start at an elementary level on basic concepts of Bayesian analysis; evaluating integrals by simulation methods is a crucial ingredient in Bayesian inference. Next, the most popular and well-known...
Persistent link: https://www.econbiz.de/10012729891
the bias. The coefficients of strictly exogenous, continuous regressors remain unaffected by the endogeneity bias. The … size of the endogeneity bias in our model is very small compared to the size of the heterogeneity bias, which occurs when …
Persistent link: https://www.econbiz.de/10005011860
the bias. The coefficients of strictly exogenous, continuous regressors remain unaffected by the endogeneity bias. The … size of the endogeneity bias in our model is very small compared to the size of the heterogeneity bias, which occurs when …
Persistent link: https://www.econbiz.de/10010552262
The identification of average causal effects of a treatment in observational studies is typically based either on the unconfoundedness assumption or on the availability of an instrument. When available, instruments may also be used to test for the unconfoundedness assumption (exogeneity of the...
Persistent link: https://www.econbiz.de/10010284025
Market risk management is one of the key factors to success in managing financial institutions. Underestimated risk can have desastrous consequences for individual companies and even whole economies, not least as could be seen during the recent crises. Overestimated risk, on the other side, may...
Persistent link: https://www.econbiz.de/10010309829
We introduce new stylometry tools based on the sliced conditional compression complexity of literary texts which are inspired by the nearly optimal application of the incomputable Kolmogorov conditional complexity (and presumably approximates it). Whereas other stylometry tools can occasionally...
Persistent link: https://www.econbiz.de/10010277239
This paper presents results concerning the performance of both single equation and system panel cointegration tests and estimators. The study considers the tests developed in Pedroni (1999, 2004), Westerlund (2005), Larsson, Lyhagen, and Löthgren (2001) and Breitung (2005); and the estimators...
Persistent link: https://www.econbiz.de/10010293988
In this paper we present finite T mean and variance correction factors and corresponding response surface regressions for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and Breitung (2005). For the single equation tests we consider up...
Persistent link: https://www.econbiz.de/10010294038