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Matzkin, Rosa L. - In: Handbook of econometrics : volume 6B, (pp. 5307-5368). 2007

to analyze the identification of a model independently of any particular parametric specification, it is useful to … perform a nonparametric analysis of identification. This chapter presents some of the recent results on the identification of … nonparametric econometric models. It considers identification in models that are additive in unobservable random terms and in models …

Persistent link: https://www.econbiz.de/10014024942

Identifying volatility signals from time-varying simultaneous stock market interaction : conference paper

Strohsal, Till; Weber, Enzo - 2013

identification. The model is applied to data of US and further stock markets. Indeed, we find strong nonlinear, volatility …

Persistent link: https://www.econbiz.de/10010339937

Time-varying international stock market interaction and the identification of volatility signals

Strohsal, Till; Weber, Enzo - In: Journal of banking & finance 56 (2015), pp. 28-36

Persistent link: https://www.econbiz.de/10011488567

How robust are SVARs at measuring monetary policy in small open economies?

Carrillo, Julio A.; Elizondo, Rocio - 2015

We study the ability of exclusion and sign restrictions to measure monetary policy shocks in small open economies. Our Monte Carlo experiments show that sign restrictions systematically overshoot inflation responses to the said shock, so we propose to add prior information to limit the number of...

Persistent link: https://www.econbiz.de/10011337610

Identification and estimation of forward-looking behavior : the case of consumer stockpiling

Ching, Andrew; Osborne, Matthew - In: Marketing science 39 (2020) 4, pp. 707-726

Persistent link: https://www.econbiz.de/10012294600

On the validity of exclusion restrictions in the structural multivariate framework : a Monte Carlo simulation

Boufateh, Talel - In: International journal of computational economics and … 9 (2019) 1/2, pp. 116-137

Persistent link: https://www.econbiz.de/10012021576

The dynamic striated Metropolis-Hastings sampler for high-dimensional models

Waggoner, Daniel F.; Wu, Hongwei; Zha, Tao - 2014

Having efficient and accurate samplers for simulating the posterior distribution is crucial for Bayesian analysis. We develop a generic posterior simulator called the "dynamic striated Metropolis-Hastings (DSMH)" sampler. Grounded in the Metropolis-Hastings algorithm, it draws its strengths from...

Persistent link: https://www.econbiz.de/10010434021

Outsourcing and skill-specific employment in a small economy : Austria and the fall of the iron curtain

Egger, Hartmut; Egger, Peter - 2000

We present a model, in which a small industrialised economy outsources part of its production into a small foreign country which is well endowed with low-skilled labour. We analyse under which conditions sinking trade costs stimulate outsourcing activities, thereby increasing the wage dispersion...

Persistent link: https://www.econbiz.de/10009750862

Semiparametric estimation of multiple equation models

Picone, Gabriel A.; Butler, John S. - In: Econometric theory 16 (2000) 4, pp. 551-575

Persistent link: https://www.econbiz.de/10001517337

The interpretation of instrumental variables estimators in simultaneous equations models with an application to the demand for fish

Angrist, Joshua D.; Graddy, Kathryn; Imbens, Guido - In: The review of economic studies 67 (2000) 3, pp. 499-527

Persistent link: https://www.econbiz.de/10001502121