Similar Search Results

Distribution regression in duration analysis : an application to unemployment spells

Delgado, Miguel A.; García, Andrés; Sant'Anna, Pedro H. C. - In: The econometrics journal 25 (2022) 3, pp. 675-698

Persistent link: https://www.econbiz.de/10013399857

Controlling the Danger of False Discoveries in Estimating Multiple Treatment Effects

Wunderli, Dan - 2012

I expose the risk of false discoveries in the context of multiple treatment effects. A false discovery is a nonexistent effect that is falsely labeled as statistically significant by its individual t-value. Labeling nonexistent effects as statistically significant has wide-ranging academic and...

Persistent link: https://www.econbiz.de/10014171647

Youth unemployment in Europe : persistence and macroeconomic determinants

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2014

This paper investigates the statistical features and the macroeconomic determinants of youth unemployment in a number of European countries. First, it explores its short and long memory properties by estimating both autoregressive and fractional integration models. This type of analysis sheds...

Persistent link: https://www.econbiz.de/10010256726

Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration

Yang, Lijian - 2017

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …

Persistent link: https://www.econbiz.de/10012966219

Estimation and inference for varying-coeffcient models with nonstationary regressors using penalized splines

Chen, Haiqiang; Fang, Ying; Li, Yingxing - 2013

This paper considers estimation and inference for varying-coefficient models with nonstationary regressors. We propose … a nonparametric estimation method using penalized splines, which achieves the same optimal convergence rate as kernel …

Persistent link: https://www.econbiz.de/10009767261

Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018

nonstationary. We also establish the estimation theory and asymptotic properties for these models in the short horizon and long …

Persistent link: https://www.econbiz.de/10011775136

Testing the Permanent Income Hypothesis Using Unit Root Quantile Autoregression Tests

Gomes, Fábio A. - 2010

In this paper we use the covariate quantile autoregression approach to test whether consumption is a constant unit root process, as predicted by the permanent income hypothesis (PIH). We find evidence that at low quantiles of the conditional quantile function of consumption the persistence of...

Persistent link: https://www.econbiz.de/10013136961

Nonparametric Impulse Response Analysis in Changing Macroeconomic Conditions

Nyberg, Henri; Lanne, Markku - 2021

We introduce a simple nonparametric approach to compute impulse response functions. We first search for clusters of recurrent patterns of observations resembling two sets of given initial conditions, one of which contains the impact effect of the structural shock of interest. Then, to trace out...

Persistent link: https://www.econbiz.de/10013216683

A comment on: "Autoregressive conditional duration : a new model for irregularly spaced transaction data"

Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - In: Econometrica : journal of the Econometric Society, an … 93 (2025) 2, pp. 719-729

Persistent link: https://www.econbiz.de/10015401165

Identification of structural VAR models via independent component analysis: a performance evaluation study

Moneta, Alessio; Pallante, Gianluca - 2020

identification, and compare their performance in recovering structural coefficients. Moreover, after suggesting an algorithm that …

Persistent link: https://www.econbiz.de/10012292379