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The skew logistic distribution

Nadarajah, Saralees - In: AStA Advances in Statistical Analysis 93 (2009) 2, pp. 187-203

Persistent link: https://www.econbiz.de/10005004300

Identification-robust estimation and testing of the zero-beta CAPM

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: The review of economic studies 80 (2013) 3, pp. 892-924

Persistent link: https://www.econbiz.de/10010204244

Regularized Bayesian estimation in generalized threshold regression models

Greb, Friederike; Krivobokova, Tatyana; Munk, Axel; … - 2012 - September 2011, last update Oct. 2012

Estimation of threshold parameters in (generalized) threshold regression models is typically performed by maximizing … either perform poorly or even fail. In particular, if estimation of the regression coeffcients is associated with high … suggest an alternative estimation method employing the empirical Bayes paradigm, which allows to circumvent deficiencies of …

Persistent link: https://www.econbiz.de/10010356528

Change point estimation in panel data without boundary issue

Peštová, Barbora; Pešta, Michal - In: Risks 5 (2017) 1, pp. 1-22

it results in the last observation in situations with no structural breaks. The consistency of the change point estimator … estimation technique, a theoretical utilization for correlation structure estimation, hypothesis testing and bootstrapping in …

Persistent link: https://www.econbiz.de/10011709583

On rank estimation in symmetric matrices: the case of indefinite matrix estimators

Donald, Stephen G.; Fortuna, Natércia; Pipiras, Vladas - Faculdade de Economia, Universidade do Porto - 2005

We focus on the problem of rank estimation in an unknown symmetric matrix based on a symmetric, asymptotically normal … estimation in symmetric matrices is of interest, and also provide a small simulation study and an application. …

Persistent link: https://www.econbiz.de/10005059520

SOME CONVERGENCE RESULTS ON DYNAMIC FACTOR MODELS

CAVICCHIOLI, Maddalena - In: Theoretical and Practical Research in Economic Fields II (2011) 2, pp. 120-131

We review some recent papers on a large dynamic factor model (LDFM) and its applications to structural macroeconomic analysis. Then we prove some convergence results concerning with the stochastic variables which define such a model.

Persistent link: https://www.econbiz.de/10009653229

Consistency of System Identification by Global Total Least Squares

Heij, Heij, C.; Scherrer, W. - Faculteit der Economische Wetenschappen, Erasmus … - 1996

stationary stochastic process. In particular, sufficient conditions for the consistency of GTLS are derived. This means that … a guaranteed stability bound can be given a priori. If this information is not available, then consistency is obtained …

Persistent link: https://www.econbiz.de/10010731906

Structural Macroeconomic Analysis for Dynamic Factor Models

Cavicchioli, Maddalena - In: Rivista di Politica Economica (2011) 4, pp. 39-69

In this work we review some recent papers concerned with large dynamic factor model (LDFM) and its applications to structural macroeconomic analysis. Using this theory, we present a new empirical application on the effects of technology and non technology shocks on hours worked.

Persistent link: https://www.econbiz.de/10010575291

Consistent estimation of the dimensionality in sliced inverse regression

Nkiet, Guy - In: Annals of the Institute of Statistical Mathematics 60 (2008) 2, pp. 257-271

Persistent link: https://www.econbiz.de/10005169172

Consistency of System Identification by Global Total Least Squares

Heij, C.; Scherrer, W. - Erasmus University Rotterdam, Econometric Institute - 1996

Persistent link: https://www.econbiz.de/10008584784