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On Distributions of Ratios
Broda, Simon A.; Kan, Raymond - 2014
A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...
Persistent link: https://www.econbiz.de/10010328339
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Trade-FDI linkages in a system of gravity equations for German regional data
Mitze, Timo (contributor); Alecke, Björn (contributor);  … - 2009
We analyse the nature of German trade-FDI linkages within the EU27 based on a simultaneous equation gravity approach for imports, exports, in- and outward FDI stocks. We adopt both a Hausman-Taylor (1981) IV approach (3SLS-GMM) and rival non-IV estimation (the system extension to the Fixed...
Persistent link: https://www.econbiz.de/10003811780
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A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010
representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on dependence structures …
Persistent link: https://www.econbiz.de/10010325845
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Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
Allen, David E.; Singh, Abhay K.; Powell, Robert J.; … - 2013
copulabased non linear quantile regression known as copula quantile regression (CQR).The discussion of the properties of the …
Persistent link: https://www.econbiz.de/10010326227
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Mixed Density based Copula Likelihood
Azam, Kazim; Lucas, Andre - 2015
We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian … methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a … using data from the 2013 Household Finance Survey, we show how the copula dependence between income (continuous) and …
Persistent link: https://www.econbiz.de/10010491389
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Daily Market News Sentiment and Stock Prices
Allen, David E.; McAleer, Michael; Singh, Abhay K. - 2015
In recent years there has been a tremendous growth in the influx of news related to traded assets in international financial markets. This financial news is now available via print media but also through real-time online sources such as internet news and social media sources. The increase in the...
Persistent link: https://www.econbiz.de/10011403551
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Social Experiments and Instrumental Variables with Duration Outcomes
Abbring, Jaap H.; van den Berg, Gerard J. - 2005
This paper examines the empirical analysis of treatment effects on duration outcomes from data that contain instrumental variation. We focus on social experiments in which an intention to treat is randomized and compliance may be imperfect. We distinguish between cases where the treatment starts...
Persistent link: https://www.econbiz.de/10010325158
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Measuring Externalities in Program Evaluation
Janssens, Wendy - 2005
Impact evaluations of development programmes usually focus on a comparison of participants with a control group. However, if the programme generates externalities for non-participants such an approach will capture only part of the programme’s impact. Based on a unique large-scale quantitative...
Persistent link: https://www.econbiz.de/10010325173
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The Effect of the Theo van Gogh Murder on House Prices in Amsterdam
Gautier, Pieter A.; Siegmann, Arjen; van Vuuren, Aico - 2007
This paper estimates the impact of the murder of film maker Theo vanGogh on November 2, 2004, on listed house prices in Amsterdam with aunique dataset. We use an hedonic-market approach to show that gen-eral attitudes towards Muslim minorities were negatively affected by themurder. Specifically,...
Persistent link: https://www.econbiz.de/10010325456
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The Event-History Approach to Program Evaluation
Abbring, Jaap H. - 2006
This paper studies the event-history approach to microeconometric programevaluation. We present a mixed semi-Markov event-history model, discussits application to program evaluation, and analyze its empirical content.The results of this paper provide fundamental insights in what can be...
Persistent link: https://www.econbiz.de/10010325457