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User-Friendly Parallel Computations with Econometric Examples

Creel, Michael - Society for Computational Economics - SCE - 2005

, bootstrapping, estimation by maximum likelihood and GMM, and kernel regression in parallel on symmetric multiprocessor computers or …

Persistent link: https://www.econbiz.de/10005343007

Nonparametric Likelihood Methods for Estimation and Inference in Moment Condition Models with Weak Instruments

Gospodinov, Nikolay - Society for Computational Economics - SCE - 2001

)) to be the same as that for the infeasible optimal GMM, where the coefficients of the optimal linear combinations do not …

Persistent link: https://www.econbiz.de/10005345583

Testing Normality : A GMM Approach

BONTEMPS, Christian; MEDDAHI, Nour - Département de Sciences Économiques, Université de … - 2002

scalar diusion. Among other examples, Stein equation implies that the mean of Hermite polynomials is zero. The GMM approach … contribution of the paper. The second reason for using GMM is that our tests are also valid for time series. In this case, we adopt …

Persistent link: https://www.econbiz.de/10005353211

Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: tests based on EUR/HUF option-implied densities

Csávás, Csaba - Magyar Nemzeti Bank (MNB) - 2008

In this paper we estimate risk-neutral probability density functions from EUR/HUF currency options using the Malz (1997) method. First, we compare different option-based indicators. We present so-called 'shortcut' indicators, i.e. indicators that can be calculated directly, without the...

Persistent link: https://www.econbiz.de/10005146790

Further results on bias in dynamic unbalanced panel data models with an application to firm R&D investment

Lokshin, Boris - United Nations University, Maastricht Economic and … - 2008

This paper extends the LSDV bias-corrected estimator in [Bun, M., Carree, M.A. 2005. Bias-corrected estimation in dynamic panel data models, Journal of Business and Economic Statistics, 23(2): 200-10] to unbalanced panels and discusses the analytic method of obtaining the solution. Using a Monte...

Persistent link: https://www.econbiz.de/10005150819

Labor and the Market Value of the Firm

Merz, Monika; Yashiv, Eran - Centre for Economic Performance, LSE - 2005

What role does labor play in a firm's market value? We explore this question using a production-based asset pricing model with frictions in the adjustment of both capital and labor. We posit that hiring of labor is akin to investment in capital and that the two interact, with the interaction...

Persistent link: https://www.econbiz.de/10005151028

The New Keynesian Phillips Curve for Austria – An Extension for the Open Economy

Rumler, Fabio - In: Monetary Policy & the Economy (2006) 4, pp. 55-69

Following the empirical breakdown of the traditional Phillips curve relationship, the baseline New Keynesian Phillips Curve (NKPC) theory was formulated in the 1990s. Unlike the traditional Phillips curve, it derives from a theoretical model that is based on microeconomic principles. It...

Persistent link: https://www.econbiz.de/10005260649

Time persistence and spatial spillovers in local government expenditures

Doyle, Joanne M.; Hamilton, Ben - In: Applied economics 56 (2024) 39, pp. 4649-4663

Persistent link: https://www.econbiz.de/10014560383

The nexus between financial inclusion and bank profitability : a dynamic panel approach

Yakubu, Ibrahim Nandom; Musah, Alhassan - In: Journal of sustainable finance & investment 14 (2024) 2, pp. 430-443

Persistent link: https://www.econbiz.de/10014563838

Global value chains and economic growth : a study of resilience during the COVID-19 pandemic

Jangam, Bhushan Praveen; Venkatesh, Hari; Tiwari, … - In: Journal of international development : the journal of … 36 (2024) 4, pp. 2096-2128

Persistent link: https://www.econbiz.de/10014563858