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  • Search: subject_exact:"Estimation theory"
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Year of publication
Subject
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Schätztheorie 16,954 Estimation theory 16,913 Theorie 13,040 Theory 13,038 USA 5,046 United States 5,043 Zeitreihenanalyse 2,939 Time series analysis 2,928 Schätzung 2,517 Estimation 2,499 Regressionsanalyse 1,432 Regression analysis 1,430 Nonparametric statistics 966 Nichtparametrisches Verfahren 965 Volatilität 784 Volatility 783 Prognoseverfahren 757 Forecasting model 755 Statistischer Test 737 Statistical test 727 Panel 720 Panel study 719 Statistical theory 663 Statistische Methodenlehre 663 Monte-Carlo-Simulation 655 Monte Carlo simulation 653 ARCH model 619 ARCH-Modell 619 Deutschland 551 Germany 550 Simulation 546 Börsenkurs 519 Share price 519 Kointegration 491 Cointegration 490 Stochastischer Prozess 465 Stochastic process 464 Ökonometrie 394 Capital income 362 Kapitaleinkommen 362
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Online availability
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Free 2,803 Undetermined 1,259
Type of publication
All
Article 9,739 Book / Working Paper 7,236 Journal 18 Other 1
Type of publication (narrower categories)
All
Article in journal 8,895 Aufsatz in Zeitschrift 8,895 Graue Literatur 5,631 Non-commercial literature 5,631 Arbeitspapier 5,265 Working Paper 5,265 Aufsatz im Buch 754 Book section 754 Hochschulschrift 704 Thesis 662 Collection of articles of several authors 215 Sammelwerk 215 Amtsdruckschrift 187 Government document 187 Bibliografie enthalten 151 Bibliography included 151 Collection of articles written by one author 138 Sammlung 138 Systematic review 90 Übersichtsarbeit 90 Lehrbuch 71 Konferenzschrift 70 Conference proceedings 56 Conference paper 40 Konferenzbeitrag 40 Aufsatzsammlung 32 Forschungsbericht 29 Mehrbändiges Werk 26 Multi-volume publication 26 Commentary 21 Kommentar 21 Festschrift 17 Dissertation u.a. Prüfungsschriften 8 Rezension 8 Bibliografie 7 Handbook 7 Handbuch 7 Case study 5 Fallstudie 5 Nachschlagewerk 5
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Language
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English 15,789 German 721 French 234 Spanish 84 Undetermined 42 Italian 39 Polish 36 Portuguese 18 Hungarian 10 Chinese 8 Russian 7 Danish 5 Finnish 5 Japanese 3 Dutch 3 Norwegian 3 Swedish 2 Turkish 2 Czech 1 Romanian 1
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Author
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Phillips, Peter C. B. 112 Härdle, Wolfgang 98 Pesaran, M. Hashem 78 Gouriéroux, Christian 68 McAleer, Michael 65 Linton, Oliver Bruce 62 Lütkepohl, Helmut 62 Andrews, Donald W. K. 58 Newey, Whitney K. 56 Baltagi, Badi H. 54 Franses, Philip Hans 53 Imbens, Guido 51 Robinson, Peter M. 51 Chernozhukov, Victor 46 Swanson, Norman R. 46 Lechner, Michael 45 Giles, David E. A. 43 Heckman, James J. 43 Koopman, Siem Jan 42 Krämer, Walter 42 White, Halbert 42 Horowitz, Joel 41 Kapetanios, George 41 Wooldridge, Jeffrey M. 40 Chen, Xiaohong 38 Dufour, Jean-Marie 38 Gao, Jiti 38 Li, Qi 38 Lucas, André 38 Teräsvirta, Timo 38 Engle, Robert F. 37 Johansen, Søren 37 Ohtani, Kazuhiro 37 Scaillet, Olivier 37 Shephard, Neil G. 36 Bera, Anil K. 35 Brännäs, Kurt 35 Dette, Holger 34 King, Maxwell L. 34 Monfort, Alain 34
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Institution
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 65 Ekonomiska forskningsinstitutet <Stockholm> 31 Umeå Universitet 26 European University Institute / Department of Economics 25 University of New England / Department of Econometrics 20 Center for Economic Research <Tilburg> 18 Centre for Microdata Methods and Practice <London> 16 Centre for Analytical Finance <Århus> 11 Technische Universität Dresden / Fakultät Wirtschaftswissenschaften 11 Institut für Statistik und Ökonometrie <Basel> 10 Institut für Weltwirtschaft 10 Ludwig-Maximilians-Universität München / Volkswirtschaftliche Fakultät 10 University of Exeter / Department of Economics 10 Centre for Quantitative Economics & Computing 9 Forschungsinstitut zur Zukunft der Arbeit 9 Birkbeck College / Department of Economics 8 Institutionen för Nationalekonomi <Ume°a> 8 Universitetet i Oslo / Økonomisk institutt 8 Federal Reserve System / Division of Research and Statistics 7 Rutgers University / Department of Economics 7 European University Institute / Department of Law 6 HAL 6 Universität Mannheim / Institut für Volkswirtschaft und Statistik 6 Aarhus Universitet / Afdeling for Nationaløkonomi 5 Banque de France / Direction des Etudes Economiques et de la Recherche 5 Chambre de commerce et d'industrie de Paris 5 Rodney L. White Center for Financial Research 5 Australian National University / Faculty of Economics 4 Australian National University / Faculty of Economics and Commerce 4 Columbia University / Department of Economics 4 Department of Agricultural and Resource Economics, University of California-Berkeley 4 Ecole des Hautes Etudes Commerciales <Lausanne> / Département d'Econométrie et d'Economie Politique 4 Escola de Pós-Graduação em Economia <Rio de Janeiro> 4 Federal Reserve Bank of Cleveland 4 Johns Hopkins University / Department of Economics 4 Nationalekonomiska Institutionen <Lund> 4 University of Chicago / Graduate School of Business 4 University of Otago / Commerce Division 4 University of Southampton / Department of Economics 4 Bank für Internationalen Zahlungsausgleich / Währungs- und Wirtschaftsabteilung 3
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Published in...
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Journal of econometrics 797 Economics letters 654 Econometric theory 453 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 338 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 285 Econometric reviews 221 Série des documents de travail / Centre de Recherche en Économie et Statistique 209 Working paper / National Bureau of Economic Research, Inc. 205 Discussion paper / Tinbergen Institute 179 Journal of applied econometrics 173 Oxford bulletin of economics and statistics 156 Journal of quantitative economics : official journal of the Indian Econometric Society 153 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 140 The review of economics and statistics 139 CEMMAP working papers / Centre for Microdata Methods and Practice 129 Discussion paper / Center for Economic Research, Tilburg University 114 Discussion paper series / IZA 110 Applied economics 106 The econometrics journal 99 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 96 Statistical papers 93 Cowles Foundation discussion paper 89 CORE discussion paper : DP 86 Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques 85 Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse 83 Journal of forecasting 79 The review of economic studies 76 CREATES research paper 71 American journal of agricultural economics 70 Annales d'économie et de statistique 68 International economic review 68 Metrika : international journal for theoretical and applied statistics 67 Working paper series 67 SFB 649 discussion paper 66 Discussion papers of interdisciplinary research project 373 65 Discussion paper / Centre for Economic Policy Research 63 International journal of forecasting 61 Technical working paper / National Bureau of Economic Research 61 Applied economics letters 60 Economic modelling 60
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Source
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ECONIS (ZBW) 16,908 USB Cologne (EcoSocSci) 43 RePEc 28 BASE 11 ArchiDok 4
Showing 1 - 50 of 16,994
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Bellman filtering for state-space models
Lange, Rutger-Jan - 2021 - Revision: 8 January 2021
This article presents a new filter for state-space models based on Bellman's dynamic programming principle applied to the posterior mode. The proposed Bellman filter generalises the Kalman filter including its extended and iterated versions, while remaining equally inexpensive computationally....
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Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo; Koopman, Siem Jan - 2020
We consider a general class of observation-driven models with exogenous regressors for double bounded data that are based on the beta distribution. We obtain a stationary and ergodic beta observation-driven process subject to a contraction condition on the stochastic dynamic model equation. We...
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VC : a method for estimating time-varying coefficients in linear models
Schlicht, Ekkehart - 2020
This paper describes a moments estimator for a standard state-space model with coefficients generated by a random walk. A penalized least squares estimation is linked to the GLS (Aitken) estimates of the corresponding linear model with time-invariant parameters. The VC estimates are moments...
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Cointegration and error correction mechanisms for singular stochastic vectors
Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo - In: Econometrics : open access journal 8 (2020) 1/3, pp. 1-23
Large-dimensional dynamic factor models and dynamic stochastic general equilibrium models, both widely used in empirical macroeconomics, deal with singular stochastic vectors, i.e., vectors of dimension r which are driven by a q-dimensional white noise, with q r. The present paper studies...
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Structural modeling of simultaneous discrete choice
Chesher, Andrew; Rosen, Adam M. - 2020
Models of simultaneous discrete choice may be incomplete, delivering multiple values of out- comes at certain values of the latent variables and covariates, and incoherent, delivering no val- ues. Alternative approaches to accommodating incompleteness and incoherence are considered in a unifying...
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The power of (non-)linear shrinking : a review and guide to covariance matrix estimation
Ledoit, Olivier; Wolf, Michael - 2020 - This version: February 2020
Many econometric and data-science applications require a reliable estimate of the covariance matrix, such as Markowitz portfolio selection. When the number of variables is of the same magnitude as the number of observations, this constitutes a difficult estimation problem; the sample covariance...
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A principal component-guided sparse regression approach for the determination of bitcoin returns
Stengos, Thanasēs; Panagiōtidēs, Theodōros; … - 2020
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Estimating dynamic games of oligopolistic competition : an experimental investigation
Salz, Tobias; Vespa, Emanuel - 2020
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Covered interest parity : a stochastic volatility approach to estimate the neutral band
Hernández, Juan Ramón - 2020
The neutral band is the interval where deviations from Covered Interest Parity (CIP) are not considered meaningful arbitrage opportunities. The band is determined by transaction costs and risk associated to arbitrage. Seemingly large deviations from CIP in the foreign exchange markets for the US...
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Estimation and inference in heterogeneous spatial panel data models with a multifactor error structure
Chen, Jia; Shin, Yongcheol; Zheng, Chaowen - 2020 - This version: March, 2020
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Measurement error in minimum wage evaluations using survey data
Bossler, Mario; Westermeier, Christian - 2020
We assess the role of measurement error in minimum wage evaluations when the treatment variable - the bite - is inferred from a survey wage distribution. We conduct Monte Carlo experiments on both simulated and empirical distributions of measurement error derived from a record linkage of survey...
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A study of discontinuity effects in regression inference based on web-augmented mixed mode surveys
Burgard, Jan Pablo; Krause, Joscha; Münnich, Ralf T. - 2020
We consider a situation where the sample design of a survey is modified over time in order to save resources. The former design is a classical large-scale survey. The new design is a mixed mode survey where a smaller classical sample is augmented by records of an online survey. For the online...
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Nonparametric estimation of triangular simultaneous equations models under weak identification
Han, Sukjin - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 161-202
This paper analyzes the problem of weak instruments on identification, estimation, and inference in a simple nonparametric model of a triangular system. The paper derives a necessary and sufficient rank condition for identification, based on which weak identification is established. Then...
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Parsimonious heterogeneous ARCH models for high frequency modeling
Teran, Juan Carlos Ruilova; Morettin, Pedro Alberto - In: Journal of risk and financial management : JRFM 13 (2020) 2/38, pp. 1-19
In this work we study a variant of the GARCH model when we consider the arrival of heterogeneous information in high-frequency data. This model is known as HARCH(n). We modify the HARCH(n) model when taking into consideration some market components that we consider important to the modeling...
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A principal component-guided sparse regression approach for the determination of bitcoin returns
Panagiōtidēs, Theodōros; Stengos, Thanasēs; … - In: Journal of risk and financial management : JRFM 13 (2020) 2/33, pp. 1-10
We examine the significance of fourty-one potential covariates of bitcoin returns for the period 2010-2018 (2872 daily observations). The recently introduced principal component-guided sparse regression is employed. We reveal that economic policy uncertainty and stock market volatility are among...
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A general family of autoregressive conditional duration models applied to high-frequency financial data
Cunha, Danúbia R.; Vila, Roberto; Saulo, Helton; … - In: Journal of risk and financial management : JRFM 13 (2020) 3/45, pp. 1-20
In this paper, we propose a general family of Birnbaum–Saunders autoregressive conditional duration (BS-ACD) models based on generalized Birnbaum-Saunders (GBS) distributions, denoted by GBS-ACD. We further generalize these GBS-ACD models by using a Box-Cox transformation with a shape...
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The econometrics of oil market VAR Models
Kilian, Lutz; Zhou, Xiaoqing - 2020
Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...
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Combining matching and synthetic controls to trade off biases from extrapolation and interpolation
Kellogg, Maxwell; Mogstad, Magne; Pouliot, Guillaume; … - 2020
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A general theory of identification
Basse, Guillaume; Bojinov, Iavor - 2020
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Household balance sheet channels of monetary policy : a back of the envelope calculation for the Euro area
Slacalek, Jirka; Tristani, Oreste; Violante, Giovanni L. - 2020
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In praise of confidence intervals
Romer, David - 2020
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Econometric models of fertility
Miranda, Alfonso; Trivedi, Pravin K. - 2020
This paper reviews some key contributions to econometric analysis of human fertility in the last 20 years, with special focus on discussion of prevailing econometric modeling strategies. We focus on the literature that highlights the role of the key drivers of the birth outcomes, including age...
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Can international market indices estimate tasi’s movements? : the ARIMA model
Assous, Hamzeh F.; Al-Rousan, Nadia; Al-Najjar, Dania; … - In: Journal of open innovation : technology, market, and … 6 (2020) 2/27, pp. 1-17
This study investigates the effectiveness of six of the key international indices in estimating Saudi financial market (TADAWUL) index (TASI) movement. To investigate the relationship between TASI and other variables, six equations were built using two independent variables of time and...
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Estimation of threshold distributions for market participation
Guerini, Mattia; Musso, Patrick; Nesta, Lionel - 2020
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Heteroskedastic proxy vector autoregressions
Lütkepohl, Helmut; Schlaak, Thore - 2020 - This version: June 10, 2020
In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroskedasticity is occasionally allowed for, it is typically taken for granted that the impact effects of the structural shocks are time-invariant despite the change in their...
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Econometric models of fertility
Miranda, Alfonso; Trivedi, Pravin K. - 2020
This paper reviews some key contributions to econometric analysis of human fertility in the last 20 years, with special focus on discussion of prevailing econometric modeling strategies. We focus on the literature that highlights the role of the key drivers of the birth outcomes, including age...
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Nonparametric identification in nonseparable duration models with unobserved heterogeneity
Bonev, Petyo - 2020
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Inference after estimation of breaks
Andrews, Isaiah; Kitagawa, Toru; McCloskey, Adam - 2020
In an important class of econometric problems, researchers select a target parameter by maximizing the Euclidean norm of a data-dependent vector. Examples that can be cast into this frame include threshold regression models with estimated thresholds and structural break models with estimated...
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Minimizing sensitivity to model misspecification
Bonhomme, Stéphane; Weidner, Martin - 2020
We propose a framework for estimation and inference when the model may be misspecified. We rely on a local asymptotic approach where the degree of misspecification is indexed by the sample size. We construct estimators whose mean squared error is minimax in a neighborhood of the reference model,...
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An indirect proof for the asymptotic properties of VARMA model estimators
Mélard, Guy - 2020
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A non-Bayesian approach to scientific inference on treatment-effects
Banerjee, Subrato; Torgler, Benno - 2020
Because the use of p-values in statistical inference often involves the rejection of a hypothesis on the basis of a number that itself assumes the hypothesis to be true, many in the scientific community argue that inference should instead be based on the hypothesis' actual probability...
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Predicting the global minimum variance portfolio
Reh, Laura; Krüger, Fabian; Liesenfeld, Roman - 2020
We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP weights are the population coefficients of a linear regression of a benchmark return on a vector of return differences. This representation enables us to derive a consistent loss...
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Addressing validity and generalizability concerns in field experiments
Riener, Gerhard; Schneider, Sebastian; Wagner, Valentin - 2020
In this paper, we systematically analyze the empirical importance of standard conditions for the validity and generalizability of field experiments: the internal and external overlap and unconfoundedness conditions. We experimentally varied the degree of overlap in disjoint sub-samples from a...
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Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny - 2020
This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed whenthe ratio of volatilities is time-varying....
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Belief distortions and macroeconomic fluctuations
Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - 2020
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Cluster robust covariance matrix estimation in panel quantile regression with individual fixed effects
Yoon, Jungmo; Galvão Júnior, Antônio Fialho - In: Quantitative economics : QE ; journal of the … 11 (2020) 2, pp. 579-608
This study develops cluster robust inference methods for panel quantile regression (QR) models with individual fixed effects, allowing for temporal correlation within each individual. The conventional QR standard errors can seriously underestimate the uncertainty of estimators and, therefore,...
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Finite-sample corrected inference for two-step GMM in time series
Hwang, Jungbin; Valdés, Gonzalo - 2020
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Low frequency robust cointegrated regression in the presence of a near-unity regressor
Hwang, Jungbin; Valdés, Gonzalo - 2020
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Estimation of volatility functions in jump diffusions using truncated bipower increments
Kim, Jihyun; Park, Joon Y.; Wang, Bin - 2020
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Volatility regressions with fat tails
Kim, Jihyun; Meddahi, Nour - 2020
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Spatial simultaneous autoregressive models for compositional data : application to land use
Thomas-Agnan, Christine; Laurent, Thibault; Ruiz-Gazen, Anne - 2020
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What do we learn from cross-regional empirical estimates in macroeconomics?
Guren, Adam; McKay, Alisdair; Nakamura, Emi; Jón Steinsson - 2020
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Microeconometrics with partial identification
Molinari, Francesca - 2020
This chapter reviews the microeconometrics literature on partial identification, focusing on the developments of the last thirty years. The topics presented illustrate that the available data combined with credible maintained assumptions may yield much information about a parameter of interest,...
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Assessing the spread of the novel coronavirus in the absence of mass testing
Dimdore-Miles, Oscar; Miles, David - In: Covid economics : vetted and real-time papers (2020) 16, pp. 161-176
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Random-coefficients logit demand estimation with zero-valued market shares
Dubé, Jean-Pierre H.; Hortaçsu, Ali; Joo, Joonhwi - 2020
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A model of scientific communication
Andrews, Isaiah; Shapiro, Jesse - 2020
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Online estimation of DSGE models
Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - 2020
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Arbitrage pricing, weak beta, strong beta : identification-robust and simultaneous inference
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2020
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Structural vector autoregressive models with more shocks than variables identified via heteroskedasticity
Lütkepohl, Helmut - 2020
In conventional structural vector autoregressive (VAR) models it is assumed that there are at most as many structural shocks as there are variables in the model. It is pointed out that heteroskedasticity can be used to identify more shocks than variables. However, even if there is...
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Random utility models with ordered types and domains
Apesteguia, Jose; Ballester, Miguel A. - 2020
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