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Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications
Junker, Markus; Szimayer, Alexander; Wagner, Niklas - EconWPA - 2004
This paper documents nonlinear cross-sectional dependence in the term structure of U.S. Treasury yields and points out … specifies the yield curve dynamics. We then apply a broad class of copula functions for modeling dependence in factors spanning … the yield curve. Our sample of monthly yields in the 1982 to 2001 period provides evidence of upper tail dependence in …
Persistent link: https://www.econbiz.de/10005556362
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Confidence Statements for Efficiency Estimates from Stochastic Frontier Models
Horrace, William C.; Schmidt, Peter - EconWPA - 2002
This paper is an empirical study of the uncertainty associated with estimates from stochastic frontier models. We show how to construct confidence intervals for estimates of technical efficiency levels under different sets of assumptions ranging from the very strong to the relatively weak. We...
Persistent link: https://www.econbiz.de/10005062533
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Parametric inference for index functionals
Guerrier, Stéphane; Orso, Samuel; Victoria-Feser, Maria-Pia - In: Econometrics 6 (2018) 2, pp. 1-11
In this paper, we study the finite sample accuracy of confidence intervals for index functional built via parametric bootstrap, in the case of inequality indices. To estimate the parameters of the assumed parametric data generating distribution, we propose a Generalized Method of Moment...
Persistent link: https://www.econbiz.de/10011995222
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A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise
Zu, Yang - In: Econometrics 3 (2015) 3, pp. 561-576
This paper studies the asymptotic normality for the kernel deconvolution estimator when the noise distribution is logarithmic chi-square; both identical and independently distributed observations and strong mixing observations are considered. The dependent case of the result is applied to obtain...
Persistent link: https://www.econbiz.de/10011755293
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Pair-copula constructions for financial applications: A review
Aas, Kjersti - In: Econometrics 4 (2016) 4, pp. 1-15
applications. Using a PCC, multivariate data that exhibit complex patterns of dependence can be modeled using bivariate copulae as …
Persistent link: https://www.econbiz.de/10011755354
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Lasso maximum likelihood estimation of parametric models with singular information matrices
Jin, Fei; Lee, Lung-Fei - In: Econometrics 6 (2018) 1, pp. 1-24
An information matrix of a parametric model being singular at a certain true value of a parameter vector is irregular. The maximum likelihood estimator in the irregular case usually has a rate of convergence slower than the Ín-rate in a regular case. We propose to estimate such models by the...
Persistent link: https://www.econbiz.de/10011995209
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Generalized information matrix tests for detecting model misspecification
Golden, Richard M.; Henley, Steven S.; White, Halbert; … - In: Econometrics 4 (2016) 4, pp. 1-24
Generalized Information Matrix Tests (GIMTs) have recently been used for detecting the presence of misspecification in regression models in both randomized controlled trials and observational studies. In this paper, a unified GIMT framework is developed for the purpose of identifying,...
Persistent link: https://www.econbiz.de/10011755349
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Monte Carlo inference on two-sided matching models
Kim, Taehoon; Schwartz, Jacob; Song, Kyungchul; Whang, … - In: Econometrics 7 (2019) 1, pp. 1-15
sides in a complex way, and creates a complicated form of cross-sectional dependence across observed matches. When we assume …. Being a finite sample inference method, it does not require independence or local dependence among the observations which …
Persistent link: https://www.econbiz.de/10012696231
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On the asymptotic distribution of ridge regression estimators using training and test samples
Sengupta, Nandana; Sowell, Fallaw - In: Econometrics 8 (2020) 4, pp. 1-25
The asymptotic distribution of the linear instrumental variables (IV) estimator with empirically selected ridge regression penalty is characterized. The regularization tuning parameter is selected by splitting the observed data into training and test samples and becomes an estimated parameter...
Persistent link: https://www.econbiz.de/10012696302
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ARGUING A CASE FOR THE COBB-DOUGLAS PRODUCTION FUNCTION
Murthy, K V Bhanu - EconWPA - 2004
The paper argues that Cobb-Douglas (CD) production function merits use for analysing the production process, not because it should be looked upon as a simple tool which can be handled easily or as a crude remedy for estimation, but because of the advantages it possesses. These advantages are due...
Persistent link: https://www.econbiz.de/10005407915