发布求助
文献互助 智能选刊 最新文献

Econometrics: Econometric & Statistical Methods - General eJournal最新文献

筛选
英文 中文
Learning About Ambiguous Long-Term Prospects 学习模棱两可的长期前景
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-12-07 DOI: 10.2139/ssrn.3490231
Hongseok Choi
{"title":"Learning About Ambiguous Long-Term Prospects","authors":"Hongseok Choi","doi":"10.2139/ssrn.3490231","DOIUrl":"https://doi.org/10.2139/ssrn.3490231","url":null,"abstract":"This paper investigates whether and when ambiguity afflicting the long-term prospects of a market fades away in a nonexchangeable environment (time-varying short-term prospects). Two types of ambiguity are considered: static (multiple priors) and dynamic (multiple laws of motion). In the absence of dynamic ambiguity, likelihood-based learning resolves the static ambiguity. In the presence of dynamic ambiguity, on the other hand, likelihood-based learning fails. In this case, the static ambiguity fades away if the agent incorporates into the objective criteria (likelihood) her subjective criteria (penalty proportional to the Kullback-Leibler divergence).","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"63 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77422228","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Numerical Techniques of Nonlinear Regression Model Estimation 非线性回归模型估计的数值技术
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-12-04 DOI: 10.1063/1.5135257
Dr Ranadheer Donthi
{"title":"Numerical Techniques of Nonlinear Regression Model Estimation","authors":"Dr Ranadheer Donthi","doi":"10.1063/1.5135257","DOIUrl":"https://doi.org/10.1063/1.5135257","url":null,"abstract":"The literature on numerical methods for fitting nonlinear regression model has grown enormously in the fast five decades. An important phase in nonlinear regression problems is the exploration of the relation between the independent and dependent variables. A largely unexplored area of research in nonlinear regression models concerns the finite sample properties of nonlinear parameters. The main object of this research study is to propose some nonlinear methods of estimation of nonlinear regression models, namely Newton-Raphson method, Gauss-Newton method, Method of scoring, Quadratic Hill-Climbing and Conjugate Gradient methods. In 2005, G.E. Hovland et al (see [5]). In his research article, presented a parameter estimation of physical time-varying parameters for combined-cycle power plant models. B. Mahaboob et al. (see [6]), in their research paper, proposed some computational methods based on numerical analysis to estimate the parameters of nonlinear regression model. S.J. Juliear et al. (see [7]), in their research paper, developed the method of unscented transformation (UT) to propagate mean and covariance information through nonlinear transformations.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"2015 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88256766","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 12
Clustering and External Validity in Randomized Controlled Trials 随机对照试验的聚类和外部效度
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-12-02 DOI: 10.2139/ssrn.3630707
Antoine Deeb, Clément de Chaisemartin
{"title":"Clustering and External Validity in Randomized Controlled Trials","authors":"Antoine Deeb, Clément de Chaisemartin","doi":"10.2139/ssrn.3630707","DOIUrl":"https://doi.org/10.2139/ssrn.3630707","url":null,"abstract":"In the literature studying randomized controlled trials (RCTs), it is often assumed that the potential outcomes of units participating in the experiment are deterministic. This assumption is unlikely to hold, as stochastic shocks may take place during the experiment. In this paper, we consider the case of an RCT with individual-level treatment assignment, and we allow for individual-level and cluster-level (e.g. village-level) shocks to affect the potential outcomes. We show that one can draw inference on two estimands: the ATE conditional on the realizations of the cluster-level shocks, using heteroskedasticity-robust standard errors; the ATE netted out of those shocks, using cluster-robust standard errors. By clustering, researchers can test if the treatment would still have had an effect, had the stochastic shocks that occurred during the experiment been different.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"23 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87259764","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Filtering and Smoothing with Score-Driven Models 分数驱动模型的滤波和平滑
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-11-29 DOI: 10.2139/ssrn.3139666
G. Buccheri, G. Bormetti, Fulvio Corsi, F. Lillo
{"title":"Filtering and Smoothing with Score-Driven Models","authors":"G. Buccheri, G. Bormetti, Fulvio Corsi, F. Lillo","doi":"10.2139/ssrn.3139666","DOIUrl":"https://doi.org/10.2139/ssrn.3139666","url":null,"abstract":"We propose a methodology for filtering, smoothing and assessing parameter and filtering uncertainty in misspecified score-driven models. Our technique is based on a general representation of the well-known Kalman filter and smoother recursions for linear Gaussian models in terms of the score of the conditional log-likelihood. We prove that, when data are generated by a nonlinear non-Gaussian state-space model, the proposed methodology results from a first-order expansion of the true observation density around the optimal filter. The error made by such approximation is assessed analytically. As shown in extensive Monte Carlo analyses, our methodology performs very similarly to exact simulation-based methods, while remaining computationally extremely simple. We illustrate empirically the advantages in employing score-driven models as misspecified filters rather than purely predictive processes.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"26 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-11-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73971544","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Univariate and Multivariate Claims Reserving with Generalised Link Ratios 广义联系比率下的单变量和多变量索赔保留
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-11-27 DOI: 10.2139/ssrn.3370044
Luís Portugal, A. Pantelous, R. Verrall
{"title":"Univariate and Multivariate Claims Reserving with Generalised Link Ratios","authors":"Luís Portugal, A. Pantelous, R. Verrall","doi":"10.2139/ssrn.3370044","DOIUrl":"https://doi.org/10.2139/ssrn.3370044","url":null,"abstract":"In this paper, a regression modelling setting is introduced to estimate loss development factors, and its multivariate counterpart considers contemporaneous correlation between each regression equation within the triangle with homoscedastic or heteroscedastic errors, respectively. Using now an appropriate econometric framework, the prediction error is derived in a matrix form avoiding the calculation of the corresponding developments using computationally expensive recursive formulas. In this regard, the classical loss development factors method is extended to the univariate Generalized Link Ratios one, where the appropriate method selection is related with the minimization of the prediction errors in the triangle. In addition, the multivariate Generalized Link Ratios method is proposed with contemporaneous correlations between each regression equation within the triangle, using also the minimization of the prediction error as a way to select the appropriate method for the triangle. Mathematical expressions for the case of homoscedastic and heteroscedastic errors derive for some labelled methods (such as the chain ladder, vector projector and simple average) as well as for many other unnamed methods. Finally, several numerical examples with irregular, regular, and real data illustrate the applicability of our treatment and check the assumptions made in the paper.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"56 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-11-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91281347","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Partial Lying and the Poisson Binomial Distribution 偏卧与泊松二项分布
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-11-22 DOI: 10.2139/ssrn.3492280
Norbert Pierre
{"title":"Partial Lying and the Poisson Binomial Distribution","authors":"Norbert Pierre","doi":"10.2139/ssrn.3492280","DOIUrl":"https://doi.org/10.2139/ssrn.3492280","url":null,"abstract":"In a one-step trinary lying experiment, subjects privately observe a random device that indicates a low payoff, an intermediate payoff or a high payoff. Subjects are paid whatever they report, inducing some subjects to lie in order to receive a higher payoff. This paper presents a methodology for analyzing the experimental results based on the Poisson binomial distribution. I derive closed-form expressions for the conditional probability that a subject will lie given the number of low and intermediate payoff reports. Given these reports, in addition to the conditional probability of lying, I use the binomial and Poisson binomial distributions to calculate the probability that a subject did lie and the expected number of liars. I use these to calculate a Bayesian update of the binomial priors of observing each type of payoff. All of these are then combined to create the most likely scenario explaining the results.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"31 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73945012","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Modeling the Electricity Spot Price with Switching Regime Semi-Nonparametric Distributions 基于开关状态半非参数分布的电力现货价格建模
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-11-22 DOI: 10.2139/ssrn.3493172
Alfredo Trespalacios, Lina M. Cortés, Javier Perote
{"title":"Modeling the Electricity Spot Price with Switching Regime Semi-Nonparametric Distributions","authors":"Alfredo Trespalacios, Lina M. Cortés, Javier Perote","doi":"10.2139/ssrn.3493172","DOIUrl":"https://doi.org/10.2139/ssrn.3493172","url":null,"abstract":"Spot prices of electricity in liberalized markets feature seasonality, mean reversion, random short-term jumps, skewness and highly kurtosis, as a result from the interaction between the supply and demand and the physical restrictions for transportation and storage. To account for such stylized facts, we propose a stochastic process with a component of mean reversion and switching regime to represent the dynamics of the spot price of electricity and its logarithm. The short-term movements are represented by semi-nonparametric (SNP) distributions, in contrast to previous studies that traditionally assume Gaussian processes. The application is done for the Colombian electricity market, where El Niño phenomenon represents an additional source of risk that should be considered to guarantee long-term supply, sustainability of investments and efficiency of prices. We show that the switching regime model with SNP distributions for the random components outperforms traditional models leading to accurate estimates and simulations, and thus being a useful tool for risk management and policy making.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"128 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76394177","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Consistent Inference for Predictive Regressions in Persistent Economic Systems 持续经济系统中预测回归的一致性推论
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-11-14 DOI: 10.2139/ssrn.3359946
T. Andersen, R. T. Varneskov
{"title":"Consistent Inference for Predictive Regressions in Persistent Economic Systems","authors":"T. Andersen, R. T. Varneskov","doi":"10.2139/ssrn.3359946","DOIUrl":"https://doi.org/10.2139/ssrn.3359946","url":null,"abstract":"Abstract This paper studies standard predictive regressions in economic systems governed by persistent vector autoregressive dynamics for the state variables. In particular, all – or a subset – of the variables may be fractionally integrated, which induces a spurious regression problem. We propose a new inference and testing procedure – the Local speCtruM (LCM) approach – for joint significance of the regressors, that is robust against the variables having different integration orders and remains valid regardless of whether predictors are significant and, if they are, whether they induce cointegration. Specifically, the LCM procedure is based on fractional filtering and band spectrum regression using a suitably selected set of frequency ordinates. Contrary to existing procedures, we establish a uniform Gaussian limit theory and a standard χ 2 -distributed test statistic. Using the LCM inference and testing techniques, we explore predictive regressions for the realized return variation. Standard least squares inference indicates that popular financial and macroeconomic variables convey valuable information about future return volatility. In contrast, we find no significant evidence using our robust LCM procedure. If anything, our tests support a reverse chain of causality, with rising financial volatility predating adverse innovations to key macroeconomic variables. Simulations are employed to illustrate the relevance of the theoretical arguments for finite-sample inference.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"66 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-11-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90834763","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 16
Time-Varying Coefficient Spatial Autoregressive Panel Data Model with Fixed Effects 固定效应时变系数空间自回归面板数据模型
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-11-10 DOI: 10.2139/ssrn.3484289
Xuan Liang, Jiti Gao, X. Gong
{"title":"Time-Varying Coefficient Spatial Autoregressive Panel Data Model with Fixed Effects","authors":"Xuan Liang, Jiti Gao, X. Gong","doi":"10.2139/ssrn.3484289","DOIUrl":"https://doi.org/10.2139/ssrn.3484289","url":null,"abstract":"This paper develops a time-varying coefficient spatial autoregressive panel data model with the individual fixed effects to capture the nonlinear effects of the regressors, which vary over the time. To effectively estimate the model, we propose a method that incorporates the nonparametric local linear method and the concentrated quasi-maximum likelihood estimation method to obtain consistent estimators for the spatial coefficient and the time-varying coefficient function. The asymptotic properties of these estimators are derived as well, showing the regular sqrt(NT)-rate of convergence for the parametric parameters and the common sqrt(NTh)-rate of convergence for the nonparametric component, respectively. Monte Carlo simulations are conducted to illustrate the finite sample performance of our proposed method. Meanwhile, we apply our method to study the Chinese labor productivity to identify the spatial influences and the time-varying spillover effects among 185 Chinese cities with comparison to the results on a subregion East China.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"28 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79132338","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
A New Strategy to Identify Causal Relationships: Estimating a Binding Average Treatment Effect 确定因果关系的新策略:估计结合平均治疗效果
Econometrics: Econometric & Statistical Methods - General eJournal Pub Date : 2019-11-01 DOI: 10.2139/ssrn.3488193
Tirthatanmoy Das, S. Polachek
{"title":"A New Strategy to Identify Causal Relationships: Estimating a Binding Average Treatment Effect","authors":"Tirthatanmoy Das, S. Polachek","doi":"10.2139/ssrn.3488193","DOIUrl":"https://doi.org/10.2139/ssrn.3488193","url":null,"abstract":"This paper proposes a new strategy to identify causal effects. Instead of finding a conventional instrumental variable correlated with the treatment but not with the confounding effects, we propose an approach which employs an instrument correlated with the confounders, but which itself is not causally related to the direct effect of the treatment. Utilizing such an instrument enables one to estimate the confounding endogeneity bias. This bias can then be utilized in subsequent regressions first to obtain a \"binding\" causal effect for observations unaffected by institutional barriers that eliminate a treatment's effectiveness, and second to obtain a population-wide treatment effect for all observations independent of institutional restrictions. Both are computed whether the treatment effects are homogeneous or heterogeneous. To illustrate the technique, we apply the approach to estimate sheepskin effects. We find the bias to be approximately equal to the OLS coefficient, meaning that the sheepskin effect is near zero. This result is consistent with Flores-Lagunes and Light (2010) and Clark and Martorell (2014). Our technique expands the econometrician's toolkit by introducing an alternative method that can be used to estimate causality. Further, one potentially can use both the conventional instrumental variable approach in tandem with our alternative approach to test the equality of the two estimators for a conventionally exactly identified causal model, should one claim to already have a valid conventional instrument.","PeriodicalId":11465,"journal":{"name":"Econometrics: Econometric & Statistical Methods - General eJournal","volume":"74 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88504806","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：481959085
Book学术官方微信