11 datasets found

Using kernel density estimation we describe the distribution of household size-adjusted real income and how it changed over the business cycle of the 1980s in the United States...

This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for...

We propose a Bayesian framework in which the uncertainty about the half-life of deviations from purchasing power parity can be quantified. Based on the responses to a survey...

This paper compares two methods for undertaking likelihood-based inference in dynamic equilibrium economies: a sequential Monte Carlo filter and the Kalman filter. The...

Theoretical literature in finance has shown that the risk of financial time series can be well quantified by their expected shortfall, also known as the tail value-at-risk. In...

This work explores some distributional properties of aggregate output growth-rate time series. We show that, in the majority of OECD countries, output growth-rate distributions...

This paper reviews current density forecast evaluation procedures, and considers a proposal that such procedures be augmented by an assessment of sharpness. This was motivated...

This paper extends the literature on modelling healthcare cost data by applying the generalised beta of the second kind (GB2) distribution to English hospital inpatient cost...

A Bayesian method for outlier-robust estimation of multinomial choice models is presented. The method can be used for both correlated as well as uncorrelated choice alternatives...

We propose a parametric block wild bootstrap approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. First, Monte Carlo simulations...

This paper introduces nonparametric econometric methods that characterize general power law distributions under basic stability conditions. These methods extend the literature...