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Accounting for Growth

Edited by Jeremy Greenwood and Boyan Jovanovic.

in New Developments in Productivity Analysis

August 2001; p ublished online February 2013 .

Chapter. Subjects: Econometrics and Mathematical Economics. 18755 words.

This chapter explores alternative models of productivity change. It compares the conventional model of disembodied technical change developed by Solow and by Jorgenson and Griliches with a...

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Accounting for Heterogeneity in Growth Incidence in Cameroon Using Recentered Influence Function Regression

B. Essama-Nssah, Saumik Paul and Léandre Bassolé.

in Journal of African Economies

November 2013; p ublished online May 2013 .

Journal Article. Subjects: Welfare and Poverty; Economywide Country Studies; Urban, Rural, and Regional Economics; Microeconomics; Single Equation Models; Single Variables. 9781 words.

This paper frames growth incidence analysis within the logic of social impact evaluation understood as an assessment of variations in individual and social outcomes attributable to shocks...

Accounting for Heterogeneity in Multicrop Micro-Econometric Models: Implications for Variable Input Demand Modeling

Alain Carpentier and Elodie Letort.

in American Journal of Agricultural Economics

January 2012; p ublished online November 2011 .

Journal Article. Subjects: Production and Organizations; Econometric Modelling; Agricultural Economics. 8565 words.

This article aims to show that if the farm sample under consideration is characterized by significant heterogeneity, recovering output-specific input uses or modeling farm-level input uses...

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Accounting for Observed Cycle Features with a Range of Statistical Models

Don Harding and Adrian Pagan.

in The Econometric Analysis of Recurrent Events in Macroeconomics and Finance

July 2016; p ublished online January 2018 .

Chapter. Subjects: Econometrics and Mathematical Economics. 6138 words.

This chapter looks at observed features of the cycle in a variety of time series. It sets out these features for the United States and a number of other countries, and then asks whether...

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The Accuracy of Density Forecasts from Foreign Exchange Options

Peter Christoffersen and Stefano Mazzotta.

in Journal of Financial Econometrics

January 2005; p ublished online August 2005 .

Journal Article. Subjects: Financial Markets; Econometrics and Mathematical Economics. 9898 words.

Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this article is to systematically...

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Accurate Methods for Approximate Bayesian Computation Filtering

Laurent E. Calvet and Veronika Czellar.

in Journal of Financial Econometrics

September 2015; p ublished online July 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Financial Forecasting and Simulation; Econometric Modelling. 9894 words.

The Approximate Bayesian Computation (ABC) filter extends the particle filtering methodology to general state-space models in which the density of the observation conditional on the state...

Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent

Francesco Audrino and Fabio Trojani.

in Journal of Financial Econometrics

January 2007; p ublished online August 2007 .

Journal Article. Subjects: Financial Markets; Econometrics and Mathematical Economics. 12280 words.

We propose a multivariate nonparametric technique for generating reliable short-term historical yield curve scenarios and confidence intervals. The approach is based on a Functional...

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An ACD-ECOGARCH(1,1) Model

Claudia Czado and Stephan Haug.

in Journal of Financial Econometrics

January 2010; p ublished online November 2009 .

Journal Article. Subjects: Financial Markets; Econometrics and Mathematical Economics. 3121 words.

In this paper we introduce an ACD-ECOGARCH(1,1) model. An exponential autoregressive conditional duration model is used to describe the dependence structure in durations of...

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Adam Smith and the Study of Ethics in a Commercial Society

Stefanie Haeffele and Virgil Henry Storr.

in The Oxford Handbook of Ethics and Economics

June 2019; p ublished online June 2019 .

Article. Subjects: Microeconomics; Econometrics and Mathematical Economics; History of Economic Thought. 10454 words.

Over time, the fields of economics and ethics have become more distinct with economics focusing on the rationality of actors, the incentives they face, and the outcomes of interacting...

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Adaptive local parametric estimation of crop yields: implications for crop insurance rate making

Zhiwei Shen, Martin Odening and Ostap Okhrin.

in European Review of Agricultural Economics

April 2018; p ublished online December 2017 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Agricultural Economics. 10293 words.

Abstract

The estimation model of crop yields is a prerequisite for deriving actuarially sound insurance premiums. A major challenge in estimating crop yield...

Adaptive Model-Predictive Climate Policies in a Multicountry Setting

Thierry Bréchet, Carmen Camacho and Vladimir M. Veliov.

in The Oxford Handbook of the Macroeconomics of Global Warming

January 2015; p ublished online May 2015 .

Article. Subjects: Economics; Agricultural, Environmental, and Natural Resource Economics; Econometrics and Mathematical Economics. 11716 words.

This chapter extends the use of integrated assessment models (IAMs) by defining rational policies based on predictive control and adaptive behavior. After a review of the main IAMs, the...

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Adaptive Realized Kernels

Marine Carrasco and Rachidi Kotchoni.

in Journal of Financial Econometrics

September 2015; p ublished online May 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Economics. 9451 words.

We design adaptive realized kernels to estimate the integrated volatility in a framework that combines a stochastic volatility model with leverage effect for the efficient price and a...

Adding The Time Dimension: Optimal Rebalancing

Mark Kritzman, Simon Myrgren and Sebastien Page.

in The Oxford Handbook of Quantitative Asset Management

December 2011; p ublished online November 2012 .

Article. Subjects: Economics; Financial Markets; Econometric and Statistical Methods and Methodology: General. 5990 words.

A technique called dynamic programming can be used to identify an optimal rebalancing schedule, which significantly reduces rebalancing and sub-optimality costs. Dynamic programming...

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Additive Intensity Regression Models in Corporate Default Analysis

David Lando, Mamdouh Medhat, Mads Stenbo Nielsen and Søren Feodor Nielsen.

in Journal of Financial Econometrics

June 2013; p ublished online January 2013 .

Journal Article. Subjects: Econometric and Statistical Methods; Special Topics; Bankruptcy; Econometric Modelling; Corporate Governance. 13776 words.

We consider additive intensity (Aalen) models as an alternative to the multiplicative intensity (Cox) models for analyzing the default risk of a sample of rated, nonfinancial U.S. firms....

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Adoption and Design of Deposit Insurance

Aslı Demirgüç-Kunt, Edward Kane and Luc Laeven.

in Deposit Insurance around the World

July 2008; p ublished online August 2013 .

Chapter. Subjects: Econometrics and Mathematical Economics. 15116 words.

This chapter, focuses on the adoption of an explicit deposit insurance scheme (EDIS), what factors influence safety net design, and if these same factors are able to affect risk-shifting...

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Advanced Consumption-Based Asset Pricing

Claus Munk.

in Financial Asset Pricing Theory

April 2013; p ublished online May 2013 .

Chapter. Subjects: Econometrics and Mathematical Economics. 26761 words.

Ch. 8 illustrated that the simple CRRA-lognormal consumption-based asset pricing model cannot match stylized empirical facts. This chapter presents a number of extensions of the simple...

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Advanced Inference in the Real World

Amos Golan.

in Foundations of Info-Metrics

December 2017; p ublished online November 2017 .

Chapter. Subjects: Econometrics and Mathematical Economics. 13331 words.

In this chapter I continue the voyage into info-metrics in action, with an emphasis on more advanced info-metric inference in real-world environments. I develop a sequence of increasingly...

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Advanced Topics

Jeffrey S. Racine.

in Reproducible Econometrics Using R

February 2019; p ublished online January 2019 .

Chapter. Subjects: Econometrics and Mathematical Economics. 3977 words.

This chapter covers two advanced topics: a machine learning method (support vector machines useful for classification) and nonparametric kernel regression.

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The Advantage of Resource Queues over Spot Resource Markets: Decision Coordination in Experiments under Resource Uncertainty

Miguel A. Fonseca, Alexander Pfaff and Daniel Osgood.

in American Journal of Agricultural Economics

October 2012; p ublished online October 2012 .

Journal Article. Subjects: Design of Experiments; Microeconomics. 10718 words.

Farmers have to make key decisions, such as which crops to plant or whether to prepare the soil, before knowing how much water they will get. They face losses if they make costly decisions...

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Adverse Selection and Moral Hazard: Implications for Health Insurance Markets

Mark V. Pauly.

in Incentives and Choice in Health Care

May 2008; p ublished online August 2013 .

Chapter. Subjects: Econometrics and Mathematical Economics. 10751 words.

This chapter explores two key issues in the health insurance market: adverse selection and moral hazard. It first describes ideal insurance to serve as a benchmark for comparing insurance...

Go to The MIT Press »  abstract