Econometric Models of Propensities

Dynamic Econometric Models

K e y w o r d s: Family of Sign RCA Models, Value at Risk, backtesting, loss function.

Economic and Econometric Models

Dynamic Econometric Models

K e y w o r d s: patent activity, panel model, decomposition of intercept.

Dynamic Econometric Models

K e y w o r d s: Box-Cox transformation, SV model, Bayesian inference.

Bootstrapping Econometric Models

The bootstrap is a statistical technique used more and more widely in econometrics. While it is capable of yielding very reliable inference, some precautions should be taken in order to ensure this. Two “Golden Rules” are formulated that, if observed, help to obtain the best the bootstrap can offer. Bootstrapping always involves setting up a bootstrap data-generating process (DGP). The main typ...