Economic Risk Seminar

Nonparametric Estimation of Fixed Effects Panel Data Varying Coefficient Models

Speaker(s): 
Juan Manuel Rodriguez Poo (Universidad de Cantabria)
Date: 
Friday, May 16, 2014 - 10:00am
Location: 
Spandauer Straße 1, Room 21A

In this paper, we consider the estimation of a panel data model where the heterogeneity term is arbitrarily correlated with the covariates and the coefficients are unknown functions of some explanatory variables. The estimator is based in a deviation from the mean transformation of the regression model and then a local linear regression is applied to estimate the unknown varying coefficient functions. It turns out that the standard use of this technique rends a non-negligible asymptotic bias. In order to avoid it, in the estimation procedure, we introduce a high dimensional kernel weight.

Model confidence sets for autoregressions

Speaker(s): 
Rolf Tschernig (Regensburg)
Date: 
Monday, May 12, 2014 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

Identification and estimation of nonseparable single-index models in panel data with correlated random effects

Speaker(s): 
Pavel Cizek (Tilburg)
Date: 
Monday, May 5, 2014 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

The identification of parameters in a nonseparable single-index models with correlated random effects is considered in the context of panel data with a fixed number of time periods. The identification assumption is based on the correlated random-effect structure: the distribution of individual effects depends on the explanatory variables only by means of their time-averages. Under this assumption, the parameters of interest are identified up to scale and could be estimated by an average derivative estimator based on the local polynomial smoothing.

Generalized Instrumental Variable Models

Speaker(s): 
Adam Rosen (UCL)
Date: 
Monday, April 28, 2014 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

The ability to allow for exible forms of unobserved heterogeneity is an essential ingredient in modern microeconometrics. In this paper we extend the application of instrumental variable (IV) methods to a wide class of problems in which multiple values of unobservable variables can be associated with particular combinations of observed endogenous and exogenous variables. In our Generalized Instrumental Variable (GIV) models, in contrast to traditional IV models, the mapping from unobserved heterogeneity to endogenous variables need not admit a unique inverse.

Who trades against mispricing?

Speaker(s): 
Bige Kahraman (Stockhom School of Economics)
Date: 
Thursday, April 17, 2014 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

We investigate how redemption risk affects incentives to trade against mispricing. To this end, we compare the trading of closed-end funds, which are not subject to redemption risk, with that of open-end funds in stocks that are mispriced because of fire sales and purchases. We find that closed-end funds purchase (sell) fire sale (purchase) stocks to a larger extent than open-end funds. Moreover, closed-end funds’ portfolios are more exposed to stocks that are likely to be undervalued because of sentiment shocks.

"A goodness-of-fit test for regular vine copula models" und "Efficient goodness-of-fit tests in multi-dimensional vine copula models"

Speaker(s): 
Ulf Schepsmeier (TU München)
Date: 
Monday, April 14, 2014 - 2:00pm
Location: 
Spandauer Straße 1, Room 23

In this talk we introduce several goodness-of-fit (GOF) tests for regular vine (R-vine) copula models, a flexible class of multivariate copulas based on a pair-copula construction (PCC). They are build hierarchically on (conditional) bivariate copulas only. In particular we investigate two new goodness-of-fit tests arising from the information matrix and specification test proposed by White (1982) and the information ratio test by Zhang et al. (2013). The test statistics are derived and their asymptotic distribution proven.

Expectiles as risk measures

Speaker(s): 
Prof. Dr. Muller
Date: 
Monday, February 3, 2014 - 2:00pm
Location: 
Spandauer Strasse 1, Room 23

Modelling of Electricity Load profiles

Speaker(s): 
Kevin Berk
Date: 
Monday, February 3, 2014 - 2:00pm
Location: 
Spandauer Strasse 1, Room 23

Modeling Multivariate Extreme Events Using Self-Exciting Point Processes

Speaker(s): 
Hans Manner (Uni Köln)
Date: 
Monday, February 3, 2014 - 2:00pm
Location: 
Spandauer Strasse 1, Room 23

tba

Speaker(s): 
Federico Bugni (Duke)
Date: 
Monday, January 27, 2014 - 2:00pm
Location: 
Spandauer Strasse 1, Room 23

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