Zobrazeno 1 - 10
of 84
pro vyhledávání: '"Jörg Breitung"'
Publikováno v:
Econometrics and Statistics. 24:116-132
A computationally simple bias correction for linear dynamic panel data models is proposed and its asymptotic properties are studied when the number of time periods is fixed or tends to infinity with the number of panel units. The approach can accommo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f73c0cd499e40e301ec195f83ebb522f
https://doi.org/10.1016/j.ecosta.2021.07.001
https://doi.org/10.1016/j.ecosta.2021.07.001
Autor:
Jörg Breitung, Ralf Brüggemann
Publikováno v:
Oxford Bulletin of Economics and Statistics.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c54b053fbed923cec8479a5f8c91483d
https://doi.org/10.1111/obes.12562
https://doi.org/10.1111/obes.12562
Autor:
Jörg Breitung, Malte Knüppel
Publikováno v:
Journal of Applied Econometrics. 36:369-392
We develop tests for the null hypothesis that forecasts become uninformative beyond some maximum forecast horizon h∗. The forecast may result from a survey of forecasters or from an estimated parametric model. The first class of tests compares the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::99f32ab9cc8405d0e676b5082998bd9e
https://doi.org/10.1002/jae.2817
https://doi.org/10.1002/jae.2817
Autor:
Philipp Hansen, Jörg Breitung
Publikováno v:
Empirical Economics. 60:327-351
In this paper, we compare alternative estimation approaches for factor augmented panel data models. Our focus lies on panel data sets where the number of panel groups (N) is large relative to the number of time periods (T). The principal component (P
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::220ae7cae2e4b9c96323dc559f2f5146
https://doi.org/10.1007/s00181-020-01948-7
https://doi.org/10.1007/s00181-020-01948-7
Autor:
Sven Schreiber, Jörg Breitung
Publikováno v:
Econometrics and Statistics. 6:57-73
The frequency-specific Granger causality test is extended to a more general null hypothesis that allows causality testing at unknown frequencies within a pre-specified range of frequencies. This setup corresponds better to empirical situations encoun
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9652e9866362ca6d1f3270ee7cd8060e
https://doi.org/10.1016/j.ecosta.2017.04.005
https://doi.org/10.1016/j.ecosta.2017.04.005
Autor:
Philipp Hansen, Jörg Breitung
Publikováno v:
Empirical Economics. 61:3557-3558
A correction to this paper has been published: https://doi.org/10.1007/s00181-021-02074-8
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::252cd00c91566d3a62c1d9fbdcd02f3b
https://doi.org/10.1007/s00181-021-02074-8
https://doi.org/10.1007/s00181-021-02074-8
Autor:
Christoph Wigger, Jörg Breitung
Publikováno v:
Spatial Economic Analysis. 13:148-170
Using approximations of the score of the log-likelihood function, we derive moment conditions for estimating spatial regression models, starting with the spatial error model. Our approach results in computationally simple and robust estimators, such
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::718d0a2da414d4472fb7e38871b725d6
https://doi.org/10.1080/17421772.2018.1403644
https://doi.org/10.1080/17421772.2018.1403644
Publikováno v:
The Econometrics Journal. 19:166-202
This paper employs the Lagrange Multiplier (LM) principle to test parameter homogeneity across cross-section units in panel data models. The test can be seen as a generalization of the Breusch-Pagan test against random individual eects to all regress
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eff68f9136e2a2eb08db7e811fe2fbbb
https://doi.org/10.1111/ectj.12070
https://doi.org/10.1111/ectj.12070
Autor:
Christoph Roling, Jörg Breitung
Publikováno v:
Journal of Forecasting. 34:588-603
In this paper a nonparametric approach for estimating mixed-frequency forecast equations is proposed. In contrast to the popular MIDAS approach that employs an (exponential) Almon or Beta lag distribution, we adopt a penalized least-squares estimator
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2c4726e2803528f3de2fd0033c9d3def
https://doi.org/10.1002/for.2361
https://doi.org/10.1002/for.2361
Autor:
Matei Demetrescu, Jörg Breitung
Publikováno v:
Journal of Econometrics. 187:358-375
Valid inference in predictive regressions depends in a crucial manner on the degree of persistence of the predictor variables. The paper studies test procedures that are robust in the sense that their asymptotic null distributions are invariant to th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::99d3a482134744638898cc0e5b5541e5
https://doi.org/10.1016/j.jeconom.2013.10.018
https://doi.org/10.1016/j.jeconom.2013.10.018