Zobrazeno 1 - 10
of 39
pro vyhledávání: '"Jau-Er Chen"'
Autor:
Hui-Ching Chuang, Jau-er Chen
Publikováno v:
Econometrics, Vol 11, Iss 1, p 6 (2023)
In this study, we explore the effect of industry distress on recovery rates by using the unconditional quantile regression (UQR). The UQR provides better interpretative and thus policy-relevant information on the predictive effect of the target varia
Externí odkaz:
https://doaj.org/article/4d230e32f56e474ea9ad9d4abb924d99
Publikováno v:
Econometrics, Vol 9, Iss 2, p 15 (2021)
In this study, we investigate the estimation and inference on a low-dimensional causal parameter in the presence of high-dimensional controls in an instrumental variable quantile regression. Our proposed econometric procedure builds on the Neyman-typ
Externí odkaz:
https://doaj.org/article/f987fe16bf564c1d9668b32187b3f36c
Publikováno v:
Journal of Econometrics. 206:472-514
This paper examines nonparametric regression with an exogenous threshold variable, allowing for an unknown number of thresholds. Given the number of thresholds and corresponding threshold values, we first establish the asymptotic properties of the lo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3ecb4746d038a19c705d17eb5e14ab38
https://doi.org/10.1016/j.jeconom.2018.06.011
https://doi.org/10.1016/j.jeconom.2018.06.011
Publikováno v:
Bulletin of Economic Research. 71:113-135
The rapid advance of information and communication technology (ICT) has revolutionized the dissemination of stock market information. Based on the noise trading theory, this study discusses whether the changes brought by ICT have promoted the transpa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2a32a89de27e7f6626201a2bbf8a5b8a
https://doi.org/10.1111/boer.12151
https://doi.org/10.1111/boer.12151
Autor:
Jau‐er Chen, Hui-Ching Chuang
Publikováno v:
SSRN Electronic Journal.
In this study, we estimate the effect of industry distress on recovery rates by using the unconditional quantile regression (UQR) proposed in Firpo, Fortin, and Lemieux (2009). The UQR provides better interpretative and thus policy-relevant informati
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::60446cdec165a3c358b0a8e5e3c9dd99
https://doi.org/10.2139/ssrn.3473161
https://doi.org/10.2139/ssrn.3473161
Autor:
Jau-er Chen, Chen-Wei Hsiang
Publikováno v:
Econometrics
Volume 7
Issue 4
Volume 7
Issue 4
We propose an econometric procedure based mainly on the generalized random forests method. Not only does this process estimate the quantile treatment effect nonparametrically, but our procedure yields a measure of variable importance in terms of hete
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f7987b78ff7787971e5c8959a5cdf8b1
https://hdl.handle.net/10419/247549
https://hdl.handle.net/10419/247549
Autor:
Jau-er Chen, Masanori Kashiwagi
Publikováno v:
Empirical Economics. 52:357-371
This paper conducts quantile regressions and obtains detailed estimates of monetary policy rules in Japan using a sample that includes recent periods of zero interest rates. Taking into account censoring and endogeneity, we compute censored quantile
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5f691e250f2c39c38b70d943caf9e2df
https://doi.org/10.1007/s00181-016-1074-8
https://doi.org/10.1007/s00181-016-1074-8
Publikováno v:
Academy of Management Proceedings. 2019:12733
Our aim in this study is to present when strategy scholars can use a quantile estimator to examine the performance implications of strategies tinted with both strategy endogeneity and performance h...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::23f9813326b8fd3db705b5b732d3b366
https://doi.org/10.5465/ambpp.2019.12733abstract
https://doi.org/10.5465/ambpp.2019.12733abstract
Autor:
Jau-er Chen
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics. 19
This paper proposes a factor instrumental variable quantile regression (FIVQR) estimator and studies its asymptotic properties. The proposed estimators share with quantile regression the advantage of exploring the shape of the conditional distributio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b3933212d97d650f2a146ff17a9747ba
https://doi.org/10.1515/snde-2013-0014
https://doi.org/10.1515/snde-2013-0014
Autor:
Jau-er Chen
Publikováno v:
SSRN Electronic Journal.
This paper considers the issues related to the asymptotic properties of estimators and test statistics in linear quantile regression with structural changes. We first address the issue of estimating a single structural change and derive the asymptoti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ea292d8d7a445d85fd63c9d8738cd6b1
https://doi.org/10.2139/ssrn.1294235
https://doi.org/10.2139/ssrn.1294235