A Generalised Fractional Differencing Bootstrap for Long Memory Processes
In: Journal of Time Series Analysis, Band 40, Heft 4, S. 467-492
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In: Journal of Time Series Analysis, Band 40, Heft 4, S. 467-492
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In: Revue économique, Band 51, Heft 1, S. 147-175
ISSN: 1950-6694
Les interactions économiques se produisent souvent dans des réseaux où des agents hétérogènes (tels que des travailleurs ou des entreprises) s'associent et produisent. Cependant, la plupart des approches d'estimation existantes nécessitent que le réseau soit dense, ce qui est en contradiction avec de nombreux réseaux empiriques, ou elles imposent des restrictions sur la forme de l'hétérogénéité et la formation du réseau. Nous montrons comment l'approche des différences fonctionnelles introduite par Bonhomme [2012] dans le contexte des données de panel peut être appliquée dans des environnements de réseau pour dériver des restrictions de moment sur les paramètres du modèle et les effets moyens. Ces restrictions sont valables indépendamment de la forme de l'hétérogénéité et de la densité du réseau. Nous illustrons l'analyse avec des modèles linéaires et non linéaires de données d'employeurs et d'employés appariées, dans l'esprit du modèle introduit par Abowd, Kramarz et Margolis [1999].
In: CESifo economic studies: a joint initiative of the University of Munich's Center for Economic Studies and the Ifo Institute, Band 64, Heft 2, S. 241-254
ISSN: 1612-7501
In: UNU-WIDER Working Paper 08/2012; 2012/72(WP/072)
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Working paper
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Working paper
In: Working paper 9010
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 4, Heft 2, S. 129-135
ISSN: 1475-6803
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 20, Heft 3, S. 355-372
ISSN: 1475-6803
AbstractUsing the spectral regression method, we test for long‐term stochastic memory in three‐ and six‐month daily returns series of Eurocurrency deposits denominated in major currencies. Significant evidence of positive long‐term dependence is found in several Eurocurrency returns series. Compared with benchmark linear models, the estimated fractional models result in dramatic out‐of‐sample forecasting improvements over longer horizons for the Eurocurrency deposits denominated in German marks, Swiss francs, and Japanese yen.
In: International journal of forecasting, Band 10, Heft 4, S. 507-514
ISSN: 0169-2070
In: SFB 649 Discussion Paper 2007-022
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Working paper
We present an experimental technique enabling mechanical-noise free, cavity-enhanced frequency measurements of an atomic transition and its hyperfine structure. We employ the 532nm frequency doubled output from a Nd:YAG laser and an iodine vapour cell. The cell is placed in a traveling-wave Fabry-Perot interferometer (FPI) with counter-propagating pump and probe beams. The FPI is locked using the Pound-Drever-Hall (PDH) technique. Mechanical noise is rejected by differencing pump and probe signals. In addition, this differenced error signal gives a sensitive measure of differential non-linearity within the FPI. ; This research was completed at the Center for Gravitational Physics and the Center for Quantum Atom Optics supported by the Australian Research Council and the Australian Capital Territory Government.
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We present an experimental technique enabling mechanical-noise free, cavity-enhanced frequency measurements of an atomic transition and its hyperfine structure. We employ the 532nm frequency doubled output from a Nd:YAG laser and an iodine vapour cell. The cell is placed in a traveling-wave Fabry-Perot interferometer (FPI) with counter-propagating pump and probe beams. The FPI is locked using the Pound-Drever-Hall (PDH) technique. Mechanical noise is rejected by differencing pump and probe signals. In addition, this differenced error signal gives a sensitive measure of differential non-linearity within the FPI. ; This research was completed at the Center for Gravitational Physics and the Center for Quantum Atom Optics supported by the Australian Research Council and the Australian Capital Territory Government.
BASE
In: Gender, place and culture: a journal of feminist geography, Band 13, Heft 4, S. 401-417
ISSN: 1360-0524
In: Computers and Electronics in Agriculture, Band 97, S. 35-39
In: Journal of Monetary Economics, Band 4, Heft 4, S. 637-660