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Estimation Strategies (estimation + strategy)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	62%

Selected Abstracts

Policy words and policy deeds: the ECB and the euro

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 3 2008
Pierre L. Siklos
Abstract This paper examines the role of the European Central Bank (ECB) communication activities on daily eurodollar exchange rate and interest rates. We estimate the relationship between monetary policy and the exchange rate using a technique that explicitly recognizes the joint determination of both the levels and volatilities of these variables. We also consider more traditional estimation strategies as a test of the robustness of our main results. We introduce a new indicator of ECB communication policies that focuses on what the ECB says about the future economic outlook for the euro area along five different economic dimensions. The impact of the ECB communication policies is more apparent in the time-series framework than in the heteroskedasticity estimator approach. Time-series estimates reveal that interest rate changes generally have a much larger impact on exchange rate movements, and their volatility, than do ECB verbal pronouncements. Previous studies that conclude that news effects are significant at the daily frequency may have reached such a conclusion because the measurement of news was too highly aggregated. The endogeneity of the exchange rate,interest rate relationship is more apparent when the proxy for monetary policy is the euro area,US differential than when any other proxy for monetary policy is employed. Copyright © 2007 John Wiley & Sons, Ltd. [source]

Programme Evaluation with Multiple Treatments

JOURNAL OF ECONOMIC SURVEYS, Issue 2 2004
Markus Frölich
Abstract., This paper reviews the main identification and estimation strategies for microeconometric policy evaluation. Particular emphasis is laid on evaluating policies consisting of multiple programmes, which is of high relevance in practice. For example, active labour market policies may consist of different training programmes, employment programmes and wage subsidies. Similarly, sickness rehabilitation policies often offer different vocational as well as non-vocational rehabilitation measures. First, the main identification strategies (control-for-confounding-variables, difference-in-difference, instrumental-variable, and regression-discontinuity identification) are discussed in the multiple-programme setting. Thereafter, the different nonparametric matching and weighting estimators of the average treatment effects and their properties are examined. [source]

Constrained process monitoring: Moving-horizon approach

AICHE JOURNAL, Issue 1 2002
Christopher V. Rao
Moving-horizon estimation (MHE) is an optimization-based strategy for process monitoring and state estimation. One may view MHE as an extension for Kalman filtering for constrained and nonlinear processes. MHE, therefore, subsumes both Kalman and extended Kalman filtering. In addition, MHE allows one to include constraints in the estimation problem. One can significantly improve the quality of state estimates for certain problems by incorporating prior knowledge in the form of inequality constraints. Inequality constraints provide a flexible tool for complementing process knowledge. One also may use inequality constraints as a strategy for model simplification. The ability to include constraints and nonlinear dynamics is what distinguishes MHE from other estimation strategies. Both the practical and theoretical issues related to MHE are discussed. Using a series of example monitoring problems, the practical advantages of MHE are illustrated by demonstrating how the addition of constraints can improve and simplify the process monitoring problem. [source]

Convexity and Sheepskin Effects in the Human Capital Earnings Function: Recent Evidence for Filipino Men

OXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 2 2003
Norbert R. Schady
The issue of possible non-linearities in the relationship between log wages and schooling has received a good deal of attention in the literature. This paper uses data from a recent, high quality household survey for the Philippines, the 1998 Annual Poverty Indicator Survey (APIS), to test the fit of the log-linear specification for Filipino men. The results are based on a number of estimation strategies, including spline regressions, and semi-parametric regressions with a large number of dummies for years of schooling and experience. The basic conclusions of the paper are two. First, there appear to be large differences between the rates of return to education across levels in the Philippines. In particular, the returns to both primary and secondary education are lower than those for tertiary education, a difference which persists even after correcting for differences in direct private costs across levels. Second, within a given level, the last year of schooling is disproportionately rewarded in terms of higher wages. That is, there are clear sheepskin effects associated with graduation from primary school, secondary school, and university. [source]

Closed-form expression for the BER of m-QAM-OFDM systems over time- and frequency-selective wireless channels

INTERNATIONAL JOURNAL OF COMMUNICATION SYSTEMS, Issue 8 2006
F. Castells
Abstract The broadcast DVB-T system is an m-QAM-OFDM communication system that includes pilot-symbol-assisted modulation (PSAM) in order to enhance channel estimation at the receiver. This characteristic makes DVB-T suitable for a mobile reception, over time- and frequency-selective wireless channels. In this work, a closed-form expression for the BER as a function of the transmission system, channel model and the channel estimation strategy employed at the receiver is derived. In addition, adjacent channel interference due to Doppler effects is also considered. The results are focused on the DVB-T system under different scenarios. The channel estimation at the receiver has been shown to be very critical, and the impact of channel estimation errors on the BER is analysed in detail. Copyright © 2005 John Wiley & Sons, Ltd. [source]

Reduced modeling and state observation of an activated sludge process

BIOTECHNOLOGY PROGRESS, Issue 3 2009
Isabelle Queinnec
Abstract This article first proposes a reduction strategy of the activated sludge process model with alternated aeration. Initiated with the standard activated sludge model (ASM1), the reduction is based on some biochemical considerations followed by linear approximations of nonlinear terms. Two submodels are then obtained, one for the aerobic phase and one for the anoxic phase, using four state variables related to the organic substrate concentration, the ammonium and nitrate-nitrite nitrogen, and the oxygen concentration. Then, a two-step robust estimation strategy is used to estimate both the unmeasured state variables and the unknown inflow ammonium nitrogen concentration. Parameter uncertainty is considered in the dynamics and input matrices of the system. © 2009 American Institute of Chemical Engineers Biotechnol. Prog., 2009 [source]

Occupational gender composition and wages in Canada, 1987,1988

CANADIAN JOURNAL OF ECONOMICS, Issue 2 2001
Michael Baker
In this paper, we provide a comprehensive picture, circa the late 1980s, of occupational gender segregation in Canada and its consequences for wages. Our analysis reveals sensitivity of the estimated penalty to ,female work' to both specification and estimation strategy. Our preferred estimates indicate that the wage penalties for women in female jobs in Canada are generally smaller than penalties in the United States. Of particular note, while there is some heterogeneity across worker groups, on average the link between female wages and gender composition is small and generally not statistically significant. JEL Classification: J71, J78 Taux de féminité des professions et salaires au Canada: 1987,88. Dans cet article, les auteurs dressent un portrait complet de la ségrégation professionnelle fondée sur le sexe au Canada à la fin des années 1980, et de ses répercussions sur le niveau des salaires. Leur analyse révèle que les évaluations de la ,pénalité salariale' dans les emplois féminins dépendent du choix des méthodes d'estimation et des spécifications des fonctions. Les évaluations les plus robustes indiquent que, pour les femmes au Canada, la pénalité reliée aux emplois féminins est généralement plus faible que celle qu'on trouve aux Etats-Unis. Bien qu'on trouve des résultats différents selon les groupes de travailleurs, en moyenne, le lien entre le taux de féminité des professions et le niveau de salaires des femmes est faible, et n'est généralement pas statistiquement significatif. [source]

We Ran One Regression,

OXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 5 2004
David F. Hendry
The controversy over the selection of ,growth regressions' was precipitated by some remarkably numerous ,estimation' strategies, including two million regressions by Sala-i-Martin [American Economic Review (1997b) Vol. 87, pp. 178,183]. Only one regression is really needed, namely the general unrestricted model, appropriately reduced to a parsimonious encompassing, congruent representation. We corroborate the findings of Hoover and Perez [Oxford Bulletin of Economics and Statistics (2004) Vol. 66], who also adopt an automatic general-to-simple approach, despite the complications of data imputation. Such an outcome was also achieved in just one run of PcGets, within a few minutes of receiving the data set in Fernández, Ley and Steel [Journal of Applied Econometrics (2001) Vol. 16, pp. 563,576] from Professor Ley. [source]