Gaussian Rank Correlation and Regression
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- Dante Amengual & Enrique Sentana & Zhanyuan Tian, 2022. "Gaussian Rank Correlation and Regression," Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology, volume 43, pages 269-306, Emerald Group Publishing Limited.
- Sentana, Enrique & Amengual, Dante & Tian, Zhanyuan, 2020. "Gaussian rank correlation and regression," CEPR Discussion Papers 14914, C.E.P.R. Discussion Papers.
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- Anthony Garratt & Timo Henckel & Shaun P. Vahey, 2019. "Empirically-transformed linear opinion pools," CAMA Working Papers 2019-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Sentana, Enrique & Amengual, Dante & Bei, Xinyue, 2020.
"Hypothesis tests with a repeatedly singular information matrix,"
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14415, C.E.P.R. Discussion Papers.
- Dante Amengual & Xinyue Bei & Enrique Sentana, 2020. "Hypothesis Tests with a Repeatedly Singular Information Matrix," Working Papers wp2020_2002, CEMFI.
- Dante Amengual & Xinyue Bei & Enrique Sentana, 2022.
"Normal but skewed?,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(7), pages 1295-1313, November.
- Dante Amengual & Xinyue Bei & Enrique Sentana, 2021. "Normal but Skewed?," Working Papers wp2021_2104, CEMFI.
- Tony Chernis & Patrick J. Coe & Shaun P. Vahey, 2023.
"Reassessing the dependence between economic growth and financial conditions since 1973,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 260-267, March.
- Tony Chernis & Patrick J. Coe & Shaun P. Vahey, 2022. "Reassessing the dependence between economic growth and financial conditions since 1973," CAMA Working Papers 2022-30, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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More about this item
Keywords
Copula; growth regressions; migration; misspecification; momentum; robustness; short-term reversals.;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2021-03-29 (Econometrics)
- NEP-ORE-2021-03-29 (Operations Research)
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