45 citations · 124 across the 11 of their papers we have counts for
15 papers
Cosine metric as a structural economic similarity measure
Marina Telezhkina, Dominik Wied
Structural similarity, the extent to which economic mechanisms respond alike to common shocks, matters for economic forecasting, policy transfer, and other decisions that rely on e…
Semiparametric Distribution Regression with Instruments and Monotonicity
Dominik Wied
This paper proposes IV-based estimators for the semiparametric distribution regression model in the presence of an endogenous regressor, which are based on an extension of IV probi…
Asymptotic Properties of Endogeneity Corrections Using Nonlinear Transformations
Jörg Breitung, Alexander Mayer, Dominik Wied
This paper considers a linear regression model with an endogenous regressor which arises from a nonlinear transformation of a latent variable. It is shown that the corresponding co…
Consistent Estimation of Multiple Breakpoints in Dependence Measures
Marvin Borsch, Alexander Mayer, Dominik Wied
This paper proposes different methods to consistently detect multiple breaks in copula-based dependence measures, mainly focusing on Spearman's . The leading model is a factor c…
Reference Class Selection in Similarity-Based Forecasting of Sales Growth
Etienne Theising, Dominik Wied, Daniel Ziggel
This paper proposes a general method to handle forecasts exposed to behavioural bias by finding appropriate outside views, in our case corporate sales forecasts of analysts. The id…
Estimation and Inference in Factor Copula Models with Exogenous Covariates
Alexander Mayer, Dominik Wied
A factor copula model is proposed in which factors are either simulable or estimable from exogenous information. Point estimation and inference are based on a simulated methods of…
Flexible Specification Testing in Quantile Regression Models
Tim Kutzker, Nadja Klein, Dominik Wied
We propose three novel consistent specification tests for quantile regression models which generalize former tests in three ways. First, we allow the covariate effects to be quanti…
Left-Truncated Health Insurance Claims Data: Theoretical Review and Empirical Application
Rafael Weißbachm, Achim Dörre, Dominik Wied +2
At the beginning of 2004, we draw a sample of size 0.25 million people from the inventory of the health insurer AOK. We followed their health claims until 2013. Our aim is the effe…
Truncating the Exponential with a Uniform Distribution
Rafael Weißbach, Dominik Wied
For a sample of Exponentially distributed durations we aim at point estimation and a confidence interval for its parameter. A duration is only observed if it has ended within a cer…
Estimating Derivatives of Function-Valued Parameters in a Class of Moment Condition Models
Christoph Rothe, Dominik Wied
We develop a general approach to estimating the derivative of a function-valued parameter that is identified for every value of as the solution to a moment condition.…
Detecting relevant changes in time series models
Holger Dette, Dominik Wied
Most of the literature on change-point analysis by means of hypothesis testing considers hypotheses of the form H0 : θ_1 = θ_2 vs. H1 : θ_1 != θ_2, where θ_1 and θ_2 denote paramet…
A nonparametric test for a constant correlation matrix
Dominik Wied
We propose a nonparametric procedure to test for changes in correlation matrices at an unknown point in time. The new test requires only mild assumptions on the serial dependence s…
Multiple break detection in the correlation structure of random variables
Pedro Galeano, Dominik Wied
Correlations between random variables play an important role in applications, e.g.\ in financial analysis. More precisely, accurate estimates of the correlation between financial r…
A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
Dominik Wied, Herold Dehling, Maarten van Kampen +1
A CUSUM type test for constant correlation that goes beyond a previously suggested correlation constancy test by considering Spearman's rho in arbitrary dimensions is proposed. Sin…
Testing for Changes in Kendall's Tau
Herold Dehling, Daniel Vogel, Martin Wendler +1
For a bivariate time series we want to detect whether the correlation between and stays constant for all . We propose a nonparame…