Search Results - subject:"Conﬁdence set"

A fast algorithm for finding the confidence set of large collections of models

Barde, Sylvain - 2015

The paper proposes a new algorithm for finding the confidence set of a collection of forecasts or prediction models …. Existing numerical implementations for finding the confidence set use an elimination approach where one starts with the full … complexity and memory cost of finding the confidence set of a collection of M models, falling respectively from O(M^3;) to O(M^2 …

Persistent link: https://www.econbiz.de/10011342917

Inference on sets in finance

Chernozhukov, Victor; Kocatulum, Emre; Menzel, Konrad - In: Quantitative economics : QE ; journal of the … 6 (2015) 2, pp. 309-358

We consider the problem of inference on a class of sets describing a collection of admissible models as solutions to a single smooth inequality. Classical and recent examples include the Hansen–Jagannathan sets of admissible stochastic discount factors, Markowitz–Fama mean–variance sets...

Persistent link: https://www.econbiz.de/10011757699

Predicting bond betas using macro-finance variables

Aslanidis, Nektarios; Christiansen, Charlotte; … - In: Finance research letters 29 (2019), pp. 193-199

Persistent link: https://www.econbiz.de/10012418702

On tail fatness of macroeconomic dynamics

Liu, Xiaochun - In: Journal of macroeconomics 62 (2019), pp. 1-18

Persistent link: https://www.econbiz.de/10012243478

Forecasting U.S. money growth using economic uncertainty measures and regularisation techniques

Tarassow, Artur - In: International journal of forecasting 35 (2019) 2, pp. 443-457

Persistent link: https://www.econbiz.de/10012300681

Forecasting Bitcoin risk measures : a robust approach

Trucíos, Carlos - In: International journal of forecasting 35 (2019) 3, pp. 836-847

Persistent link: https://www.econbiz.de/10012305182

Geopolitical risk and oil volatility : a new insight

Liu, Jing; Ma, Feng; Tang, Yingkai; Zhang, Yaojie - In: Energy economics 84 (2019), pp. 1-10

Persistent link: https://www.econbiz.de/10012182780

Asymptotic Size of Kleibergen's LM and Conditional LR Tests for Moment Condition Models

Andrews, Donald W. K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2014

An influential paper by Kleibergen (2005) introduces Lagrange multiplier (LM) and conditional likelihood ratio-like (CLR) tests for nonlinear moment condition models. These procedures aim to have good size performance even when the parameters are unidentified or poorly identified. However, the...

Persistent link: https://www.econbiz.de/10011103450

Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from a Robust Test

Castelnuovo, Efrem; Fanelli, Luca - Dipartimento di Scienze Economiche "Marco Fanno", … - 2014

with uniqueness occurred in the late 1970s. Our identification-robust full-information confidence set for the structural …

Persistent link: https://www.econbiz.de/10011123415

Supplement To "Weak Identification in Fuzzy Regression Discontinuity Designs"

Feir, Donna L; Lemieux, Thomas; Marmer, Vadim - Vancouver School of Economics - 2014

Abstract This paper reports the results of a Monte Carlo simulation study, which accompanies Marmer, Feir, and Lemieux, "Weak Identification in Fuzzy Regression Discontinuity Designs".

Persistent link: https://www.econbiz.de/10011189248