Search Results - subject:"Goodness–of–fit"

Identifying Threshold Effects in Credit Risk Stress Testing

Morales, Armando Méndez; Gasha, Jose Giancarlo - International Monetary Fund (IMF) - 2004

Using data from Argentina, Australia, Colombia, El Salvador, Peru, and the United States, we identify three types of threshold effects when assessing the impact of economic activity on nonperforming loans (NPLs). For advanced financial systems showing low NPLs, there is an embedded...

Persistent link: https://www.econbiz.de/10005768731

Assessing Early Warning Systems; How Have they Worked in Practice?

Berg, Andrew; Borensztein, Eduardo; Pattillo, Catherine A. - International Monetary Fund (IMF) - 2004

Since 1999, the IMF's staff has been tracking several early-warning-system (EWS) models of currency crisis. The results have been mixed. One of the long-horizon models has performed well relative to pure guesswork and to available non-model-based forecasts, such as agency ratings and private...

Persistent link: https://www.econbiz.de/10005768990

A Theory of Workers' Remittances with An Application to Morocco

Bouhga-Hagbe, Jacques - International Monetary Fund (IMF) - 2004

This paper provides a model on how altruism, "attachment" to the home country, and portfolio diversification may act as potential motives behind workers' remittances. It shows that the level of workers' remittances depends on how great are their degrees of altruism and "attachment" to their home...

Persistent link: https://www.econbiz.de/10005825932

A Bayesian Approach to Model Uncertainty

Tsangarides, Charalambos G. - International Monetary Fund (IMF) - 2004

This paper develops the theoretical background for the Limited Information Bayesian Model Averaging (LIBMA). The proposed approach accounts for model uncertainty by averaging over all possible combinations of predictors when making inferences about the variables of interest, and it...

Persistent link: https://www.econbiz.de/10005264140

Optimal design for goodness-of-fit of the Michaelis-Menten enzyme kinetic function

Wong, Weng Kee; Melas, Viatcheslav B.; Dette, Holger - Institut für Wirtschafts- und Sozialstatistik, … - 2004

We construct efficient designs for the Michaelis-Menten enzyme kinetic model capable of checking model assumption. An extended model, called EMAX model is also considered for this purpose. This model is widely used in pharmacokinetics and reduces to the Michaelis- Menten model for a specific...

Persistent link: https://www.econbiz.de/10009216900

Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Model

Bowsher, Clive - Department of Economics, Oxford University - 2004

A continuous time econometric modelling framework for multivariate financial market event (or `transactions`) data is developed in which the model is specified via the vector stochastic intensity. This has the advantage that the conditioning sigma-field is updated continuously in time as new...

Persistent link: https://www.econbiz.de/10010604834

Selection of variables in exploratory factor analysis: An empirical comparison of a stepwise and traditional approach

Hogarty, Kristine; Kromrey, Jeffrey; Ferron, John; … - In: Psychometrika 69 (2004) 4, pp. 593-611

Persistent link: https://www.econbiz.de/10005381736

Estimation of Hazard, Density and Survivor Functions for Randomly Censored Data

Reineke, David; Crown, John - In: Journal of Applied Statistics 31 (2004) 10, pp. 1211-1225

Maximum likelihood estimation and goodness-of-fit techniques are used within a competing risks framework to obtain … maximum likelihood estimates of hazard, density, and survivor functions for randomly right-censored variables. Goodness-of …- fit techniques are used to fit distributions to the crude lifetimes, which are used to obtain an estimate of the hazard …

Persistent link: https://www.econbiz.de/10005458155

Mean distance test of Poisson distribution

Székely, Gábor J.; Rizzo, Maria L. - In: Statistics & Probability Letters 67 (2004) 3, pp. 241-247

A new goodness-of-fit test is developed for discrete distributions based on a characterization by mean distances. The …

Persistent link: https://www.econbiz.de/10005074580

Cholesky Residuals for Assessing Normal Errors in a Linear Model with Correlated Outcomes: Technical Report

Houseman, E. Andres; Ryan, Louise; Coull, Brent - Berkeley Electronic Press - 2004

Despite the widespread popularity of linear models for correlated outcomes (e.g. linear mixed models and time series models), distribution diagnostic methodology remains relatively underdeveloped in this context. In this paper we present an easy-to-implement approach that lends itself to...

Persistent link: https://www.econbiz.de/10005579774