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

Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models

Bowsher, Clive - Economics Group, Nuffield College, University of Oxford - 2002

A continuous time econometric modelling framework for multivariate 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 information...

Persistent link: https://www.econbiz.de/10005730362

Is Growth Enough? Macroeconomic Policy and Poverty Reduction

Leite, Carlos; Tsangarides, Charalambos G.; Ghura, … - International Monetary Fund (IMF) - 2002

The paper investigates the existence of "super pro-poor" policies-that is, policies that directly influence the income of the poor after accounting for the effect of growth. It uses a dynamic panel estimator to capture both across- and within-country effects, and a Bayesian-type robustness check...

Persistent link: https://www.econbiz.de/10005599509

Predicting Emerging Market Currency Crashes

Perraudin, W. R. M.; Kumar, Manmohan S.; Moorthy, Uma - International Monetary Fund (IMF) - 2002

This paper assesses the extent to which crashes in emerging market currencies are predictable using simple logit models based on lagged macroeconomic and financial data. To evaluate our model, we calculate trading strategies in which an investor goes long or short in the currency depending on...

Persistent link: https://www.econbiz.de/10005825803

Nonparametric Inference Based on Sampled Minima

Ahmad, Ibrahim A. - In: Annals of Economics and Finance 3 (2002) 2, pp. 453-469

of the empirical distribution and sample moments and show how these estimates can be used to do goodness of fit testing …

Persistent link: https://www.econbiz.de/10009144911

Modelling Security Market Events in Continuous Time: Intensity based, Multivariate Point Process Models

Bowsher, Clive - Department of Economics, Oxford University - 2002

A continuous time econometric modelling framework for multivariate 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 information...

Persistent link: https://www.econbiz.de/10010605223

Some methodological aspects of validation of models in nonparametric regression

Dette, Holger; Munk, Axel - 2002

In this paper we describe some general methods for constructing goodness of fit tests in nonparametric regression … the investigation of certain goodness of fit statistics (which may depend on the particular problem and may driven by …, always to accompany such a test by an analysis of the type II error, which is in goodness of fit problems often the more …

Persistent link: https://www.econbiz.de/10009775962

Goodnes-of-fit tests for location and scale families based on a weighted L<Subscript>2</Subscript>-Wasserstein distance measure

Wet, T. - In: TEST: An Official Journal of the Spanish Society of … 11 (2002) 1, pp. 89-107

Persistent link: https://www.econbiz.de/10005390581

Goodness-of-Fit Tests for the Inverse Gaussian Distribution Based on the Empirical Laplace Transform

Henze, Norbert; Klar, Bernhard - In: Annals of the Institute of Statistical Mathematics 54 (2002) 2, pp. 425-444

Persistent link: https://www.econbiz.de/10005395739

The Inverse Gaussian Models: Analogues of Symmetry, Skewness and Kurtosis

Mudholkar, Govind; Natarajan, Rajeshwari - In: Annals of the Institute of Statistical Mathematics 54 (2002) 1, pp. 138-154

Persistent link: https://www.econbiz.de/10005760269

A Data Driven Smooth Test for Circular Uniformity

Bogdan, M.; Bogdan, K.; Futschik, A. - In: Annals of the Institute of Statistical Mathematics 54 (2002) 1, pp. 29-44

Persistent link: https://www.econbiz.de/10005169285