Search Results - subject:"Logarithmic Transformation"

Log versus level in VAR forecasting: 42 million empirical answers—Expect the unexpected

Mayr, Johannes; Ulbricht, Dirk - In: Economics Letters 126 (2015) C, pp. 40-42

The use of log-transformed data has become standard in macroeconomic forecasting with VAR models. However, its appropriateness in the context of out-of-sample forecasts has not yet been exposed to a thorough empirical investigation. With the aim of filling this void, a broad sample of VAR models...

Persistent link: https://www.econbiz.de/10011189562

Bayesian analysis of asymmetric stochastic conditional duration model

Men, Zhongxian; Kolkiewicz, Adam W.; Wirjanto, Tony S. - In: Journal of forecasting 34 (2015) 1, pp. 36-56

Persistent link: https://www.econbiz.de/10011305352

Log versus level in VAR forecasting : 42 million empirical answers ; expect the unexpected

Mayr, Johannes; Ulbricht, Dirk - In: Economics letters 126 (2015), pp. 40-42

Persistent link: https://www.econbiz.de/10011376386

Log versus level in VAR forecasting: 16 Million empirical answers - expect the unexpected

Mayr, Johannes; Ulbricht, Dirk - 2007

Persistent link: https://www.econbiz.de/10010312097

Log versus level in VAR forecasting: 16 Million empirical answers - expect the unexpected

Mayr, Johannes; Ulbricht, Dirk - ifo Leibniz-Institut für Wirtschaftsforschung an der … - 2007

Persistent link: https://www.econbiz.de/10005046841

Statistical inference of risk ratio in a correlated <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$2 \times 2$$</EquationSource> </InlineEquation> table with structural zero

Wang, Shun-Fang; Wang, Xue-Ren - In: Computational Statistics 28 (2013) 4, pp. 1599-1615

the logarithmic transformation are proposed, with methods of the sample estimation and the constrained maximum likelihood … size formulae required for a specific power for these tests are presented. Simulation results suggest that the logarithmic … transformation test based on CMLE method outperforms the other tests in terms of true type I error rate. A real example is used to …

Persistent link: https://www.econbiz.de/10010998497

SOLVABILITY AND NUMERICAL SIMULATION OF BSDEs RELATED TO BSPDEs WITH APPLICATIONS TO UTILITY MAXIMIZATION

IMKELLER, PETER; RÉVEILLAC, ANTHONY; ZHANG, JIANING - In: International Journal of Theoretical and Applied … 14 (2011) 05, pp. 635-667

In this paper we study BSDEs arising from a special class of backward stochastic partial differential equations (BSPDEs) that is intimately related to utility maximization problems with respect to arbitrary utility functions. After providing existence and uniqueness we discuss the numerical...

Persistent link: https://www.econbiz.de/10009245358

Solvability and numerical simulation of BSDEs related to BSPDEs with applications to utility maximization

Imkeller, Peter; Réveillac, Anthony; Zhang, Jianing - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 635-667

Persistent link: https://www.econbiz.de/10009298518

Normalization of the origin-shifted exponential distribution for control chart construction

Kao, Shih-Chou - In: Journal of Applied Statistics 37 (2010) 7, pp. 1067-1087

whether a power or natural logarithmic transformation is used. The effects of a location parameter should be eliminated before …

Persistent link: https://www.econbiz.de/10008674955

Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited

Proietti, Tommaso - EconWPA - 2004

The paper documents and illustrates state space methods that implement time series disaggregation by regression methods, with dynamics that depend on a single autoregressive parameter. The most popular techniques for the distribution of economic flow variables, such as Chow-Lin, Fernandez and...

Persistent link: https://www.econbiz.de/10005119169