Search Results - subject:"Model Misspecification"

On the computation of detection error probabilities under normality assumptions

Okubo, Masakatsu - In: Economics letters 171 (2018), pp. 106-109

Persistent link: https://www.econbiz.de/10012021850

Robust iInference in linear asset pricing models

Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare - 2012

We derive new results on the asymptotic behavior of the estimated parameters of a linear asset pricing model and their associated t-statistics in the presence of a factor that is independent of the returns. The inclusion of this useless factor in the model leads to a violation of the full rank...

Persistent link: https://www.econbiz.de/10010292218

Comment on "how biased are US government forecasts of the federal debt?"

Gamber, Edward N.; Liebner, Jeffrey P. - In: International journal of forecasting 33 (2017) 2, pp. 560-562

Persistent link: https://www.econbiz.de/10011922926

Hedging of Asian options under exponential Lévy models : computation and performance

Ballotta, Laura; Gerrard, Russell; Kyriakou, Ioannis - In: The European journal of finance 23 (2017) 4/6, pp. 297-323

Persistent link: https://www.econbiz.de/10011736257

Spurious inference in reduced-rank asset-pricing models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 5, pp. 1613-1628

Persistent link: https://www.econbiz.de/10011791596

Fair value accounting in the absence of prudence in accounting standards : an illustration with exotic derivatives

Marabel-Romo, Jacinto; Guiral, Andrés; Crespo Espert, … - In: Spanish journal of finance and accounting 46 (2017) 2/174, pp. 145-167

Persistent link: https://www.econbiz.de/10012128154

Investigating the Effects of Sample Size, Model Misspecification, and Underreporting in Crash Data on Three Commonly Used Traffic Crash Severity Models

Lord, Dominique (contributor) - 2011

have not been sufficiently explored: sample size, model misspecification and underreporting in crash data. Therefore, in …) and mixed logit model (ML) were studied in terms of the effects of sample size, model misspecification and underreporting … model is intermediate to the other two models. In addition, when the sample size is sufficient, the results of model …

Persistent link: https://www.econbiz.de/10009465135

Chi-squared tests for evaluation and comparison of asset pricing models

Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare - 2011

This paper presents a general statistical framework for estimation, testing, and comparison of asset pricing models using the unconstrained distance measure of Hansen and Jagannathan (1997). The limiting results cover both linear and nonlinear models that could be correctly specified or...

Persistent link: https://www.econbiz.de/10010292301

Predictive inference under model misspecification with an application to assessing the marginal predictive content of money for output

Armah, Nii Ayi; Swanson, Norman R. - 2011

In this chapter we discuss model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with particular emphasis on the construction of valid bootstrap...

Persistent link: https://www.econbiz.de/10010282865

A Note on the Mantel-Haenszel Estimators When the Common Effect Assumptions Are Violated

Noma, Hisashi; Nagashima, Kengo - In: Epidemiologic Methods 5 (2016) 1, pp. 19-35

Abstract The Mantel-Haenszel estimators for the common effect parameters of stratified 2×2 tables have been widely adopted in epidemiological and clinical studies for controlling the effects of confounding factors. Although the Mantel-Haenszel estimators are simple and effective estimating...

Persistent link: https://www.econbiz.de/10014590609