Search Results - subject:"Model Misspecification"

Monetary policy analysis with potentially misspecified models

Del Negro, Marco; Schorfheide, Frank - 2008

Policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models faces two challenges: estimation of parameters that are relevant for policy trade-offs and treatment of estimated deviations from the cross-equation restrictions. This paper develops and explores...

Persistent link: https://www.econbiz.de/10010283564

Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?

Branger, Nicole; Schlag, Christian - Fachbereich Wirtschaftswissenschaft, Goethe … - 2008

models. We show, however, that the problems of discrete trading and model mis-specification, which are necessarily present in …

Persistent link: https://www.econbiz.de/10005102178

Inflation persistence, structural breaks and omitted variables: a critical view

Vaona, Andrea - USI Università della Svizzera italiana - 2008

. Their reliability is discussed in the light of the econometric literature on model misspecification and it is showed that …

Persistent link: https://www.econbiz.de/10005030050

The Risk Management of Minimum Return Guarantees

Mahayni, Antje; Schlögl, Erik - In: BuR - Business Research 1 (2008) 1, pp. 55-76

robust with respect to model misspecification if the assumed Black/Scholesvolatilitydominatesthetruevolatil- ity (and vice … shouldbedrivenbyastrategywhichisrobustwith respect to model misspecification. To this end, suppose that the true dynamics of the …-hedge is the poten- tial for model misspecification. For options with convex(concave)payoffs,thisproblemcanbemit- igated by …

Persistent link: https://www.econbiz.de/10010615507

Model Misspecification When Excluding Instrumental Variables from PS Models in Settings Where Instruments Modify the Effects of Covariates on Treatment

Wyss, Richard; Ellis, Alan R.; Lunt, Mark; Brookhart, … - In: Epidemiologic Methods 3 (2014) 1, pp. 83-96

flexible PS models after excluding IVs or using the full model to marginalize over IVs can prevent model misspecification along …

Persistent link: https://www.econbiz.de/10014590596

Identifying the Sources of Model Misspecification

Inoue, Atsushi; Kuo, Chun-Hung; Rossi, Barbara - C.E.P.R. Discussion Papers - 2014

In this paper we propose empirical methods for detecting and identifying misspecifications in DSGE models. We introduce wedges in a DSGE model and identify potential misspecification via forecast error variance decomposition (FEVD) and marginal likelihood analyses. Our simulation results based...

Persistent link: https://www.econbiz.de/10011083456

Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators

Lee, Seojeong - In: Journal of Econometrics 178 (2014) P3, pp. 398-413

function, which has been considered as critical for GMM. Regardless of model misspecification, the proposed bootstrap achieves …

Persistent link: https://www.econbiz.de/10010730128

Misspecified Mean Function Regression

Berk, Richard; Brown, Lawrence; Buja, Andreas; George, … - In: Sociological Methods & Research 43 (2014) 3, pp. 422-451

There are over three decades of largely unrebutted criticism of regression analysis as practiced in the social sciences. Yet, regression analysis broadly construed remains for many the method of choice for characterizing conditional relationships. One possible explanation is that the existing...

Persistent link: https://www.econbiz.de/10010892936

Local Dependence in Latent Class Analysis of Rare and Sensitive Events

Berzofsky, Marcus E.; Biemer, Paul P.; Kalsbeek, William D. - In: Sociological Methods & Research 43 (2014) 1, pp. 137-170

For survey methodologists, latent class analysis (LCA) is a powerful tool for assessing the measurement error in survey questions, evaluating survey methods, and estimating the bias in estimates of population prevalence. LCA can be used when gold standard measurements are not available and...

Persistent link: https://www.econbiz.de/10010789508

A semi-parametric approach for estimating critical fractiles under autocorrelated demand

Lee, Yun Shin - In: European Journal of Operational Research 234 (2014) 1, pp. 163-173

Forecasting critical fractiles of the lead time demand distribution is an important problem for operations managers making newsvendor-type inventory decisions. In this paper, we propose a semi-parametric approach to forecasting the critical fractile when demand is serially correlated. Starting...

Persistent link: https://www.econbiz.de/10010871265