Search Results - subject:"Model Misspecification"

Eliasson, Ann-Charlotte; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2002

In this note, we consider the contradiction between the fact that the best fit for the UK consumption data in Davidson et al. (1978) is obtained using an equation with an intercept but without an error correction term, whereas the equation with error correction and without the intercept has...

Persistent link: https://www.econbiz.de/10005649132

Building neural network models for time series: A statistical approach

Medeiros, Marcelo C.; Teräsvirta, Timo; Rech, Gianluigi - Economics Institute for Research (SIR), … - 2002

This paper is concerned with modelling time series by single hidden-layer feedforward neural network models. A coherent modelling strategy based on statistical inference is presented. Variable selection is carried out using existing techniques. The problem of selecting the number of hidden units...

Persistent link: https://www.econbiz.de/10005649189

Testing the Validity of a Demand Model: An Operations Perspective

Besbes, Omar; Phillips, Robert; Zeevi, Assaf - In: Manufacturing & Service Operations Management 12 (2010) 1, pp. 162-183

The fields of statistics and econometrics have developed powerful methods for testing the validity (specification) of a model based on its fit to underlying data. Unlike statisticians, managers are typically more interested in the performance of a decision rather than the statistical validity of...

Persistent link: https://www.econbiz.de/10009218686

Moment Restriction-based Econometric Methods: An Overview

Kunitomo, Naoto; McAleer, Michael; Nishiyama, Yoshihiko - Department of Economics and Finance, College of … - 2010

Moment restriction-based econometric modelling is a broad class which includes the parametric, semiparametric and nonparametric approaches. Moments and conditional moments themselves are nonparametric quantities. If a model is specified in part up to some finite dimensional parameters, this will...

Persistent link: https://www.econbiz.de/10008692052

Asymptotic cumulants of the parameter estimators in item response theory

Ogasawara, Haruhiko - In: Computational Statistics 24 (2009) 2, pp. 313-331

Persistent link: https://www.econbiz.de/10004999501

On the estimators of model-based and maximal reliability

Ogasawara, Haruhiko - In: Journal of Multivariate Analysis 100 (2009) 6, pp. 1232-1244

estimators and their logarithmic transformations are derived under arbitrary distributions with possible model misspecification …. The theoretical results considering model misspecification when a model does not hold are shown to be closer to their … simulated values than those neglecting model misspecification. Simulations of the confidence intervals using the normal …

Persistent link: https://www.econbiz.de/10005152879

Evaluating estimation methods for ordinal data in structural equation modeling

Lei, Pui-Wa - In: Quality & Quantity: International Journal of Methodology 43 (2009) 3, pp. 495-507

Persistent link: https://www.econbiz.de/10009391020

Testing Affine Term Structure Models in Case of Transaction Costs

Driessen, Joost; Melenberg, Bertrand; Nijman, Theo - Tilburg University, Center for Economic Research - 1999

In this paper we empirically analyze the impact of transaction costs on the performance of affine interest rate models. We test the implied (no arbitrage) Euler restrictions, and we calculate the specification error bound of Hansen and Jagannathan to measure the extent to which a model is...

Persistent link: https://www.econbiz.de/10011091459

Modelling economic high-frequency time series

Lundbergh, Stefan; Teräsvirta, Timo - 1999

In this paper we introduce the STAR-STGARCH model that can characterizenonlinear behaviour both in the conditional mean and the conditionalvariance. A modelling cycle for this family of models, consisting ofspecification, estimation, and evaluation stages is constructed.Misspecification tests...

Persistent link: https://www.econbiz.de/10011300552

Direct importance estimation for covariate shift adaptation

Sugiyama, Masashi; Suzuki, Taiji; Nakajima, Shinichi; … - In: Annals of the Institute of Statistical Mathematics 60 (2008) 4, pp. 699-746

Persistent link: https://www.econbiz.de/10005616154