Search Results - subject:"Model Misspecification"

Acknowledging Misspecification in Macroeconomic Theory

Hansen, Lars Peter; Sargent, Thomas J. - In: Review of Economic Dynamics 4 (2001) 3, pp. 519-535

We explore methods for confronting model misspecification in macroeconomics. We construct dynamic equilibria in which … frequency domain methods, we show that robust decision-makers treat model misspecification like time series econometricians. …

Persistent link: https://www.econbiz.de/10005027370

Evaluating GARCH models

Lundbergh, Stefan; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1998

In this paper a unified framework for testing the adequacy of an estimated GARCH model is presented. Parametric LM or LM type tests of no ARCH in standardized errors, linearity, and parameter constancy are proposed. The asymptotic null distributions of the tests are standard, which makes...

Persistent link: https://www.econbiz.de/10005649341

Fitting a Normal Distribution When the Model is Wrong

Copas, J.B.; Stride, C.B. - In: Annals of the Institute of Statistical Mathematics 49 (1997) 4, pp. 601-614

Persistent link: https://www.econbiz.de/10005616121

A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior

Lucas, Andr‚ - VU University Amsterdam, Faculty of Economics, Business … - 1997

Many financial time-series show leptokurtic behavior, i.e., fat tails. Such tail behavior is important for risk management. In this paper I focus on the calculation of Value-at-Risk (VaR) as a downside-risk measure for optimal asset portfolios. Using a framework centered around the Student t...

Persistent link: https://www.econbiz.de/10005150661

Indicators of Ill-Conditioned Data Sets and Model Misspecification in Data Envelopment Analysis: An Extended Facet Approach

Olesen, O. B.; Petersen, N. C. - In: Management Science 42 (1996) 2, pp. 205-219

Date Envelopment Analysis (DEA) employs mathematical programming to measure the relative efficiency of Decision Making Units (DMUs). This paper is concerned with development of indicators to determine whether or not the specification of the input and output space is supported by data in the...

Persistent link: https://www.econbiz.de/10009204415

Testing the Adequacy of Smooth Transition Autoregressive Models

Eitrheim, Øyvind; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1995

Smooth transition autoregressive models are a flixible family of nonlinear time series models that have also been used for modelling economic data. This paper contributes to the evaluation stage of a proposed specification, estimation, and evaluation cycle of this models by introducing a...

Persistent link: https://www.econbiz.de/10005190874

Constructing a covariance matrix that yields a specified minimizer and a specified minimum discrepancy function value

Cudeck, Robert; Browne, Michael - In: Psychometrika 57 (1992) 3, pp. 357-369

Persistent link: https://www.econbiz.de/10005184044

Uncertainty within Economic Models

Hansen, Lars Peter; Sargent, Thomas J - World Scientific Publishing Co. Pte. Ltd.

precautionary decisions designed to protect themselves from adverse consequences of model misspecification. This behavior has … market prices of model uncertainty. The chapters discuss ways of calibrating agents' fears of model misspecification in …, Prices of Risk, and Model Detection</li> <li>Robust Control and Model Uncertainty</li> <li>Robust Control and Model …

Persistent link: https://www.econbiz.de/10011010980