Search Results - subject:"Model Selection"

Forecast accuracy matters for hurricane damage

Martinez, Andrew B. - In: Econometrics 8 (2020) 2, pp. 1-24

I analyze damage from hurricane strikes on the United States since 1955. Using machine learning methods to select the most important drivers for damage, I show that large errors in a hurricane's predicted landfall location result in higher damage. This relationship holds across a wide range of...

Persistent link: https://www.econbiz.de/10012696281

Model selection procedures in bounds test of cointegration : theoretical comparison and empirical evidence

Badshah, Waqar; Bulut, Mehmet - In: Economies : open access journal 8 (2020) 2/49, pp. 1-23

Only unstructured single-path model selection techniques, i.e., Information Criteria, are used by Bounds test of … cointegration for model selection. The aim of this paper was twofold; one was to evaluate the performance of these five routinely … selection procedure may be used as it is strongly theoretically supported and avoids noise in the model selection process. …

Persistent link: https://www.econbiz.de/10012238626

Forecasting inflation in Bosnia and Herzegovina

Hasanović, Elma - 2020

The purpose of this paper is to evaluate the performance of some leading univariate and multivariate models: ARIMA, the standard OLS VAR and Bayesian VAR models, in forecasting inflation in Bosnia and Herzegovina. Although the presented models are small and highly aggregated, they provide a...

Persistent link: https://www.econbiz.de/10012203436

Modeling green knowledge production and environmental policies with semiparametric panel data regression models

Mazzanti, Massimiliano; Musolesi, Antonio - 2020 - Revised version

Persistent link: https://www.econbiz.de/10012317932

A semiparametric analysis of green inventions and environmental policies

Mazzanti, Massimiliano; Musolesi, Antonio - 2020

Persistent link: https://www.econbiz.de/10012317936

Forecast accuracy matters for hurricane damage

Martinez, Andrew B. - In: Econometrics : open access journal 8 (2020) 2/18, pp. 1-24

Persistent link: https://www.econbiz.de/10012265501

Application of a vine copula for multi-line insurance reserving

Jeong, Himchan; Dey, Dipak - In: Risks : open access journal 8 (2020) 4/111, pp. 1-23

This article introduces a novel use of the vine copula which captures dependence among multi-line claim triangles, especially when an insurance portfolio consists of more than two lines of business. First, we suggest a way to choose an optimal joint loss development model for multiple lines of...

Persistent link: https://www.econbiz.de/10012385102

Forecasting the returns of cryptocurrency : a model averaging approach

Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 13 (2020) 11/278, pp. 1-15

conduct model selection for an autoregressive distributed lag (ARDL) model using several popular penalized least squares …

Persistent link: https://www.econbiz.de/10012388749

First in, first out : econometric modelling of UK annual CO2 emissions : 1860-2017

Hendry, David F. - 2020

Persistent link: https://www.econbiz.de/10012492599

Robust discovery of regression models

Castle, Jennifer; Doornik, Jurgen A.; Hendry, David F. - 2020

Persistent link: https://www.econbiz.de/10012492604