Search Results - subject:"Model Selection"

ASYMMETRIC PRICE TRANSMISSION MODELING: THE IMPORTANCE OF MODEL COMPLEXITY AND THE PERFORMANCE OF THE SELECTION CRITERIA

DE-GRAFT, ACQUAH HENRY - In: Russian Journal of Agricultural and Socio-Economic Sciences 13 (2013) 3, pp. 43-48

transmission models or theories. However, little is understood about the sensitivity of the model selection methods to model … and evaluates the ability of the model selection methods to recover the true model. The results of Monte Carlo … also shown that the model selection methods performed better in large samples for a complex asymmetric data generating …

Persistent link: https://www.econbiz.de/10011222441

Distribution Theory of the Least Squares Averaging Estimator

Liu, Chu-An - Volkswirtschaftliche Fakultät, … - 2013

This paper derives the limiting distributions of least squares averaging estimators for linear regression models in a local asymptotic framework. We show that the averaging estimators with fixed weights are asymptotically normal and then develop a plug-in averaging estimator that minimizes the...

Persistent link: https://www.econbiz.de/10011114098

Model uncertainty and expected return proxies

Jäckel, Christoph - Volkswirtschaftliche Fakultät, … - 2013

Over the last two decades, alternative expected return proxies have been proposed with substantially lower variation than realized returns. This helped to reduce parameter uncertainty and to identify many seemingly robust relations between expected returns and variables of interest, which would...

Persistent link: https://www.econbiz.de/10011114160

Pivotal estimation in high-dimensional regression via linear programming

Gautier, Eric; Tsybakov, Alexandre - HAL - 2013

We propose a new method of estimation in high-dimensional linear regression model. It allows for very weak distributional assumptions including heteroscedasticity, and does not require the knowledge of the variance of random errors. The method is based on linear programming only, so that its...

Persistent link: https://www.econbiz.de/10010821466

Shrinkage estimation of high-dimensional factor models with structural instabilities

Cheng, Xu; Liao, Zhipeng; Schorfheide, Frank - Federal Reserve Bank of Philadelphia - 2013

uniform control of the family-wise model selection errors over an increasing number of variables. The shrinkage estimator only …

Persistent link: https://www.econbiz.de/10010732487

An empirical study of predicting car type choice in Sweden using cross-validation and feature-selection

Habibi, Shiva; Sundberg, Marcus; Karlström, Anders - CTS - Centre for Transport Studies Stockholm (KTH and VTI) - 2013

In this paper we analyze the prediction problem and focus on building a multinomial logit model (MNL) to predict accurately, the market shares of new cars in the Swedish car fleet in the short-term future. Also, we investigate whether or not different prediction questions lead to different...

Persistent link: https://www.econbiz.de/10010762009

Model Selection in the Presence of Incidental Parameters

Lee, Yoonseok; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2013

This paper considers model selection in nonlinear panel data models where incidental parameters or large … known that conventional model selection procedures are often inconsistent in panel models and this can be so even without … nuisance parameters (Han et al, 2012). Modifications are then needed to achieve consistency. New model selection information …

Persistent link: https://www.econbiz.de/10010895640

Conditiona l Forecast Selection from Many Forecasts: An Application to the Yen/Dollar Exchange Rate

Kawakami, Kei - Department of Economics, Faculty of Business and Economics - 2013

This paper proposes a new method for forecast selection from a pool of many forecasts. The method uses conditional information as proposed by Giacomini and White (2006). It also extends their pairwise switching method to a situation with many forecasts. I apply the method to the monthly...

Persistent link: https://www.econbiz.de/10010903380

Graphical network models for international financial flows

Giudici, Paolo; Spelta, Alessandro - Dipartimento di Scienze Economiche e Aziendali, … - 2013

The late-2000s financial crisis has stressed the need of understanding the world financial system as a network of countries, where cross-border financial linkages play a fundamental role in the spread of systemic risks. Financial network models, that take into account the complex...

Persistent link: https://www.econbiz.de/10010842835

Labour market performance in OECD countries: A comprehensive empirical modelling approach of institutional interdependencies

Sachs, Andreas; Schleer, Frauke - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2013

institutional interdependencies by applying a model selection approach which is innovative within this literature. In doing so, we …

Persistent link: https://www.econbiz.de/10010957711