Search Results - subject:"Model Selection"

Parametric and Nonparametric Frequentist Model Selection and Model Averaging

Ullah, Aman; Wang, Huansha - In: Econometrics 1 (2013) 2, pp. 157-179

This paper presents recent developments in model selection and model averaging for parametric and nonparametric models …. While there is extensive literature on model selection under parametric settings, we present recently developed results in … misleading confidence intervals. Thus an alternative to model selection is model averaging where the estimated model is the …

Persistent link: https://www.econbiz.de/10010692421

Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy

Ardia, David; Boudt, Kris - Centre Interuniversitaire sur le Risque, les Politiques … - 2013

We propose to compute the implied expected returns from several candidate mean-variance efficient portfolios, exploiting the fundamental relation between the expected returns, covariance matrix and the corresponding set of mean-variance efficient portfolios. Over the 1987-2012 period and for the...

Persistent link: https://www.econbiz.de/10010693195

Model Selection in the Presence of Incidental Parameters

Lee, Yoonseok; Phillips, Peter C.B. - Center for Policy Research, Maxwell School - 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/10010701001

Assessing the Macroeconomic Forecasting Performance of Boosting - Evidence for the United States, the Euro Area, and Germany

Buchen, Teresa; Wohlrabe, Klaus - CESifo - 2013

The use of large datasets for macroeconomic forecasting has received a great deal of interest recently. Boosting is one possible method of using high-dimensional data for this purpose. It is a stage-wise additive modelling procedure, which, in a linear specification, becomes a variable selection...

Persistent link: https://www.econbiz.de/10010627573

Forecasting the Risk of Speculative Assets by Means of Copula Distributions

Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...

Persistent link: https://www.econbiz.de/10010632797

Comparing variable selection techniques for linear regression: LASSO and Autometrics.

Epprecht, Camila; Guegan, Dominique; Veiga, Álvaro - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2013

In this paper, we compare two different variable selection approaches for linear regression models: Autometrics (automatic general-to-specific selection) and LASSO (?1-norm regularization). In a simulation study, we show the performance of the methods considering the predictive power (forecast...

Persistent link: https://www.econbiz.de/10010720623

Infinite Order Cross-Validated Local Polynomial Regression

Hall, Peter G.; Racine, Jeffrey S. - Department of Economics, McMaster University - 2013

Many practical problems require nonparametric estimates of regression functions, and local polynomial regression has emerged as a leading approach. In applied settings practitioners often adopt either the local constant or local linear variants, or choose the order of the local polynomial to be...

Persistent link: https://www.econbiz.de/10010603704

Composite Quantile Regression for the Single-Index Model

Fan, Yan; Härdle, Wolfgang Karl; Wang, Weining; Zhu, Lixing - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

Quantile regression is in the focus of many estimation techniques and is an important tool in data analysis. When it comes to nonparametric specifications of the conditional quantile (or more generally tail) curve one faces, as in mean regression, a dimensionality problem. We propose a...

Persistent link: https://www.econbiz.de/10010609988

Finding the Best Indicators to Identify the Poor

BAH, Adama - Centre d'Études et de Recherches sur le Développement … - 2013

Proxy-means testing (PMT) is a method used to assess household or individual welfare level based on a set of observable indicators. The accuracy, and therefore usefulness of PMT relies on the selection of indicators that produce accurate predictions of household welfare. In this paper I propose...

Persistent link: https://www.econbiz.de/10010756217

Forecasting systemic impact in financial networks

Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

We propose a methodology for forecasting the systemic impact of financial institutions in interconnected systems. Utilizing a five-year sample including the 2008/9 financial crisis, we demonstrate how the approach can be used for timely systemic risk monitoring of large European banks and...

Persistent link: https://www.econbiz.de/10011277290