Search Results - subject:"Model Selection"

A plug-in averaging estimator for regressions with heteroskedastic errors

LIU, CHU-AN - Volkswirtschaftliche Fakultät, … - 2012

maximum regret than other existing model selection and model averaging methods. As an empirical illustration, the proposed …

Persistent link: https://www.econbiz.de/10011109051

Marginal Likelihood Estimation with the Cross-Entropy Method

Chan, Joshua; Eisenstat, Eric - Volkswirtschaftliche Fakultät, … - 2012

We consider an adaptive importance sampling approach to estimating the marginal likelihood, a quantity that is fundamental in Bayesian model comparison and Bayesian model averaging. This approach is motivated by the difficulty of obtaining an accurate estimate through existing algorithms that...

Persistent link: https://www.econbiz.de/10011114415

On Multivariate Methods in Robust Econometrics

Kalina, Jan - In: Prague Economic Papers 2012 (2012) 1, pp. 69-82

This work studies implicitly weighted robust statistical methods suitable for econometric problems. We study robust estimation mainly for the context of heteroscedasticity or high dimension, which are up-to-date topics of current econometrics. We describe a modification of linear regression...

Persistent link: https://www.econbiz.de/10011195573

Bonferroni-Based Size-Correction for Nonstandard Testing Problems

McCloskey, Adam - Brown University, Department of Economics - 2012

hypothesis tests on parameters after consistent model selection and tests on super-ecient/hard-thresholding estimators. We detail … the construction and performance of the new tests in three specic examples: testing after conservative model selection …, testing when a nuisance parameter may be on a boundary and testing after consistent model selection. …

Persistent link: https://www.econbiz.de/10011196591

A simple specification procedure for the transition function in persistent nonlinear time series models

Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2012

A simple procedure for the specification of the transition function describing the regime switch in nonlinear autoregressive models is proposed. This procedure is based on auxiliary regressions of unit root tests and is applicable to a variety of transition functions. In contrast to other...

Persistent link: https://www.econbiz.de/10010769238

Macroeconomic Shocks and the Probability of Being Employed

Kornstad, Tom; Nymoen, Ragnar; Skjerpen, Terje - Økonomisk institutt, Universitetet i Oslo - 2012

the number of redundant indicator variables as far as possible and in a systematic way, an automatic model selection is …

Persistent link: https://www.econbiz.de/10010785521

Evaluating a Global Vector Autoregression for Forecasting

Ericsson, Neil R.; Reisman, Erica L. - Department of Economics, George Washington University - 2012

Global vector autoregressions (GVARs) have several attractive features: multiple potential channels for the international transmission of macroeconomic and financial shocks, a standardized economically appealing choice of variables for each country or region examined, systematic treatment of...

Persistent link: https://www.econbiz.de/10010878557

Selecting forecasting models for portfolio allocation

Clements, Adam E; Doolan, Mark; Hurn, Stan; Becker, Ralf - National Centre for Econometric Research (NCER) - 2012

Techniques for evaluating and selecting multivariate volatility forecasts are not yet as well understood as their univariate counterparts. This paper considers the ability of different loss functions to discriminate between a competing set of forecasting models which are subsequently applied in...

Persistent link: https://www.econbiz.de/10010854935

Influence of Flexible Crop Yield Distribution on Crop Insurance Premium Rate - A Case Study on Cotton Insurance in Three Areas of Xinjiang

Wang, Ke; Zhang, Qiao - In: Asian Agricultural Research 04 (2012) 05

Based on theoretical analysis of crop risk and premium rate setting, we take the case of premium rate setting of insurance on cotton yield per unit area in Shache County, Shaya County and Aksu City of Xinjiang. Using parametric methods and insurance actuarial technique, we select the optimal...

Persistent link: https://www.econbiz.de/10010918791

Forecasting with Bayesian Vector Autoregressions

Karlsson, Sune - Handelshögskolan, Örebro Universitet - 2012

Prepared for the Handbook of Economic Forecasting, vol 2 <p> This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by extension, forecasting depends on numerical methods for simulating from the posterior distribution of the parameters and spe-...</p>

Persistent link: https://www.econbiz.de/10011019076