Search Results - subject:"Model Selection"

Characterizing economic trends by Bayesian stochastic model specification search

Grassi, Stefano; Proietti, Tommaso - 2010

We apply a recently proposed Bayesian model selection technique, known as stochastic model specification search, for …

Persistent link: https://www.econbiz.de/10011496128

Härdle, Wolfgang Karl; López Cabrera, Brenda; Okhrin, … - 2010

On the temperature derivative market, modeling temperature volatility is an important issue for pricing and hedging. In order to apply pricing tools of financial mathematics, one needs to isolate a Gaussian risk factor. A conventional model for temperature dynamics is a stochastic model with...

Persistent link: https://www.econbiz.de/10010281518

Post-l1-penalized estimators in high-dimensional linear regression models

Belloni, Alexandre; Chernozhukov, Victor - 2010

the LASSO-based model selection fails” in the sense of missing some components of the true” regression model. By the true …-LASSO can perform strictly better than LASSO, in the sense of a strictly faster rate of convergence, if the LASSO-based model … selection correctly includes all components of the true” model as a subset and also achieves a sufficient sparsity. In the …

Persistent link: https://www.econbiz.de/10010288394

AUK: a simple alternative to the AUC

Kaymak, Uzay; Ben-David, Ben-David, A.; Potharst, … - Erasmus Research Institute of Management (ERIM), … - 2010

The area under Receiver Operating Characteristic (ROC) curve, also known as the AUC-index, is commonly used for ranking the performance of data mining models. The AUC has many merits, such as objectivity and ease of interpretation. However, since it is class indifferent, its usefulness while...

Persistent link: https://www.econbiz.de/10010731206

Model Selection and Testing of Conditional and Stochastic Volatility Models

Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010

criteria, and conditions for the existence of moments and asymptotic theory, as well as the out-of-sample model selection …

Persistent link: https://www.econbiz.de/10010731696

Evaluating Automatic Model Selection

Castle, Jennifer; Hendry, David; Doornik, Jurgen A. - Department of Economics, Oxford University - 2010

We evaluate automatically selecting the relevant variables in an econometric model from a large candidate set. General-to-specific selection is outlined for a constant model in orthogonal variables, where only one decision is required to select, irrespective of the number of regressors (N T)...

Persistent link: https://www.econbiz.de/10011004249

Model selection in hidden Markov models : a simulation study

Costa, Michele; angelis, Luca De - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2010

A review of model selection procedures in hidden Markov models reveals contrasting evidence about the reliability and … Carlo experiment which allows a powerful insight on the behaviour of the most widespread model selection methods. We find …

Persistent link: https://www.econbiz.de/10011228130

The determinants of macroeconomic volatility: A Bayesian model averaging approach

Spiliopoulos, Leonidas - Volkswirtschaftliche Fakultät, … - 2010

Bayesian model averaging is applied to robustly ascertain the determinants of various output volatility measures, including the downside semideviation of growth rates. Financial sophis- tication variables are found to have qualitatively different effects on volatility. The ratio of govern- ment...

Persistent link: https://www.econbiz.de/10008727913

Automatic Selection for Non-linear Models

Castle, Jennifer; Hendry, David - Department of Economics, Oxford University - 2010

-linear automatic model selection algorithm Autometrics. …

Persistent link: https://www.econbiz.de/10008497743

Forecast Combination Based on Multiple Encompassing Tests in a Macroeconomic DSGE System

Costantini, Mauro; Gunter, Ulrich; Kunst, Robert M. - Department of Economics and Finance Research and … - 2010

We use data generated by a macroeconomic DSGE model to study the relative benefits of forecast combinations based on forecast-encompassing tests relative to simple uniformly weighted forecast averages across rival models. Assumed rival models are four linear autoregressive specifications, one of...

Persistent link: https://www.econbiz.de/10008506091