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  • Search: subject:"Model misspecification"
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Year of publication
Subject
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model misspecification 114 Modellierung 106 Scientific modelling 99 Model misspecification 93 Theorie 70 Theory 59 Schätztheorie 45 Estimation theory 44 Model Misspecification 26 Learning 19 Risk 18 Portfolio-Management 17 Risiko 17 Robustes Verfahren 17 Portfolio selection 16 Prognoseverfahren 16 robustness 16 Bayes-Statistik 15 Bayesian inference 15 Forecasting model 15 Robust statistics 15 CAPM 14 Learning process 13 Lernprozess 13 Decision under uncertainty 12 Entscheidung unter Unsicherheit 12 Bias 11 Estimation 11 Robustness 11 Schätzung 11 Method of moments 10 Momentenmethode 10 Monte Carlo simulation 10 Stochastischer Prozess 10 Zeitreihenanalyse 10 sensitivity analysis 10 Capital income 9 Hedging 9 Kapitaleinkommen 9 Lernen 9
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Online availability
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Free 135 Undetermined 103 CC license 3
Type of publication
All
Book / Working Paper 140 Article 122 Other 1
Type of publication (narrower categories)
All
Working Paper 79 Article in journal 74 Aufsatz in Zeitschrift 74 Graue Literatur 41 Non-commercial literature 41 Arbeitspapier 40 Article 4 Aufsatz im Buch 3 Book section 3 Thesis 3 Conference paper 2 Konferenzbeitrag 2 research-article 2 Interview 1
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Language
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English 182 Undetermined 80 French 1
Author
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Robotti, Cesare 21 Kan, Raymond 19 Bonhomme, Stéphane 11 Weidner, Martin 11 Bottazzi, Giulio 10 Giachini, Daniele 10 Teräsvirta, Timo 10 Gospodinov, Nikolaj 9 Gospodinov, Nikolay 8 Lee, Seojeong 8 Antico, Andrea 6 Bohren, J. Aislinn 6 Branger, Nicole 6 Dudenhausen, Antje 6 Mahayni, Antje 6 Baumeister, Christiane 5 Hauser, Daniel 5 Kilian, Lutz 5 Ogasawara, Haruhiko 5 Schorfheide, Frank 5 Xepapadeas, Anastasios 5 Andreou, Elena 4 Aydogan, Ilke 4 Bosetti, Valentina 4 Del Negro, Marco 4 Hansen, Lars Peter 4 Koetse, Mark J. 4 Milani, Fabio 4 Monti, Francesca 4 Schlögl, Erik 4 Sloczynski, Tymon 4 Słoczyński, Tymon 4 Vardas, Giannis 4 Canova, Fabio 3 Cole, Stephen J. 3 Florax, Raymond J.G.M. 3 Hong, Liang 3 Liu, Ning 3 Lundbergh, Stefan 3 Martin, Ryan 3
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Institution
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Economics Institute for Research (SIR), Handelshögskolan i Stockholm 7 C.E.P.R. Discussion Papers 5 Fachbereich Wirtschaftswissenschaft, Goethe Universität Frankfurt am Main 3 School of Economics, UNSW Business School 3 University of Bonn, Germany 3 Bank of England 2 European Central Bank 2 Federal Reserve Bank of Atlanta 2 Tilburg University, Center for Economic Research 2 Barcelona Graduate School of Economics (Barcelona GSE) 1 CESifo 1 Center for Financial Studies 1 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 1 Centre for Macroeconomics (CFM) 1 Department of Economics and Finance, College of Business and Economics 1 Department of Economics, Boston College 1 Department of Economics, Oxford University 1 Department of Economics, University of California-Irvine 1 Department of Economics, University of Crete 1 Department of Economics, University of Victoria 1 EconWPA 1 Economics Group, Nuffield College, University of Oxford 1 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen en Bedrijfskunde, Vrije Universiteit 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Finance Discipline Group, Business School 1 Fondazione ENI Enrico Mattei (FEEM) 1 Institute of Economic Research, Kyoto University 1 School of Economics and Management, University of Aarhus 1 Tinbergen Institute 1 Tinbergen Instituut 1 USI Università della Svizzera italiana 1 University of Cyprus Department of Economics 1 VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1 World Scientific Publishing Co. Pte. Ltd. 1
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Published in...
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Working Paper 12 SSE/EFI Working Paper Series in Economics and Finance 9 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 7 Journal of econometrics 7 Bonn Econ Discussion Papers 6 CEPR Discussion Papers 5 Journal of Econometrics 5 Management science : journal of the Institute for Operations Research and the Management Sciences 5 CEMMAP working papers / Centre for Microdata Methods and Practice 4 CESifo Working Paper 4 Discussion papers / CEPR 4 Journal of financial economics 4 Psychometrika 4 Working papers / Federal Reserve Bank of Atlanta 4 Working papers / Penn Institute for Economic Research 4 cemmap working paper 4 CESifo working papers 3 Discussion Papers / School of Economics, UNSW Business School 3 Journal of Multivariate Analysis 3 LEM Working Paper Series 3 LEM working paper series 3 Working Paper Series: Finance and Accounting 3 Working paper 3 Annals of the Institute of Statistical Mathematics 2 Applied economics 2 Bank of England working papers 2 BuR - Business Research 2 Computational Statistics 2 Discussion Paper / Tilburg University, Center for Economic Research 2 Discussion paper / Tinbergen Institute 2 Discussion paper series / IZA 2 ECB Working Paper 2 Economics Letters 2 Economics letters 2 Epidemiologic Methods 2 European journal of operational research : EJOR 2 Finance research letters 2 IZA Discussion Papers 2 Journal for studies in economics and econometrics : SEE 2 Journal of economic dynamics & control 2
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Source
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ECONIS (ZBW) 121 RePEc 93 EconStor 43 BASE 4 Other ZBW resources 2
Showing 1 - 10 of 263
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From model misspecification to multidimensional welfare : a conversation with Professor Esfandiar Maasoumi
Maasoumi, Esfandiar (interviewee); Jawadi, Fredj (interviewer) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 29 (2025) 4, pp. 405-424
Persistent link: https://www.econbiz.de/10015460256
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Untangling illiquidity : optimal asset allocation with private asset classes
Dimitrov, Daniel - 2025
Persistent link: https://www.econbiz.de/10015193017
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Why applied macroeconomists should not use Bayesian estimation of DSGE models
Meenagh, David; Minford, Patrick; Xu, Yongdeng - 2025
This paper argues that the common practice of Bayesian estimation in applied macroeconomic DSGE modeling can lead to severely biased results when the imposed prior beliefs are misspecified. We demonstrate, through controlled Monte Carlo experiments on two canonical DSGE models (a Real Business...
Persistent link: https://www.econbiz.de/10015549860
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Pricing anomalies in a general equilibrium model with biased learning
Antico, Andrea; Bottazzi, Giulio; Giachini, Daniele - 2024
We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets and cognitively biased agents, accounting for the presence of representativeness heuristic, conservatism, and anchoring and adjusting in their beliefs. We characterize anomalies...
Persistent link: https://www.econbiz.de/10014577247
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Measuring and testing systemic risk from the cross-section of stock returns
Gil Jaime, Jesús; Olmo, Jose - In: Journal of financial econometrics 22 (2024) 5, pp. 1503-1531
Persistent link: https://www.econbiz.de/10015338815
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Behavioral foundations of model misspecification
Bohren, J. Aislinn; Hauser, Daniel - 2024
Persistent link: https://www.econbiz.de/10015078775
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Optimization strategy for the modeling and estimation of interactive effects
Hu, Xiaohui - In: Prague economic papers : a bimonthly journal of … 33 (2024) 3, pp. 261-276
Modeling policy effects in the context of high-dimensional data requires a balanced consideration of omitted interaction bias and overfitting problems. This paper investigates the role of machine learning algorithms in stabilizing estimates and demonstrates the possible regularization bias...
Persistent link: https://www.econbiz.de/10015054100
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Pricing anomalies in a general equilibrium model with biased learning
Antico, Andrea; Bottazzi, Giulio; Giachini, Daniele - 2024
We investigate the emergence of momentum and reversal anomalies in a general equilibrium model with complete markets and cognitively biased agents, accounting for the presence of representativeness heuristic, conservatism, and anchoring and adjusting in their beliefs. We characterize anomalies...
Persistent link: https://www.econbiz.de/10014531948
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Unexpected opportunities in misspecified predictive regressions
Coqueret, Guillaume; Deguest, Romain - In: European journal of operational research : EJOR 318 (2024) 2, pp. 686-700
Persistent link: https://www.econbiz.de/10015048042
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Market selection and learning under model misspecification
Bottazzi, Giulio; Giachini, Daniele; Ottaviani, Matteo - 2023
misspecified models. Under model misspecification, standard Bayesian learning loses its formal justification and biased learning … processes may provide a selection advantage. However, considering two cases of model misspecification and four learning … long-run asset valuation model robust to model misspecification appears out of reach. …
Persistent link: https://www.econbiz.de/10014541784
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