Search Results - subject:"Monte‐Carlo simulation"

Ciroth, Andreas (contributor) - 2001 - [Elektronische Ressource]

) .................................................................................... 3 Abbildung 2-2: Beispielhaftes Histogramm als Ergebnis der Monte Carlo Simulation für einen Vorhersagewert … ................................................................. 126 Abbildung 6-2: Empfohlene Verwendung der Methoden nach Gauß, Bader/Baccini und der Monte Carlo Simulation für die … Gleichung 2-6, der tatsächliche zufällige Fehler über die Standardabweichung der in der Monte Carlo Simulation berechneten …

Persistent link: https://www.econbiz.de/10001639704

A numerical analysis of the evolutionary stability of learning rules

Josephson, Jens - In: Evolution and learning in games, (pp. 67-92). 2001

Persistent link: https://www.econbiz.de/10001639867

Structural estimates of the US sacrifice ratio

Cecchetti, Stephen G.; Rich, Robert W. - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 4, pp. 416-427

Persistent link: https://www.econbiz.de/10001646355

Markov chain Monte Carlo analysis of correlated count data

Chib, Siddhartha; Winkelmann, Rainer - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 4, pp. 428-435

Persistent link: https://www.econbiz.de/10001646360

Bewertung exotischer Optionen mit Hilfe von Monte-Carlo-Simulation

Wilkens, Sascha; Röder, Klaus - In: Finanz-Betrieb : FB ; Zeitschrift für … 3 (2001) 2, pp. 118-124

Persistent link: https://www.econbiz.de/10001578942

Likelihood-Based Cointegration Tests in Heterogeneous Panels

Larsson, Rolf; Lyhagen, Johan; Lothgren, Mickael - 2001

This paper presents a maximum likelihood panel test of the cointegrating rank in heterogeneous panel models based on the mean of the individual rank trace statistics. The existence of the first two moments of the asymptotic distribution of the individual trace statistic is established. Based on...

Persistent link: https://www.econbiz.de/10014125960

Are Apparent Findings of Nonlinearity Due to Structural Instability in Economic Time Series?

Koop, Gary; Potter, Simon M. - 2001

Many modelling issues and policy debates in macroeconomics depend on whether macroeconomic time series are best characterized as linear or nonlinear. If departures from linearity exist, it is important to know whether these are endogenously generated (as in, e.g. a threshold autoregressive...

Persistent link: https://www.econbiz.de/10014125964

Forecasting with Difference-Stationary and Trend-Stationary Models

Clements, Michael P.; Hendry, David F. - 2001

Although difference-stationary (DS) and trend-stationary (TS) processes have been subject to considerable analysis, there are no direct comparisons for each being the data-generation process (DGP). We examine incorrect choice between these models for forecasting for both known and estimated...

Persistent link: https://www.econbiz.de/10014126023

The Robustness of Estimators for Dynamic Panel Data Models to Misspecification

Matyas, Laszlo; Harris, Mark N.; Pataki, Attila - 2001

The transition from economic theory to a testable form invariably involves the use of certain "simplifying assumptions". However, if these are not valid, misspecified model result. This paper considers consistent estimation of the dynamic panel model which often forms the basis of testable...

Persistent link: https://www.econbiz.de/10014139689

Markov Chain Monte Carlo Methods for Generalized Stochastic Volatility Models

Chib, Siddhartha; Shephard, Neil; Nardari, Federico - 2001

This paper is concerned with simulation based inference in generalized models of stochastic volatility defined by heavy-tailed student-t distributions (with unknown degrees of freedom) and covariate effects in the observation and volatility equations and a jump component in the observation...

Persistent link: https://www.econbiz.de/10014142429