Search Results - subject:"Normal Distribution"

Incorporating Market Information Into the Construction of the Fan Chart

Kannan, Prakash; Elekdag, Selim - International Monetary Fund (IMF) - 2009

This paper develops a simple procedure for incorporating market-based information into the construction of fan charts. Using the International Monetary Fund (IMF)'s global growth forecast as a working example, the paper goes through the theoretical and practical considerations of this new...

Persistent link: https://www.econbiz.de/10008528615

Broad Money Demand and Asset Substitution in China

Wu, Ge - International Monetary Fund (IMF) - 2009

Recent changes to China's financial system, in particular ongoing interest rate liberalization, gradual movement toward a more flexible exchange rate regime, and rapid development of capital markets, have changed substantially the environment in which monetary policy operates. In light of these...

Persistent link: https://www.econbiz.de/10008528622

Recent Advances in Credit Risk Modeling

Gasha, Jose Giancarlo; Santos, Andre; Chan-Lau, Jorge A.; … - International Monetary Fund (IMF) - 2009

As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for...

Persistent link: https://www.econbiz.de/10008528651

Regional Financial Integration in the Caribbean; Evidence From Financial and Macroeconomic Data

Kwon, Goohoon; Espinoza, Raphael A. - International Monetary Fund (IMF) - 2009

This paper assesses the extent of regional financial integration in the Caribbean Community (CARICOM) by analyzing equity prices in the region and rigidity of external financing constraints. The results are presented in a cross-regional perspective. The Caribbean stock markets are not as well...

Persistent link: https://www.econbiz.de/10008528700

Structural Vector Autoregressions with Markov Switching

Lanne, Markku; Luetkepohl, Helmut; Maciejowska, Katarzyna - Department of Economics, European University Institute - 2009

It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. The model setup is formulated and discussed and it is shown how it can be used to...

Persistent link: https://www.econbiz.de/10005697711

A Gaussian Test for Cointegration

Abeysinghe, Tilak; Rajaguru, Gulasekaran - East Asian Bureau of Economic Research (EABER) - 2009

, instead of having to deal with non-standard distributions, it takes the testing back to the normal distribution and offers a …

Persistent link: https://www.econbiz.de/10009365337

Benchmark Priors Revisited:on Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging

Feldkircher, Martin; Zeugner, Stefan - International Monetary Fund (IMF) - 2009

Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and proposes to address it by a hyper-g prior, whose data-dependent shrinkage adapts...

Persistent link: https://www.econbiz.de/10008559278

India; Selected Issues

International Monetary Fund (IMF); International … - 2009

Despite the external origin of the financial crisis, the potential impact on Indiaâ€™s corporate sector could be large, as India has become increasingly integrated with the global economy in the past decade. The Selected Issues paper discusses Indiaâ€™s economic development and...

Persistent link: https://www.econbiz.de/10011244625

A logistic approximation to the cumulative normal distribution

Bowling, Shannon R.; Khasawneh, Mohammad T.; Sittichai … - In: Journal of industrial engineering and management : JIEM 2 (2009) 1, pp. 114-127

This paper develops a logistic approximation to the cumulative normal distribution. Although the literature contains a … vast collection of approximate functions for the normal distribution, they are very complicated, not very accurate, or …

Persistent link: https://www.econbiz.de/10011898596

Maximum likelihood estimation of the stochastic frontier model with endogenous switching or sample selection

Lai, Hung-pin - In: Journal of Productivity Analysis 43 (2015) 1, pp. 105-117

extend the distribution of the inefficiency from the half normal to truncated normal distribution. Second, we discuss the …. Third, we suggest a simple framework to derive the closed form of the likelihood function using the closed skew-normal … distribution. Fourth, we propose the estimator for the technical efficiency index due to Battese and Coelli (Empir Econ 20 …

Persistent link: https://www.econbiz.de/10011154940