Search Results - subject:"Specification Testing"

Development and validation of credit-scoring models

Glennon, Dennis; Kiefer, Nicholas M.; Larson, C. Erik; … - 2007

Accurate credit-granting decisions are crucial to the efficiency of the decentralized capital allocation mechanisms in modern market economies. Credit bureaus and many financial institutions have developed and used credit-scoring models to standardize and automate, to the extent possible, credit...

Persistent link: https://www.econbiz.de/10010292074

A note on model selection in (time series) regression models - General-to-specific or specific-to-general?

Herwartz, Helmut - 2007

The paper provides Monte Carlo evidence on the performance of general-to-specific and specific-to-general selection of explanatory variables in linear (auto)regressions. In small samples the former is markedly inefficient in terms of ex-ante forecasting performance.

Persistent link: https://www.econbiz.de/10010296273

Diagnostic testing for cointegration

Robinson, Peter - London School of Economics (LSE) - 2007

We develop a sequence of tests for specifying the cointegrating rank of, possibly fractional, multiple time series. Memory parameters of observables are treated as unknown, as are those of possible cointegrating errors. The individual test statistics have standard null asymptotics, and are...

Persistent link: https://www.econbiz.de/10010746056

A note on model selection in (time series) regression models - General-to-specific or specific-to-general?

Herwartz, Helmut - Institut für Volkswirtschaftslehre, … - 2007

Persistent link: https://www.econbiz.de/10005082906

Stochastic volatility : maximum likelihood estimation and specification testing

White, Scott Ian - 2006

and specification testing procedure for SV models is introduced that significantly overcomes the operational issues … surrounding existing estimators.The estimation and specification testing procedures in this thesis are made possible by the … with closed form likelihood and transition functions. Likelihood based specification testing for non-nested SV …

Persistent link: https://www.econbiz.de/10009437989

Formative und reflektive Indikatoren im Forschungsprozess: Entscheidungsregeln und die Dominanz des refelektiven Modells

Eberl, Markus - 2004

Vorliegendes Arbeitspapier beschäftigt sich mit formativen und reflektiven Indikatoren im Forschungsprozess. Betrachtet werden dabei Entscheidungsregeln und die Dominanz des refelektiven Modells.

Persistent link: https://www.econbiz.de/10005851804

A nonparametric test of exogeneity

Blundell, Richard W.; Horowitz, Joel - 2004

It satisfies mild regularity conditions but is otherwise unknown. The paper presents test of the hypothesis that g is the mean of a random variable Y conditional on a covariate X . The need to test this hypothesis arises frequently in economics. The test does not require nonparametric...

Persistent link: https://www.econbiz.de/10010318515

Testing a parametric model against a nonparametric alternative with identification through instrumental variables

Horowitz, Joel - 2004

This paper is concerned with inference about a function g that is identified by a conditional moment restriction involving instrumental variables. The paper presents a test of the hypothesis that g belongs to a finite-dimensional parametric family against a nonparametric alternative. The test...

Persistent link: https://www.econbiz.de/10010318518

A nonparametric test of exogeneity

Blundell, Richard; Horowitz, Joel - Centre for Microdata Methods and Practice (CEMMAP) - 2004

This paper is concerned with inference about a function g that is identified by a conditional moment restriction involving instrumental variables. The function is nonparametric. It satisfies mild regularity conditions but is otherwise unknown. The paper presents test of the hypothesis that g is...

Persistent link: https://www.econbiz.de/10005509559

Comparing Nonparametric Regression Quantiles

Huse, Cristian - Econometric Society - 2004

This paper investigates how conditional quantiles of a given distribution relate to each other. Given two conditional quantiles estimated nonparametrically, we investigate their relation by linking them through a parametric transformation. Asymptotic normality of the associated parameter vector...

Persistent link: https://www.econbiz.de/10005699609