Search Results - subject:"calibration."

Calibration as Testing, Type I Error in the Equity Premium Puzzle

Gregory, Allan W.; Smith, Gregor W. - Economics Department, Queen's University - 1988

A test of a dynamic, macroeconomic model with free parameters is provided by comparing its features, such as moments, with those of historical data. We provide a method for studying the distribution of the sample moment under the null hypothesis that the model is true. We calculate the size of...

Persistent link: https://www.econbiz.de/10005497235

Calibration and the Aggregation of Probabilities

Clemen, Robert T. - In: Management Science 32 (1986) 3, pp. 312-314

. When the calibration is done properly, the decision maker is forced to tackle the task which Morris proposes to avoid. …

Persistent link: https://www.econbiz.de/10009197930

Calibration and the Expert Problem

French, S. - In: Management Science 32 (1986) 3, pp. 315-321

these questions are explored and it is suggested that concepts such as calibration and refinement cannot usefully be defined …

Persistent link: https://www.econbiz.de/10009204014

Forecasting New Product Sales from Likelihood of Purchase Ratings

Infosino, William J. - In: Marketing Science 5 (1986) 4, pp. 372-384

This paper compares consumer likelihood of purchase ratings for a proposed new product to their actual purchase behavior after the product was introduced. The ratings were obtained from a mail survey a few weeks before the product was introduced. The analysis leads to a model for forecasting new...

Persistent link: https://www.econbiz.de/10008789802

Growth, Volume 1: Econometric General Equilibrium Modeling

Jorgenson, Dale W. - The MIT Press

the impact of economic policies. Earlier approaches were based on the "calibration" of general equilibrium models to a … single data point. The obvious disadvantage of calibration is that it requires highly restrictive assumptions about … equilibrium modeling successfully freed economic policy analysis from the straitjacket imposed by calibration. As a consequence of …

Persistent link: https://www.econbiz.de/10004973191

Market Practice in Financial Modelling

Tan, Chia Chiang - World Scientific Publishing Co. Pte. Ltd.

Written to bridge the gap between foundational quantitative finance and market practice, this book goes beyond the basics covered in most textbooks by presenting content concerning actual industry norms, thus resulting in a clearer picture of the field for the readers. These include, for...

Persistent link: https://www.econbiz.de/10011156355

BUSINESS CYCLES:Fact, Fallacy and Fantasy

Altug, Sumru G - World Scientific Publishing Co. Pte. Ltd.

their original contribution, Kydland and Prescott (1982) proposed the method of calibration as a way of examining the …

Persistent link: https://www.econbiz.de/10011183871

On the ordering of probability forecasts

Krämer, Prof. Dr. Walter - Institut für Wirtschafts- und Sozialstatistik, …

The paper explores the relationship between various orderings among probability forecasts that have been suggested in the literature. It is shown that well calibrated forecasters are in general not comparable according to the domination ordering suggested by Vardeman and Meeden (1983), that the...

Persistent link: https://www.econbiz.de/10005075726

Risk Shocks and Housing Markets

Lee, Gabriel; Dorofeenko, Victor; Salyer, Kevin - Economics Department, University of California-Davis

This paper analyzes the role of uncertainty in a multi-sector housing model with financial frictions. We include time varying uncertainty (i.e. risk shocks) in the technology shocks that affect housing production. The analysis demonstrates that risk shocks to the housing production sector are a...

Persistent link: https://www.econbiz.de/10008503608

On comparing the accuracy of default predictions in the rating industry

Krämer, Prof. Dr. Walter; Güttler, Andre - Institut für Wirtschafts- und Sozialstatistik, …

We consider 1927 borrowers from 54 countries who had a credit rating by both Moody's and S&P at the end of 1998, and their subsequent default history up to the end of 2002. Viewing bond ratings as predicted probabilities of default, we consider partial orderings among competing probability...

Persistent link: https://www.econbiz.de/10005344672