Search Results - subject:"errors in variables"

On the Role of the Estimation Error in Prediction of Expected Shortfall

Lönnbark, Carl - 2012

In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results for the Value at Risk and discuss how the...

Persistent link: https://www.econbiz.de/10014165707

On the Selection of Error Measures for Comparisons Among Forecasting Methods

Armstrong, J. Scott - 2012

Clements and Hendry (1993) proposed the Generalized Forecast Error Second Moment (GFESM) as an improvement to the Mean Square Error in comparing forecasting performance across data series. They based their conclusion on the fact that rankings based on GFESM remain unaltered if the series are...

Persistent link: https://www.econbiz.de/10014028376

Mismeasurement of Pensions Before and after Retirement : The Mystery of the Disappearing Pensions with Implications for the Importance of Social Security as a Source of Retirement Support

Gustman, Alan L. - 2012

A review of the literature suggests that when pension values are measured by the wealth equivalent of promised DB pension benefits and DC balances for those approaching retirement, pensions account for more support in retirement than is suggested when their contribution is measured by incomes...

Persistent link: https://www.econbiz.de/10013097779

The Consequences of Measurement Error When Estimating the Impact of BMI on Labour Market Outcomes

O'Neill, Donal - 2012

This paper uses data on both self-reported and true measures of individual Body Mass Index (BMI) to examine the nature of measurement error in self-reported BMI and to look at the consequences of using self-reported measures when estimating the effect of BMI on economic outcomes. In keeping with...

Persistent link: https://www.econbiz.de/10013097857

To Misreport or Not to Report? The Measurement of Household Financial Wealth

Neri, Andrea - 2012

The objective of the paper is to adjust for the bias due to unit non-response and measurement error in survey estimates of total household financial wealth. Sample surveys are a useful source of information on household wealth. Yet, survey estimates are affected by non-sampling errors. In...

Persistent link: https://www.econbiz.de/10013100077

Errors in Variables and Lending Discrimination

DeVaro, Jed - 2012

The authors describe a method of assessing the potential effect of errors in variables in the logit regression model … measurement error would bias estimates of discrimination. Although the method cannot detect whether or not there are errors in … variables, the authors show how to assess whether parameter estimates are sensitive to alternative assumptions about error …

Persistent link: https://www.econbiz.de/10013102024

Downside Risk in Multiperiod Tracking Error Models

Barro, Diana - 2012

The recent crisis made it evident that replicating the performance of a benchmark is not a sufficient goal to meet the expectations of usually risk-averse investors. The manager should also consider that the investor are seeking for a downside protection when the benchmark performs poorly and...

Persistent link: https://www.econbiz.de/10013103103

Measurement Error and a Reinterpretation of the Conventional Money Demand Regression

Goodfriend, Marvin - 2012

It has been sixteen years since a partial adjustment model was first applied in empirical money demand studies by Chow [1996]. Since then the partial adjustment specification has become widely used, particularly in quarterly money demand studies. However, in spite of its widespread use, the...

Persistent link: https://www.econbiz.de/10013103224

Measuring Test Measurement Error : A General Approach

Boyd, Donald - 2012

Test-based accountability including value-added assessments and experimental and quasi-experimental research in education rely on achievement tests to measure student skills and knowledge. Yet we know little regarding important properties of these tests, an important example being the extent of...

Persistent link: https://www.econbiz.de/10013107477

The Impact of Capital Measurement Error Correction on Firm-Level Production Function Estimation

Lizal, Lubomir - 2012

Based on a large panel of Czech manufacturing firms, we estimate firm-level production functions in 2003-2007 using the Levinsohn and Petrin (2003) and Wooldridge (2009) approaches, correcting for the measurement error in capital. We show that measurement error plays a significant role in the...

Persistent link: https://www.econbiz.de/10013111687