Search Results - subject:"estimation error"

Corradi, Valentina; Swanson, Norman R. - 2005

This chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed, and a variety of different specification and model evaluation tests due to various authors including Christoffersen and...

Persistent link: https://www.econbiz.de/10010282675

The Impact of Variability of Item Parameter Estimators on Test Information Function

Zhang, Jinming - In: Journal of Educational and Behavioral Statistics 37 (2012) 6, pp. 737-757

The impact of uncertainty about item parameters on test information functions is investigated. The information function of a test is one of the most important tools in item response theory (IRT). Inaccuracy in the estimation of test information can have substantial consequences on data analyses...

Persistent link: https://www.econbiz.de/10010776018

On the robustness of risk-based asset allocations

Poddig, Thorsten; Unger, Albina - In: Financial Markets and Portfolio Management 26 (2012) 3, pp. 369-401

more robust to changes in the input parameters and has a smaller estimation error than the Markowitz approaches, whereas …

Persistent link: https://www.econbiz.de/10010863319

On the robustness of risk-based asset allocations

Poddig, Thorsten; Unger, Albina - In: Financial markets and portfolio management 26 (2012) 3, pp. 369-401

Persistent link: https://www.econbiz.de/10009623472

An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series

Bhardwaj, Geetesh; Swanson, Norman R. - 2004

This paper addresses the notion that many fractional I(d) processes may fall into the ?empty box? category, as discussed in Granger (1999). We present ex ante forecasting evidence based on an updated version of the absolute returns series examined by Ding, Granger and Engle (1993) that suggests...

Persistent link: https://www.econbiz.de/10010276818

Predective Density and Conditional Confidence Interval Accuracy Tests

Corradi, Valentina; Swanson, Norman R. - 2004

This paper outlines testing procedures for assessing the relative out-of-sample predictive accuracy of multiple conditional distribution models. The tests that are discussed are based on either the comparison of entire conditional distributions or the comparison of predictive confidence...

Persistent link: https://www.econbiz.de/10010276819

Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification

Corradi, Valentina; Swanson, Norman R. - 2003

distribution tests when there is dynamic misspecification and parameter estimation error. Our approach differs from the literature … misspecification and parameter estimation error. In order to provide valid asymptotic critical values we suggest an extention of the … empirical process version of the block bootstrap to the case of non vanishing parameter estimation error. The findings from …

Persistent link: https://www.econbiz.de/10010263212