Search Results - subject:"mis-specification"

Factor sufficiency in asset pricing : an application for the Brazilian Market

Dezidério dos Santos Rocha, Rafaela; Laurini, Márcio … - In: International Journal of Financial Studies : open … 11 (2023) 4, pp. 1-31

The multifactor asset pricing model derived from the Fama-French approach is extensively used in asset risk premium estimation procedures. Even including a considerable number of factors, it is still possible that omitted factors affect the estimation of this model. In this work, we compare...

Persistent link: https://www.econbiz.de/10014485370

Semiparametric model averaging prediction for dichotomous response

Fang, Fang; Li, Jialiang; Xia, Xiaochao - In: Journal of econometrics 229 (2022) 2, pp. 219-245

Persistent link: https://www.econbiz.de/10013441865

Survey-based cross-country comparisons where countries vary in sample design: Issues and solutions

Kaminska, Olena; Lynn, Peter - 2016

countries, we evaluate the inverse mis-specification effect (imeff) that results from ignoring aspects of design. Our empirical …

Persistent link: https://www.econbiz.de/10011690333

The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification

Li, Chuhui; Poskitt, Donald Stephen; Zhao, Xueyan - 2016

Persistent link: https://www.econbiz.de/10011781773

Survey-based cross-country comparisons where countries vary in sample design : issues and solutions

Kaminska, Olena; Lynn, Peter - 2016

countries, we evaluate the inverse mis-specification effect (imeff) that results from ignoring aspects of design. Our empirical …

Persistent link: https://www.econbiz.de/10011536707

Conditional predictive density evaluation in the presence of instabilities

Rossi, Barbara; Sekhposyan, Tatevik - Department of Economics and Business, Universitat … - 2013

-type tests for the correct specification of predictive densities robust to dynamic mis-specification. The novelty is that the … tests can detect mis-specification in the predictive densities even if it appears only over a fraction of the sample, due to … the presence of instabilities. Our results indicate that our tests are well sized and have good power in detecting mis-specification …

Persistent link: https://www.econbiz.de/10010849628

Structural-break models under mis-specification: implications for forecasting

Koo, Boonsoo; Seo, Myung Hwan - Department of Econometrics and Business Statistics, … - 2013

This paper revisits the least squares estimator of the linear regression with a structural break. We view the model as an approximation to the true data generating process whose exact nature is unknown but perhaps changing over time either continuously or with some jumps. This view is widely...

Persistent link: https://www.econbiz.de/10010860411

Structural-break models under mis-specification: implications for forecasting

Koo, Boonsoo; Seo, Myung Hwan - Department of Econometrics and Business Statistics, … - 2013

This paper shows that in the presence of model mis-specification, the conventional inference procedures for structural …

Persistent link: https://www.econbiz.de/10010860415

A Tale of 3 Cities: Model Selection in Over-, Exact, and Under-specified Equations

Castle, Jennifer; Hendry, David - Department of Economics, Oxford University - 2011

Model selection from a general unrestricted model (GUM) can potentially confront three very different environments: over-, exact, and under-specification of the data generation process (DGP). In the first, and most-studied setting, the DGP is nested in the GUM, and the main role of...

Persistent link: https://www.econbiz.de/10008799895

Bayesian Estimation of a Possibly Mis-Specified Linear Regression Model

Giles, David E. - Department of Economics, University of Victoria - 2010

determine the consequences of model mis-specification in terms of over-fitting or under-fitting the model. Our results can also …

Persistent link: https://www.econbiz.de/10008765118