Search Results - subject:"predictive density"

Corradi, Valentina; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2004

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 specifications and model evaluation …

Persistent link: https://www.econbiz.de/10005750169

Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments

Chao, John; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2004

This paper develops Wald type tests for general possibly nonlinear restrictions, in the context of heteroskedastic IV regression with many weak instruments. In particular, it is ¯rst shown that consistency and asymptotically normality can be obtained when estimating structural parameters using...

Persistent link: https://www.econbiz.de/10005750205

Prediction and calibration in generalized linear models

Vidoni, Paolo - In: Annals of the Institute of Statistical Mathematics 55 (2003) 1, pp. 169-185

Persistent link: https://www.econbiz.de/10005616262

The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation

Corradi, Valentina; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2003

This paper introduces a new block bootstrap which is valid for recursive m-estimators, in the sense that its use suFFIces to mimic the limiting distribution of (1/P^.5)(SUM(t=R to T-1)(THETA-t-hat - THETA-plus)); where R denotes the length of the estimation period, P the number of recursively...

Persistent link: https://www.econbiz.de/10005839094

Probability matching priors for predicting a dependent variable with application to regression models

Datta, Gauri; Mukerjee, Rahul - In: Annals of the Institute of Statistical Mathematics 55 (2003) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10005169314

Testing for Convergence Clubs in Income per-capita: A Predictive Density Approach

Canova, Fabio - C.E.P.R. Discussion Papers - 1999

approach uses the predictive density of the data, conditional on the parameters of the model. The steady state distribution of …

Persistent link: https://www.econbiz.de/10005498110

Bayesian multiperiod forecasts for ARX models

Liu, Shu-Ing - In: Annals of the Institute of Statistical Mathematics 47 (1995) 2, pp. 211-224

Persistent link: https://www.econbiz.de/10005395514

Multiperiod Bayesian forecasts forAR models

Liu, Shu-Ing - In: Annals of the Institute of Statistical Mathematics 46 (1994) 3, pp. 429-452

Persistent link: https://www.econbiz.de/10005395527

Estimative and predictive distances

Mitchell, Ann - In: TEST: An Official Journal of the Spanish Society of … 1 (1992) 1, pp. 105-121

Persistent link: https://www.econbiz.de/10005759593