Similar Search Results

Conditiona l Forecast Selection from Many Forecasts: An Application to the Yen/Dollar Exchange Rate

Kawakami, Kei - Department of Economics, Faculty of Business and Economics - 2013

This paper proposes a new method for forecast selection from a pool of many forecasts. The method uses conditional information as proposed by Giacomini and White (2006). It also extends their pairwise switching method to a situation with many forecasts. I apply the method to the monthly...

Persistent link: https://www.econbiz.de/10010903380

Semiparametric modelling of the cross-section of expected returns in the German stock market

Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - Sonderforschungsbereich 373, Quantifikation und … - 1997

According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...

Persistent link: https://www.econbiz.de/10010956350

Asymptotic optimality of full cross-validation for selecting linear regression models

Droge, Bernd - Sonderforschungsbereich 373, Quantifikation und … - 1997

For the problem of model selection, full cross-validation has been proposed as alternative criterion to the traditional cross-validation, particularly in cases where the latter one is not well defined. To justify the use of the new proposal we show that under some conditions, both criteria share...

Persistent link: https://www.econbiz.de/10010956413

A state space model for Berlin house prices

Schulz, Rainer; Werwatz, Axel - Sonderforschungsbereich 373, Quantifikation und … - 2001

How risky are investments in residential real estate? To answer this question, information is needed about the behavior of house prices. The hedonic methodology has become a standard approach for modelling the prices of heterogeneous assets. Although intuitively appealing, it is often criticized...

Persistent link: https://www.econbiz.de/10010956415

Asymptotic properties of model selection procedures in linear regression

Droge, Bernd - Sonderforschungsbereich 373, Quantifikation und … - 2003

In regression analysis there is typically a large collection of competing models available from which we want to select an appropriate one. This paper is concerned with asymptotic properties of procedures for selecting linear models, which are based on certain data-dependent criteria such as...

Persistent link: https://www.econbiz.de/10010983440

Comparison of model reduction methods for VAR processes

Brüggemann, Ralf; Krolzig, Hans-Martin; Lütkepohl, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 2002

The objective of this study is to compare alternative computerized model-selection strategies in the context of the vector autoregressive (VAR) modeling framework. The focus is on a comparison of subset modeling strategies with the general-to-specific reduction approach automated by PcGets....

Persistent link: https://www.econbiz.de/10010983450

Lag selection in subset VAR models with an application to a US monetary system

Brüggemann, Ralf; Lütkepohl, Helmut - Sonderforschungsbereich 373, Quantifikation und … - 2000

Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...

Persistent link: https://www.econbiz.de/10010983813

GMM Estimation of Income Distributions from Grouped Data

Hajargsht, Gholamreza; Griffiths, William E.; Brice, Joseph - Department of Economics, Faculty of Business and Economics - 2011

We develop a GMM procedure for estimating income distributions from grouped data with unknown group bounds. The … lognormal distributions. This work extends earlier work (Chotikapanich et al., 2007, 2012) that did not specify a formal GMM …

Persistent link: https://www.econbiz.de/10009319015

Inference for Income Distributions Using Grouped Data

Gholamreza Hajargsht, William E. Griffiths, Joseph … - Department of Economics, Faculty of Business and Economics - 2012

conditions and an optimal weight matrix that can be used for GMM estimation of any parametric income distribution are derived …. Our derivation of the weight matrix and its inverse allows us to express the seemingly complex GMM objective function in a … not specify a formal GMM framework, did not provide methodology for obtaining standard errors, and restricted the analysis …

Persistent link: https://www.econbiz.de/10010903422

Pareto-Lognormal Income Distributions:Inequality and Poverty Measures, Estimation and Performance

Hajargasht, Gholamreza; Griffiths, William E. - Department of Economics, Faculty of Business and Economics - 2012

poverty measures. We show how it can be estimated from grouped data using the GMM method developed in Hajargasht et al. (2012 …

Persistent link: https://www.econbiz.de/10010903427