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ACCUMULATED PREDICTION ERRORS, INFORMATION CRITERIA AND OPTIMAL FORECASTING FOR AUTOREGRESSIVE TIME SERIES

Ing, Ching-Kang - EconWPA - 2005

The predictive capability of a modification of Rissanen's accumulated prediction error (APE) criterion, APE$_{\delta_{n}}$,is investigated in infinite-order autoregressive (AR($\infty$)) models. Instead of accumulating squares of sequential prediction errors from the beginning,...

Persistent link: https://www.econbiz.de/10005556290

A GMM-Based Test for Normal Disturbances of the Heckman Sample Selection Model

Pfaffermayr, Michael - In: Econometrics 2 (2014) 4, pp. 151-168

this assumption. Following Meijer and Wansbeek (2007), the present contribution derives a GMM-based pseudo-score LM test on …

Persistent link: https://www.econbiz.de/10011031444

GMM Estimation for Long Memory Latent Variable Volatility and Duration Models

Chen, Willa; Deo, Rohit - EconWPA - 2005

Method of Moments (GMM) estimation of short memory latent variable volatility models. We show that when the latent variable … resulting GMM estimators will thus not be ãn consistent. We then provide an alternative set of moment conditions that are ãn … consistent and asymptotically normal under long memory in the latent variable, thus allowing for ãn consistent GMM estimation. …

Persistent link: https://www.econbiz.de/10005556285

Adaptive Elastic Net GMM Estimation with Many Invalid Moment Conditions: Simultaneous Model and Moment Selection

Lee, Yoonseok; Caner, Mehmet; Han, Xu - Center for Policy Research, Maxwell School - 2015

This paper develops the adaptive elastic net GMM estimator in large dimensional models with many possibly invalid … sample size. The basic idea is to conduct the standard GMM estimation combined with two penalty terms: the quadratic … conditions to estimate the selected structural parameters and thus achieves the standard GMM efficiency bound as if we know the …

Persistent link: https://www.econbiz.de/10011269089

Are We There Yet? Looking for the New Economy

Norden, Simon van - Society for Computational Economics - SCE - 2005

Over the past decade, questions over the impact of new information technologies on productivity growth trends have played an important role in the formulation of monetary policy, particularly in the United States and Canada. However, formal testing of whether the trend growth rate of aggregate...

Persistent link: https://www.econbiz.de/10005537468

Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics

DUFOUR, Jean-Marie - Département de Sciences Économiques, Université de … - 2005

The technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] provides an attractive method of building exact tests from statistics whose finite sample distribution is intractable but can be simulated (provided it does not involve nuisance parameters). We extend this method in two ways:...

Persistent link: https://www.econbiz.de/10005545677

Extracting expectations of New Zealand's Official Cash Rate from the bank-risk yield curve

Krippner, Leo - Reserve Bank of New Zealand - 2002

The hypothesis that a forward term-premium (FTP) exists between forward 1- day rates calculated from the New Zealand bank-risk yield curve and the corresponding ex-post Official Cash Rate (OCR) is tested by applying a single equation method for a cointegrated system to daily data from March 1999...

Persistent link: https://www.econbiz.de/10005546690

Auctions with Discrete Increments: a Structural Econometric Approach Based on Dominated Strategies.

Jouneau-Sion, F.; Torres, O. - Center for Operations Research and Econometrics (CORE), … - 2000

We propose a structural econometric evaluation for auctions with discrete increments. Although very common in practice, this kind of mechanism raises many theoretical difficulties. First, there are no closed form equilibriumstrategies. Thus the econometrician cannot rely on a single formula to...

Persistent link: https://www.econbiz.de/10005478908

Optimal Monetary Policy using a VAR

Polito, Vito; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2008

In this paper we propose a new way to formulate optimal policy based on a quadratic intertemporal welfare function where the dynamic constraint is based on a VAR model of the economy which we call the PVAR method. We argue that the VAR under control should not be derived simply by replacing the...

Persistent link: https://www.econbiz.de/10005497823

Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal

Manera, Matteo; Serati, Massimiliano; Plotegher, Michele - Fondazione ENI Enrico Mattei (FEEM) - 2008

In the last decades a liberalization of the electric market has started; prices are now determined on the basis of contracts on regular markets and their behaviour is mainly driven by usual supply and demand forces. A large body of literature has been developed in order to analyze and forecast...

Persistent link: https://www.econbiz.de/10005423103