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This is a summary of the paper entitled : “The Mean Squared Prediction Error Paradox”. In that paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of...
Persistent link: https://www.econbiz.de/10015229363
This paper examines to determine whether there is an effect of the human development index (HDI), the open unemployment rate, economic growth, and regional GRDP per capita on poverty levels in Sumatera Island. In general, the trend of the poverty rate by the province in Sumatera decreased during...
Persistent link: https://www.econbiz.de/10015233751
In the process of loan pricing, stress testing, capital allocation, modeling of PD term structure, and IFRS9 expected credit loss estimation, it is widely expected that higher risk grades carry higher default risks, and that an entity is more likely to migrate to a closer non-default rating than...
Persistent link: https://www.econbiz.de/10015256530
Common ordinal models, including the ordered logit model and the continuation ratio model, are structured by a common score (i.e., a linear combination of a list of given explanatory variables) plus rank specific intercepts. Sensitivity with respect to the common score is generally not...
Persistent link: https://www.econbiz.de/10015256549
Most point-in-time PD term structure models used in industry for stress testing and IFRS9 expected loss estimation apply only to macroeconomic scenarios. Loan level credit quality is not a factor in these models. In practice, credit profile at assessment time plays an important role in the...
Persistent link: https://www.econbiz.de/10015257063
Minimum cross-entropy estimation is an extension to the maximum likelihood estimation for multinomial probabilities. Given a probability distribution {r_i }_(i=1)^k, we show in this paper that the monotonic estimates {p_i }_(i=1)^k for the probability distribution by minimum cross-entropy are...
Persistent link: https://www.econbiz.de/10015263815
We investigate the behavior of three versions of the translog cost function : the standard Log-quadratic version and two nonlinear versions with exponential and linear technical progress biases, respectively. Their performances are assessed according to three criteria: (i)on theoretical...
Persistent link: https://www.econbiz.de/10015241264
Parallel calculations on modern multiprocessing technics open new opportunities in application of mathematical models for research ekonomy of region. Use of normative models was limited to complexity of their identification due to a lot of unknown parameters. In work the technique of...
Persistent link: https://www.econbiz.de/10015255554
Stochastic volatility (SV) models provide a means of tracking and forecasting the variance of financial asset returns. While SV models have a number of theoretical advantages over competing variance modelling procedures they are notoriously difficult to estimate. The distinguishing feature of...
Persistent link: https://www.econbiz.de/10009437989
We extend to the longitudinal setting a latent class approach that has beed recently introduced by \cite{lanza:et:al:2013} to estimate the causal effect of a treatment. The proposed approach permits the evaluation of the effect of multiple treatments on subpopulations of individuals from a...
Persistent link: https://www.econbiz.de/10015248889