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Goodness-of-fit and detection problems in impulsive interference.

Brown, Christopher L. - 2000

After defining the structure to a signal detection scheme, this dissertation describes and addresses some of the unresolved issues associated with its use when the interference encountered is impulsive. The alpha-stable (alpha-S) family of distributions is used as a model of this interference...

Persistent link: https://www.econbiz.de/10009435004

Evaluating yield models for crop insurance rating

Lanoue, Christopher - 2010

Crop insurance performance and loss rates depend directly on underlying crop yield distributions. However, there still exists much debate about how to represent the underlying crop yield distributions. Using farm-level corn and soybean yields from 1972-2008, this study examines in-sample...

Persistent link: https://www.econbiz.de/10009477865

Evaluating the statistical power of goodness-of-fit tests for health and medicine survey data

Steele, Michael; Smart, Neil; Hurst, Cameron; … - 2009

Goodness-of-fit test statistics are widely used in health and medicine related surveys however little regard is usually given to their statistical power. This paper investigates the simulated power of five categorical goodness-of-fit test statistics used to analyze health and medicine survey...

Persistent link: https://www.econbiz.de/10009441772

Evaluating Yield Models for Crop Insurance Rating

Lanoue, Christopher; Sherrick, Bruce J.; Woodard, Joshua D. - 2010

Generated crop insurance rates depend critically on the distributional assumptions of theunderlying crop yield loss model. Using farm level corn yield data from 1972-2008, we revisitthe problem of examining in-sample goodness-of-fit measures across a set of flexibleparametric, semi-parametric,...

Persistent link: https://www.econbiz.de/10009446157

On Sequential Calibration for an Asset Price Model with Piecewise Lévy Processes

Kawai, Reiichiro - 2010

We propose simple sequential calibration for an asset price model driven by piecewise Lévy processes, for which simulation methods and Greeks formulas are available. The proposed methods are easy to implement and consist of fitting a sequence of Lévy processes to a return series such that they...

Persistent link: https://www.econbiz.de/10009474908

On the Macroeconomic Implications of Firm Dynamics, Banking, and Reputation

Alexander Totzek - 2011

Since the publication of Keynes' “General Theory of Employment, Interest, and Money” in 1936 many new ideas and solution concepts for macroeconomic problems emerged, disappeared, and were combined in order to appropriately describe macroeconomic phenomena. Nowadays, New Keynesian frameworks...

Persistent link: https://www.econbiz.de/10009429001

Noise Ratio As a Non-Nested Model Selection Tool.

Kurmanj, Agir - 2009

-nested RE models, whose parameter vector is estimated either by GMM, in Chapter 1, or by the continuous updating estimator in … variant of it covered in Durlauf and Maccini (1995). All statistics used for model comparison are evaluated at the GMM …

Persistent link: https://www.econbiz.de/10009431155

Entropy Based Moment Selection in Generalized Method of Moments

Shin, Changmock - 2005

GMM provides a computationally convenient estimation method and the resulting estimator can be shown to be consistent …

Persistent link: https://www.econbiz.de/10009431183

Company capital structure and tax: a study of mid-sized European companies

Cheng, Yue - 2008

costs incurred when they work back gradually to the optimal level. Arellano-Bond (1991) GMM estimator is applied to obtain …

Persistent link: https://www.econbiz.de/10009461243

GMM with Many Weak Moment Conditions

Newey, Whitney K.; Windmeijer, Frank - 2008

Using many moment conditions can improve efficiency but makes the usual generalized method of moments (GMM) inferences … inaccurate. Two-step GMM is biased. Generalized empirical likelihood (GEL) has smaller bias, but the usual standard errors are … under many weak moments. In addition, we introduce a jackknife GMM estimator, but find that GEL is asymptotically more …

Persistent link: https://www.econbiz.de/10009479997