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to hold. In this paper we propose a crude analytical approach to study the large sample bias of estimators when all … normalized weights leads to a smaller bias compared to a simple IPW estimator. To analyze the question of when the use of two … misspecified models are better than one we derive necessary and sufficient conditions for when the DR estimator has a smaller bias …
Persistent link: https://www.econbiz.de/10011796394
interaction bias and overfitting problems. This paper investigates the role of machine learning algorithms in stabilizing … estimates and demonstrates the possible regularization bias caused by common LASSO methods. To overcome the three problems …
Persistent link: https://www.econbiz.de/10015054100
We characterize the asymptotic bias that arises in ordinary least squares regression when control variables have … nonlinear effects on an outcome variable, but are assumed to enter the regression equation linearly. We show that this bias can … that under a natural assumption an upper bound to the magnitude of the bias may be estimated from the data, and consider …
Persistent link: https://www.econbiz.de/10013031503
The Ramsey regression equation specification error test (RESET) furnishes a diagnostic for omitted variables in a linear regression model specification (i.e., the null hypothesis is no omitted variables). Integer powers of fitted values from a regression analysis are introduced as additional...
Persistent link: https://www.econbiz.de/10011506413
Generalized Information Matrix Tests (GIMTs) have recently been used for detecting the presence of misspecification in … developed for the purpose of identifying, classifying, and deriving novel model misspecification tests for finite …
Persistent link: https://www.econbiz.de/10011650480
misspecification, whereas the pre-test estimators reduce the risk in parts of the parameter space and increase it in other parts. To … data generating processes (DGPs) that model various degrees of local misspecification as well as global misspecification …
Persistent link: https://www.econbiz.de/10013025551
. We explain why this happens.We investigate an alternative relative accuracy measure which avoids this bias: the log of …
Persistent link: https://www.econbiz.de/10013018861
This paper reviews basic notions of return variation in the context of a continuous-time arbitrage-free asset pricing model and discusses some of their applications. We first define return variation in the infeasible continuous-sampling case. Then we introduce realized measures obtained from...
Persistent link: https://www.econbiz.de/10014202215
The effectiveness of one aspect of the London School of Economics (LSE) approach to econometrics is assessed in a simulation study. The paper uses a data set and nine models analogous to those in Lovell's (1983) study of data mining. A simplified general-to-specific algorithm is tested in a...
Persistent link: https://www.econbiz.de/10014071705
This paper proposes an entropy-based approach for aggregating information from misspecified asset pricing models. The statistical paradigm is shifted away from parameter estimation of an optimally selected model to stochastic optimization based on a risk function of aggregation across models....
Persistent link: https://www.econbiz.de/10011771622