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What is Statistics? Opinions vary. In fact, there is a continuous spectrum of attitudes toward statistics ranging from pure theoreticians, proving asymptotic efficiency and searching for most powerful tests, to wild practitioners, blindly reporting p-values and claiming statistical significance...
Persistent link: https://www.econbiz.de/10012927199
LASSO). We discuss confidence intervals for the focus parameter and prediction intervals for the outcome of interest, and … conclude that the WALS approach leads to superior confidence and prediction intervals, but only if we apply a bias correction …
Persistent link: https://www.econbiz.de/10013228440
The problem of multicollinearity in the assessments of coefficients is well established. However, it is rarely researched in the estimations of macroeconomic variables and economic performance of developing countries. Predicatively, it has impacts on the estimations of coefficients that should...
Persistent link: https://www.econbiz.de/10014179444
The paper proposes a new algorithm for finding the confidence set of a collection of forecasts or prediction models …. Existing numerical implementations for finding the confidence set use an elimination approach where one starts with the full … rejected at a given confidence level. The intuition behind the proposed implementation lies in reversing the process: one …
Persistent link: https://www.econbiz.de/10011342917
Background: The increased availability of claims data allows one to build high dimensional datasets, rich in covariates, for accurately estimating treatment effects in medical and epidemiological cohort studies. This paper shows the full potential of machine learning for the estimation of...
Persistent link: https://www.econbiz.de/10012908991
This paper proposes a new combined semiparametric estimator of the conditional variance that takes the product of a parametric estimator and a nonparametric estimator based on machine learning. A popular kernel-based machine learning algorithm, known as the kernel-regularized least squares...
Persistent link: https://www.econbiz.de/10012814196
In order to discuss nonlinear, it is necessary to know linear regressive as a priori. Without simple regression as the starting point, it would be difficult to understand nonlinear regression. In words, in order to understand the curve and the behavior of a curve, it is necessary to known a...
Persistent link: https://www.econbiz.de/10013076070
Virtually each seasonal adjustment software includes an ensemble of seasonality tests for assessing whether a given time series is in fact a candidate for seasonal adjustment. However, such tests are certain to produce either the same resultor conflicting results, raising the question if there...
Persistent link: https://www.econbiz.de/10012301212
This paper proposes a novel covariance estimator via a machine learning approach when both the sampling frequency and covariance dimension are large. Assuming that a large covariance matrix can be decomposed into low rank and sparse components, our method simultaneously provides a consistent...
Persistent link: https://www.econbiz.de/10012867396
Researchers use difference-in-differences models to evaluate the causal effects of policy changes. As the empirical correlation across firms and time can be ambiguous, estimating consistent standard errors is difficult and statistical inferences may be biased. We apply an approximate permutation...
Persistent link: https://www.econbiz.de/10012935912