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Estimating Excess Sensitivity and Habit Persistence in Consumption Using Greenbook Forecast as an Instrument

Bhatt, Vipul - 2017

In this paper, we revisit the issue of excess sensitivity of consumption to income and address the weak instrument … consumption function, namely, the Greenbook forecast of real disposable income growth. We show that this instrument encompasses … this important parameter of the consumption function. Finally, we use a time-varying specification of consumption function …

Persistent link: https://www.econbiz.de/10012954085

Bayesian Analysis of Instrumental Variable Models : Acceptance-Rejection within Direct Monte Carlo

Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - 2012

We discuss Bayesian inferential procedures within the family of instrumental variables regression models and focus on two issues: existence conditions for posterior moments of the parameters of interest under a flat prior and the potential of Direct Monte Carlo (DMC) approaches for efficient...

Persistent link: https://www.econbiz.de/10014165267

Mean Squared Prediction Error Reduction with Instrumental Variables

Michis, Antonis - 2016

The mean squared prediction error of the linear regression model is examined when estimation is performed with instrumental variables. It is shown that increasing the number of instruments in the estimation procedure, can reduce the mean squared prediction error of the model through more...

Persistent link: https://www.econbiz.de/10012985339

Bayesian analysis of instrumental variable models : the potential of direct Monte Carlo

Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - 2012

Persistent link: https://www.econbiz.de/10010191002

Bayesian analysis of instrumental variable models : acceptance-rejection within direct Monte Carlo

Zellner, Arnold; Ando, Tomohiro; Baştürk, Nalan; … - 2012

Persistent link: https://www.econbiz.de/10009722969

Contour Map of Estimation Error for Expected Shortfall

Kondor, Imre - 2015

The contour map of estimation error of Expected Shortfall (ES) is constructed. It allows one to quantitatively determine the sample size (the length of the time series) required by the optimization under ES of large institutional portfolios for a given size of the portfolio, at a given...

Persistent link: https://www.econbiz.de/10013027781

Usefulness of the Information Contained in the Prediction Sample for the Spatial Error Model

Kato, Takafumi - 2013

A recent study proposed an estimation approach that uses data on the independent variables and location for the prediction sample, and suggested that it may improve estimation and prediction. This is an incomplete data approach following an iterative process along the lines of the EM algorithm....

Persistent link: https://www.econbiz.de/10013081022

Forecast-error-based estimation of forecast uncertainty when the horizon is increased

Knüppel, Malte - 2014

Recently, several institutions have increased their forecast horizons, and many institutions rely on their past forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be accomplished if there are only very few errors available...

Persistent link: https://www.econbiz.de/10010465566

Efficient estimation of forecast uncertainty based on recent forecast errors

Knüppel, Malte - 2009

Multi-step-ahead forecasts of forecast uncertainty in practice are often based on the horizon-specific sample means of recent squared forecast errors, where the number of available past forecast errors decreases one-to-one with the forecast horizon. In this paper, the efficiency gains from the...

Persistent link: https://www.econbiz.de/10003882901

Efficient Estimation of Forecast Uncertainty Based on Recent Forecast Errors

Knüppel, Malte - 2016

Persistent link: https://www.econbiz.de/10012991108