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Model selection in the presence of nonstationarity

Kim, Jae-Young - In: Journal of Econometrics 169 (2012) 2, pp. 247-257

This paper studies model selection methods in the presence of nonstationarity. We focus on the Bayesian model selection … criteria in the presence of nonstationarity. In particular, we study the Bayesian model selection rule in detail and derive … three alternative forms of it in the presence of nonstationarity. One important feature of the Bayesian model selection …

Persistent link: https://www.econbiz.de/10011052288

Monte Carlo forecast evaluation with persistent data

Khalaf, Lynda; Saunders, Charles J. - In: International journal of forecasting 33 (2017) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10011754679

Improving the performance of model-order selection criteria by partial-model selection search

Alkhaldi, Weaam; Iskander, D. Robert; Zoubir, Abdelhak M. - 2010

The traditional searching method for model-order selection in linear regression is a nested full-parameters-set searching procedure over the desired orders, which we call full-model order selection. On the other hand, a method for model-selection searches for the best sub-model within each...

Persistent link: https://www.econbiz.de/10009438286

Model selection and error estimation

Bartlett, P. L.; Boucheron, S.; Lugosi, G. - 2002

We study model selection strategies based on penalized empirical loss minimization. We point out a tight relationship between error estimation and data-based complexity penalization: any good error estimate may be converted into a data-based penalty function and the performance of the estimate...

Persistent link: https://www.econbiz.de/10009438376

A note of caution on the relation between money growth and inflation

Berger, Helge; Karlsson, Sune; Österholm, Pär - 2023

We assess the bivariate relation between money growth and inflation in the euro area and the United States using hybrid time-varying parameter Bayesian VAR models. Model selection based on marginal likelihoods suggests that the relation is statistically unstable across time in both regions. The...

Persistent link: https://www.econbiz.de/10014331161

Using predicted length of stay to define treatment and model costs in hospitalized adults with serious illness: An evaluation of palliative care

May, Peter; Normand, Charles E. M.; Noreika, Danielle; … - In: Health Economics Review 11 (2021) 1, pp. 1-11

Background: Economic research on hospital palliative care faces major challenges. Observational studies using routine data encounter difficulties because treatment timing is not under investigator control and unobserved patient complexity is endemic. An individual's predicted LOS at admission...

Persistent link: https://www.econbiz.de/10014489865

Semiparametric modelling of the cross-section of expected returns in the German stock market

Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - 1997

According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...

Persistent link: https://www.econbiz.de/10010310827

Econometric structural models : a model selection approach

Chen, Pu - 2002

Using a model selection approach, this thesis proposes a constructive data-and-theory-combined procedure to identify model structures in the framework of a linear simultaneous equations system based on observed data. A model structure is characterized by restrictions on the structural...

Persistent link: https://www.econbiz.de/10009452617

Robust combinations of statistical procedures.

Wei, Xiaoqiao - 2010

University of Minnesota Ph.D. dissertation. November 2010. Major: Statistics. Advisor: Dr. Yuhong Yang. 1 computer file (PDF); viii, 86 pages.

Persistent link: https://www.econbiz.de/10009462921

Semiparametric regression analysis of zero-inflated data

Liu, Hai - 2009

Zero-inflated data abound in ecological studies as well as in other scientific and quantitative fields. Nonparametric regression with zero-inflated response may be studied via the zero-inflated generalized additive model (ZIGAM). ZIGAM assumes that the conditional distribution of the response...

Persistent link: https://www.econbiz.de/10009466022