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Fitting a distribution to survey data for the half-life of deviations from PPP

Fisher, Mark - 2015

This note presents a nonparametric Bayesian approach to fitting a distribution to the survey data provided in Kilian and Zha (2002) regarding the prior for the half-life of deviations from purchasing power parity (PPP). A point mass at infinity is included. The unknown density is represented as...

Persistent link: https://www.econbiz.de/10011403123

Estimation methods for non-homogeneous regression models : minimum continuous ranked probability score vs. maximum likelihood

Gebetsberger, Manuel; Messner, Jakob W.; Mayr, Georg. J.; … - 2017

calibrated forecasts compared to maximum likelihood estimation. From a theoretical perspective, both estimators are consistent …

Persistent link: https://www.econbiz.de/10011762435

Tail probabilities for regression estimators

Mikosch, Thomas; Vries, Casper G. de - 2006

Estimators of regression coefficients are known to be asymptotically normally distributed, provided certain regularity conditions are satisfied. In small samples and if the noise is not normally distributed, this can be a poor guide to the quality of the estimators. The paper addresses this...

Persistent link: https://www.econbiz.de/10011349717

Using Bayesian Posterior Model Probabilities to Identify Omitted Variables in Spatial Regression Models

Lacombe, Donald J. - 2012

LeSage and Pace (2009) consider the impact of omitted variables in the face of spatial dependence in the disturbance process of a linear regression relationship. Remarkably, they show that this can lead to a spatial regression model specification containing a spatial lag of the dependent and...

Persistent link: https://www.econbiz.de/10013097958

Bayesian bandwidth selection for a nonparametric regression model with mixed types of regressors

Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - In: Econometrics : open access journal 4 (2016) 2, pp. 1-27

This paper develops a sampling algorithm for bandwidth estimation in a nonparametric regression model with continuous … estimates than cross-validation, particularly for smaller sample sizes. This bandwidth estimation approach is applied to … nonparametric regression model of the Australian All Ordinaries returns and the kernel density estimation of gross domestic product …

Persistent link: https://www.econbiz.de/10011506243

Multivariate student versus multivariate Gaussian regression models with application to finance

Thi Huong An Nguyen; Ruiz-Gazen, Anne; Thomas-Agnan, … - In: Journal of risk and financial management : JRFM 12 (2019) 1/28, pp. 1-21

To model multivariate, possibly heavy-tailed data, we compare the multivariate normal model (N) with two versions of the multivariate Student model: the independent multivariate Student (IT) and the uncorrelated multivariate Student (UT). After recalling some facts about these distributions and...

Persistent link: https://www.econbiz.de/10012022338

Density Based Regression for Inhomogeneous Data : Application to Lottery Experiments

Kontek, Krzysztof - 2010

This paper presents a regression procedure for inhomogeneous data characterized by varying variance, skewness and … kurtosis or by an unequal amount of data over the estimation domain. The concept is based first on the estimation of the … the advantages of the proposed methodology, which eliminates most of the estimation problems arising from data …

Persistent link: https://www.econbiz.de/10013144565

Constrained regression for interval-valued data

González-Rivera, Gloria; Lin, Wei - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 473-490

Persistent link: https://www.econbiz.de/10010337856

Skewed logistic distribution for statistical temperature post-processing in mountainous areas

Gebetsberger, Manuel; Stauffer, Reto; Mayr, Georg. J.; … - 2018

able to account for site-specific local features leading to strongly skewed residuals. This residual skewness remains even … model is proposed to overcome this problem by assuming a skewed response distribution to account for possible skewness. This …

Persistent link: https://www.econbiz.de/10011847486

A Highly Efficient Regression Estimator for Skewed And/Or Heavy-Tailed Distributed Errors

Ricci, Lorenzo - 2017

This paper proposes a simple maximum likelihood regression estimator that outperforms Least Squares in terms of efficiency and mean square error for a large number of skewed and/or heavy tailed error distributions

Persistent link: https://www.econbiz.de/10012955749