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Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models

Corradi, Valentina; Swanson, Norman - 2011

This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified …) diffusion models. In particular, we first outline a simple simulation-based framework for constructing predictive densities for … one-factor and stochastic volatility models. Then, we construct accuracy assessment tests that are in the spirit of …

Persistent link: https://www.econbiz.de/10010282854

Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments

Chao, John C.; Swanson, Norman R.; Hausman, Jerry A.; … - 2011

This paper derives the limiting distributions of alternative jackknife IV (JIV) estimators and gives formulae for accompanying consistent standard errors in the presence of heteroskedasticity and many instruments. The asymptotic framework includes the many instrument sequence of Bekker (1994)...

Persistent link: https://www.econbiz.de/10010282856

Volatility in discrete and continuous time models: A survey with new evidence on large and small jumps

Duong, Diep; Swanson, Norman - 2011

The topic of volatility measurement and estimation is central to financial and more generally time series econometrics. In this paper, we begin by surveying models of volatility, both discrete and continuous, and then we summarize some selected empirical findings from the literature. In...

Persistent link: https://www.econbiz.de/10010282858

Extracting business cycle fluctuations: What do time series filters really do?

Estrella, Arturo - 2007

Various methods are available to extract the “business cycle component” of a given time series variable. These methods may be derived as solutions to frequency extraction or signal extraction problems and differ in both their handling of trends and noise and their assumptions about the ideal...

Persistent link: https://www.econbiz.de/10010283367

Estimating probabilities of default

Schuermann, Til; Hanson, Samuel Gregory - 2004

We conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD), using several analytical approaches from large-sample theory and bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods

Persistent link: https://www.econbiz.de/10010283470

A drift of the drift adjustment method

Mundaca, B. Gabriela - 2002

This paper shows why regressing the realised rates of depreciation within the exchange rate band on a given information set and conditional on (ex-post) actual no-realignment (à la drift adjustment) still encounters a Peso Problem. Such a procedure generally gives inconsistent estimates. The...

Persistent link: https://www.econbiz.de/10010284275

A note on the Weibull distribution and time aggregation bias

Røed, Knut; Zhang, Tao - 2000

The application of continuous time Weibull models on discrete unemployment duration data may produce bias in the estimated shape of the hazard rate. The bias can be substantial even for weekly duration data, and it is seriously aggravated if the Weibull model is erroneously mixed with a Gamma...

Persistent link: https://www.econbiz.de/10010284319

Time and causility: A Monte Carlo assessment of the timing-of-events approach

Gaure, Simen; Røed, Knut; Zhang, Tao - 2005

We present new Monte Carlo evidence regarding the feasibility of separating causality from selection within non-experimental interval-censored duration data, by means of the nonparametric maximum likelihood estimator (NPMLE). Key findings are: i) the NPMLE is extremely reliable, and it...

Persistent link: https://www.econbiz.de/10010284322

Repeated surveys and the Kalman filter

Lind, Jo Thori - 2004

The time series nature of repeated surveys is seldom taken into account. The few studies that take this into account usually smooth the period-wise estimates without using the cross sectional information. This leads to inefficient estimation. I present a statistical model of repeated surveys and...

Persistent link: https://www.econbiz.de/10010284336

A Monte Carlo study on non-parametric estimation of duration models with unobserved heterogeneity

Zhang, Tao - 2003

We conduct extensive Monte Carlo experiments on non-parametric estimations of duration models with unknown duration dependence and unknown mixing distribution for unobserved heterogeneity. We propose a full non-parametric maximum likelihood approach, based on time-varying lagged explanatory...

Persistent link: https://www.econbiz.de/10010284357