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Applications of fractional response model to the study of bounded dependent variables in accounting research

Gallani, Susanna; Krishnan, Ranjani; Wooldridge, Jeffrey M. - 2015

Survey research studies make extensive use of rating scales to measure constructs of interest. The bounded nature of such scales presents econometric estimation challenges. Linear estimation methods (e.g. OLS) often produce predicted values that lie outside the rating scales, and fail to account...

Persistent link: https://www.econbiz.de/10011536090

Composite indices based on partial least squares

Yoon, Jisu; Klasen, Stephan; Dreher, Axel; Krivobokova, … - 2015

In this paper, we compare Principal Component Analysis (PCA) and Partial Least Squares (PLS) methods to generate weights for composite indices. In this context we also consider various treatments of non-metric variables when constructing such composite indices. Using simulation studies we find...

Persistent link: https://www.econbiz.de/10010496759

Treatments of non-metric variables in partial least squares and principal component analysis

Yoon, Jisu; Krivobokova, Tatyana - 2015

This paper reviews various treatments of non-metric variables in Partial Least Squares (PLS) and Principal Component Analysis (PCA) algorithms. The performance of different treatments is compared in the extensive simulation study under several typical data generating processes and...

Persistent link: https://www.econbiz.de/10010498613

Estimation of sentiment effects in financial markets : a simulated method of moments approach

Chen, Zhenxi; Lux, Thomas - 2015

We take the model of Alfarano et al. (Journal of Economic Dynamics & Control 32, 2008, 101-136) as a prototype agent-based model that allows reproducing the main stylized facts of financial returns. The model does so by combining fundamental news driven by Brownian motion with a minimalistic...

Persistent link: https://www.econbiz.de/10010501936

Scalable MCMC for large data problems using data subsampling and the difference estimator

Quiroz, Matias; Villani, Mattias; Kohn, Robert - 2015

We propose a generic Markov Chain Monte Carlo (MCMC) algorithm to speed up computations for datasets with many observations. A key feature of our approach is the use of the highly efficient difference estimator from the survey sampling literature to estimate the log-likelihood accurately using...

Persistent link: https://www.econbiz.de/10011300365

Finite sample bias corrected IV estimation for weak and many instruments

Harding, Matthew C.; Hausman, Jerry A.; Palmer, … - 2015

This paper considers the finite sample distribution of the 2SLS estimator and derives bounds on its exact bias in the presence of weak and/or many instruments. We then contrast the behavior of the exact bias expressions and the asymptotic expansions currently popular in the literature, including...

Persistent link: https://www.econbiz.de/10011300710

Decomposing portfolio value-at-risk : a general analysis

Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999

from the total portfolio’s VaR, there is agrowing need for information about (i) the marginal contribution of the … individual portfolio components tothe diversified portfolio VaR, (ii) the proportion of the diversified portfolio VaR that can be … attributed toeach of the individual components consituting the portfolio, and (iii) the incremental effect on VaR ofadding a new …

Persistent link: https://www.econbiz.de/10011301159

Gradient estimation for a class of systems with bulk services : a problem in public transportation

Vazquez-Abad, Felisa J.; Heidergott, Bernd - 2003

This paper deals with a system where batch arrivals wait in a station until a server (a train) is available, at which moment it services all customers in waiting. This is an example of a bulk server, which has many applications in public transportation, telecommunications, computer resource...

Persistent link: https://www.econbiz.de/10011333885

GARCH models, tail indexes and error distributions : an empirical investigation

Šopov, Boril; Horváth, Roman - 2015

We perform a large simulation study to examine the extent to which various generalized autoregressive conditional heteroskedasticity (GARCH) models capture extreme events in stock market returns. We estimate Hill's tail indexes for individual S&P 500 stock market returns ranging from 1995-2014...

Persistent link: https://www.econbiz.de/10010529886

Monte Carlo approximate tensor moment simulations

Arismendi Zambrano, Juan Carlos; Kimura, Herbert - 2014

assessment with Value-at-Risk (VaR) is provided. A comparison with previous methods available in the literature suggests that …

Persistent link: https://www.econbiz.de/10010532225