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of the NAIRU, the Non Accelerating Rate of Unemployment, provide confidence bands, and formally test the constancy … hypothesis on the NAIRU. We also study the robustness of this results to the specification of the Phillips Curve. We find more … reliable estimates of the NAIRU than previous estimates of the output gap, and find evidence in favor of a non constant NAIRU …
Persistent link: https://www.econbiz.de/10005274509
Prediction intervals in State Space models can be obtained by assuming Gaussian innovations and using the prediction equations of the Kalman filter, where the true parameters are substituted by consistent estimates. This approach has two limitations. First, it does not incorporate the...
Persistent link: https://www.econbiz.de/10008543184
In the context of dynamic factor models (DFM), it is known that, if the cross-sectional and time dimensions tend to infinity, the Kalman filter yields consistent smoothed estimates of the underlying factors. When looking at asymptotic properties, the cross- sectional dimension needs to increase...
Persistent link: https://www.econbiz.de/10010585959
The use of probability of default estimates to assess the risks of a credit portfolio should not ignore estimation uncertainty. The latter can be quantified by confidence intervals. But assumptions about dependencies of these intervals are inconsistent with assumptions of conventional credit...
Persistent link: https://www.econbiz.de/10005398677
This paper proposes a proxy-variable search procedure, based on a sensitivity analysis framework, aiming to provide a useful tool for the applied researcher whenever he faces measurement or proxy-variable uncertainties. Extending from the sensitivity analysis literature it proposes two main...
Persistent link: https://www.econbiz.de/10008562982
For credit risk assessment, probability of default and correlation have to be estimated simultaneously. However, these estimates are uncertain. To assess this uncertainty the literature has discussed the use of asymptotic confidence regions. This kind of region though needs a long credit history...
Persistent link: https://www.econbiz.de/10005426802
This article seeks to make an assessment of estimation uncertainty in a multi-rating class loan portfolio. Relationships are established between estimation uncertainty and parameters such as probability of default, intra- and inter-rating class correlation, degree of inhomogeneity, number of...
Persistent link: https://www.econbiz.de/10009189890
Persistent link: https://www.econbiz.de/10011975845
This article seeks to make an assessment of estimation uncertainty in a multi-rating class loan portfolio. Relationships are established between estimation uncertainty and parameters such as probability of default, intra- and inter-rating class correlation, degree of inhomogeneity, number of...
Persistent link: https://www.econbiz.de/10010286023
We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have observations drawn from a normal variance mixture...
Persistent link: https://www.econbiz.de/10010421281