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Conditiona l Forecast Selection from Many Forecasts: An Application to the Yen/Dollar Exchange Rate

Kawakami, Kei - Department of Economics, Faculty of Business and Economics - 2013

This paper proposes a new method for forecast selection from a pool of many forecasts. The method uses conditional information as proposed by Giacomini and White (2006). It also extends their pairwise switching method to a situation with many forecasts. I apply the method to the monthly...

Persistent link: https://www.econbiz.de/10010903380

GMM Estimation of Income Distributions from Grouped Data

Hajargsht, Gholamreza; Griffiths, William E.; Brice, Joseph - Department of Economics, Faculty of Business and Economics - 2011

We develop a GMM procedure for estimating income distributions from grouped data with unknown group bounds. The … lognormal distributions. This work extends earlier work (Chotikapanich et al., 2007, 2012) that did not specify a formal GMM …

Persistent link: https://www.econbiz.de/10009319015

Inference for Income Distributions Using Grouped Data

Gholamreza Hajargsht, William E. Griffiths, Joseph … - Department of Economics, Faculty of Business and Economics - 2012

conditions and an optimal weight matrix that can be used for GMM estimation of any parametric income distribution are derived …. Our derivation of the weight matrix and its inverse allows us to express the seemingly complex GMM objective function in a … not specify a formal GMM framework, did not provide methodology for obtaining standard errors, and restricted the analysis …

Persistent link: https://www.econbiz.de/10010903422

Pareto-Lognormal Income Distributions:Inequality and Poverty Measures, Estimation and Performance

Hajargasht, Gholamreza; Griffiths, William E. - Department of Economics, Faculty of Business and Economics - 2012

poverty measures. We show how it can be estimated from grouped data using the GMM method developed in Hajargasht et al. (2012 …

Persistent link: https://www.econbiz.de/10010903427