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Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model
Todd, Prono - Volkswirtschaftliche Fakultät, … - 2010
Efficient GMM estimation of the semi-strong GARCH(1,1) model requires simultaneous estimation of the conditional third … and fourth moments. This paper proposes a simple alternative to efficient GMM based upon the unconditional skewness of … instruments. Sequential estimation involves TSLS in a first step followed by linear GMM. Simultaneous estimation involves either …
Persistent link: https://www.econbiz.de/10008543477
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Common Factors and Specific Factors
Chen, Pu - Volkswirtschaftliche Fakultät, … - 2012
In this paper we study factor models for security returns on financial markets, where some pervasive factors are common across all securities and other pervasive factors prevail only within some groups of securities but not in others. This kind of structured factors allow a more nuanced analysis...
Persistent link: https://www.econbiz.de/10009422011
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The determinants of macroeconomic volatility: A Bayesian model averaging approach
Spiliopoulos, Leonidas - Volkswirtschaftliche Fakultät, … - 2010
Bayesian model averaging is applied to robustly ascertain the determinants of various output volatility measures, including the downside semideviation of growth rates. Financial sophis- tication variables are found to have qualitatively different effects on volatility. The ratio of govern- ment...
Persistent link: https://www.econbiz.de/10008727913
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A Comparative Study of Test Procedures uses in Assessing the Forecasting Ability of Linear Models with Applications to Crop Yield Data
Linardis, Apostolis; Panaretos, John - Volkswirtschaftliche Fakultät, … - 1998
The choice of the appropriate linear model before this can be used for planning and decision making, has been the concern of many statistical workers. Most of the methods in the literature aim at evaluating the descriptive ability of the candidate models. In the present paper an evaluation...
Persistent link: https://www.econbiz.de/10005835399
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A Predictive Model Evaluation and Selection Approach - The Correlated Gamma Ratio Distribution
Xekalaki, Evdokia; Panaretos, John; Psarakis, Stelios - Volkswirtschaftliche Fakultät, … - 2003
In this paper, an evaluation method is suggested for selecting one of two competing models based on certain predictive ability ratings. The main focus is on the case of linear models that are not necessarily nested. In the context of such models, the test procedure is based on a sample statistic...
Persistent link: https://www.econbiz.de/10005835827
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On a Distribution Arising in the Context of Comparative Model Performance Evaluation Problems
Panaretos, John; Psarakis, Stelios; Xekalaki, Evdokia - Volkswirtschaftliche Fakultät, … - 1998
The paper deals with a distribution that arises as the distribution of a sample statistic used to compare the predictive ability of two competing linear models. It is defined as the distribution of the ratio of two correlated gamma variables and its probabilities are tabulated in order that they...
Persistent link: https://www.econbiz.de/10005836553
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The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation
Pötscher, Benedikt M. - Volkswirtschaftliche Fakultät, … - 2006
The finite-sample as well as the asymptotic distribution of Leung and Barron's (2006) model averaging estimator are derived in the context of a linear regression model. An impossibility result regarding the estimation of the finite-sample distribution of the model averaging estimator is obtained.
Persistent link: https://www.econbiz.de/10005837243
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Confidence sets based on penalized maximum likelihood estimators
Pötscher, Benedikt M.; Schneider, Ulrike - Volkswirtschaftliche Fakultät, … - 2008
The finite-sample coverage properties of confidence intervals based on penalized maximum likelihood estimators like the LASSO, adaptive LASSO, and hard-thresholding are analyzed. It is shown that symmetric intervals are the shortest. The length of the shortest intervals based on the...
Persistent link: https://www.econbiz.de/10005026624
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Sample- and segment-size specific Model Selection in Mixture Regression Analysis
Sarstedt, Marko - Volkswirtschaftliche Fakultät, … - 2006
As mixture regression models increasingly receive attention from both theory and practice, the question of selecting the correct number of segments gains urgency. A misspecification can lead to an under- or oversegmentation, thus resulting in flawed management decisions on customer targeting or...
Persistent link: https://www.econbiz.de/10005187258
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The Correlated Gamma-Ratio Distribution in Model Evaluation and Selection
Panaretos, John; Psarakis, Stelios; Xekalaki, Evdokia; … - Volkswirtschaftliche Fakultät, … - 2005
The paper considers the problem of selecting one of two not necessarily nested competing regression models based on comparative evaluations of their abilities in each of two different issues: The first pertains to viewing the problem as a “best-fitting” model determination problem in the...
Persistent link: https://www.econbiz.de/10005619543