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A Sharp Test for the Judge Leniency Design
Coulibaly, Mohamed; Hsu, Yu-Chin; Mourifié, Ismael; … - National Bureau of Economic Research - 2024
We propose a new specification test to assess the validity of the judge leniency design. We characterize a set of sharp testable implications, which exploit all the relevant information in the observed data distribution to detect violations of the judge leniency design assumptions. The proposed...
Persistent link: https://www.econbiz.de/10014544734
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The joint mortality of couples in continuous time
Jevtić, P.; Hurd, T. R. - In: Insurance / Mathematics & economics 75 (2017), pp. 90-97
Persistent link: https://www.econbiz.de/10011740732
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An innovative design of flexible, bequest-enhanced life annuity with natural hedging
Zhou, Yuxin; Sherris, Michael; Ziveyi, Jonathan; Xu, Mengyi - In: Scandinavian actuarial journal 2022 (2022) 6, pp. 488-509
Persistent link: https://www.econbiz.de/10013370711
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Generalized information matrix tests for copulas
Prokhorov, Artem; Schepsmeier, Ulf; Zhu, Yajing - In: Econometric reviews 38 (2019) 9, pp. 1024-1054
Persistent link: https://www.econbiz.de/10012181382
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Goodness-of-fit test for copulas
Panchenko, Valentyn - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 1, pp. 176-182
form for the copula is an open question in the literature. This paper develops a goodness-of-fit test for copulas based on …. The test is applied to a dataset of US large cap stocks to assess the performance of the Gaussian copula for the … portfolios of assets of various dimension. The Gaussian copula appears to be inadequate to characterize the dependence between …
Persistent link: https://www.econbiz.de/10010589678
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Copula goodness-of-fit testing: an overview and power comparison
Berg, Daniel - In: The European Journal of Finance 15 (2009) 7-8, pp. 675-701
Several copula goodness-of-fit approaches are examined, three of which are proposed in this paper. Results are …
Persistent link: https://www.econbiz.de/10008603200
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Asymptotic consistency and inconsistency of the chain ladder
Pešta, Michal; Hudecová, Šárka - In: Insurance: Mathematics and Economics 51 (2012) 2, pp. 472-479
The distribution-free chain ladder reserving method belongs to the most frequently used approaches in general insurance. It is well known, see Mack (1993), that the estimators f̂j of the development factors are unbiased and mutually uncorrelated under some mild conditions on the mean structure...
Persistent link: https://www.econbiz.de/10011046610
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Are Most Published Research Findings False?
Diekmann, Andreas - In: Journal of Economics and Statistics (Jahrbuecher fuer … 231 (2011) 5-6, pp. 628-635
In a provocative article Ioannidis (2005) argues that, in disciplines employing statistical tests of significance, professional journals report more wrong than true significant results. This short note sketches the argument and explores under what conditions the assertion holds. The “positive...
Persistent link: https://www.econbiz.de/10009369638
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What Fuels Publication Bias? Theoretical and Empirical Analyses of Risk Factors Using the Caliper Test
Auspurg, Katrin; Hinz, Thomas - In: Journal of Economics and Statistics (Jahrbuecher fuer … 231 (2011) 5-6, pp. 636-660
Significance tests were originally developed to enable more objective evaluations of research results. Yet the strong orientation towards statistical significance encourages biased results, a phenomenon termed “publication bias”. Publication bias occurs whenever the likelihood or time-lag of...
Persistent link: https://www.econbiz.de/10009369643
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Hypothesis testing for arbitrary bounds
Penney, Jeffrey - In: Economics Letters 121 (2013) 3, pp. 492-494
I derive a rigorous method to help determine whether a true parameter takes a value between two arbitrarily chosen points for a given level of confidence via a multiple testing procedure which strongly controls the familywise error rate. For any test size, the distance between the upper and...
Persistent link: https://www.econbiz.de/10010729464