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McAleer, Michael; Chan, Felix; Oxley, Les - Department of Economics and Finance, College of … - 2013

The papers in this special issue of Mathematics and Computers in Simulation cover the following topics. Improving … through the comparison of simultaneous and sequential estimation, modeling tail credit risk using transition matrices … chart application, adaptive survey designs for sampling rare and clustered populations, income distribution inequality …

Persistent link: https://www.econbiz.de/10010907447

Testing for Bivariate Stochastic Dominance Using Inequality Restrictions

Stengos, Thanasis; Thompson, Brennan S. - Department of Economics and Finance, College of … - 2011

In this paper, we propose of a test of bivariate stochastic dominance using a generalized framework for testing inequality constraints. Unlike existing tests, this test has the advantage of utilizing the covariance structure of the estimates of the joint distribution functions. The performance...

Persistent link: https://www.econbiz.de/10009145445

Measuring human development: a stochastic dominance approach

Pinar, Mehmet; Stengos, Thanasis; Topaloglou, Nikolas - Department of Economics and Finance, College of … - 2012

We consider a weighting scheme that yields a best-case scenario for measured human development such as the official equally-weighted Human Development Index (HDI) using an approach that relies on consistent tests for stochastic dominance efficiency (SDE). We compare the official equally-weighted...

Persistent link: https://www.econbiz.de/10010554715

A Trinomial Test for Paired Data When There are Many Ties

Bian, Guorui; McAleer, Michael; Wong, Wing-Keung - Department of Economics and Finance, College of … - 2010

This paper develops a new test, the trinomial test, for pairwise ordinal data samples to improve the power of the sign test by modifying its treatment of zero differences between observations, thereby increasing the use of sample information. Simulations demonstrate the power superiority of the...

Persistent link: https://www.econbiz.de/10008552166

Using Model Selection Algorthims to Obtain Reliable Coefficient Estimates

Castle, Jennifer; Qin, Xiaochuan; Reed, W. Robert - Department of Economics and Finance, College of … - 2011

This review surveys a number of common Model Selection Algorithms (MSAs), discusses how they relate to each other, and identifies factors that explain their relative performances. At the heart of MSA performance is the trade-off between Type I and Type II errors. Some relevant variables will be...

Persistent link: https://www.econbiz.de/10008800740

How To Pick The Best Regression Equation: A Review And Comparison Of Model Selection Algorithms

Castle, Jennifer L.; Qin, Xiaochuan; Reed, W. Robert - Department of Economics and Finance, College of … - 2009

This paper reviews and compares twenty-one different model selection algorithms (MSAs) representing a diversity of approaches, including (i) information criteria such as AIC and SIC; (ii) selection of a “portfolio” or best subset of models; (iii) general-to-specific algorithms, (iv)...

Persistent link: https://www.econbiz.de/10008577769

Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks.

Alexeev, Vitali; Maynard, Alex - Department of Economics and Finance, College of … - 2010

We propose a modified version of the nonparametric level crossing random walk test, in which the crossing level is determined locally. This modification results in a test that is robust to unknown multiple structural breaks in the level and slope of the trend function under both the null and...

Persistent link: https://www.econbiz.de/10008465786

Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments

Franses, Philip Hans; McAleer, Michael; Legerstee, Rianne - Department of Economics and Finance, College of … - 2010

Macroeconomic forecasts are frequently produced, published, discussed and used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review we analyse some recent developments from that...

Persistent link: https://www.econbiz.de/10008621804

Model Selection and Testing of Conditional and Stochastic Volatility Models

Caporin, Massimiliano; McAleer, Michael - Department of Economics and Finance, College of … - 2010

This paper focuses on the selection and comparison of alternative non-nested volatility models. We review the traditional in-sample methods commonly applied in the volatility framework, namely diagnostic checking procedures, information criteria, and conditions for the existence of moments and...

Persistent link: https://www.econbiz.de/10008642500

A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process

Hafner, Christian M.; McAleer, Michael - Department of Economics and Finance, College of … - 2014

One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of asymptotic properties of the...

Persistent link: https://www.econbiz.de/10010796148

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