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Detecting Serial Dependence in Tail Events
Diks, Cees - Tinbergen Institute - 2002
A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...
Persistent link: https://www.econbiz.de/10005137063
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How to Implement the Bootstrap in Static or Stable Dynamic Regression Models
Giersbergen, Noud P.A. van; Kiviet, Jan F. - Tinbergen Institute - 2001
By combining two alternative formulations of a test statistic with two alternative resampling schemes we obtain four different bootstrap tests. In the context of static linear regression models two of these are shown to have serious size and power problems, whereas the remaining two are adequate...
Persistent link: https://www.econbiz.de/10005137131
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Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Institute - 2008
We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. By construction, existing scoring rules based on weighted...
Persistent link: https://www.econbiz.de/10005137187
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Decomposing Portfolio Value-at-Risk: A General Analysis
Hallerbach, Winfried G. - Tinbergen Institute - 1999
distribution specifications or historical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation … assumptions on the underlying statistical distributions, a variety of analytical methods and simulation-based methods are … simulation context.<BR> This paper tries to fill this gap by investigating these VaR concepts in a general distribution …
Persistent link: https://www.econbiz.de/10005144576
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The Impact of Effect Size Heterogeneity on Meta-Analysis: A Monte Carlo Experiment
Koetse, Mark J.; Florax, Raymond J.G.M.; Groot, Henri … - Tinbergen Institute - 2007
In this paper we use Monte Carlo simulation to investigate the impact of effect size heterogeneity on the results of a …
Persistent link: https://www.econbiz.de/10005136866
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Correcting for Primary Study Misspecifications in Meta-Analysis
Koetse, Mark J.; Florax, Raymond J.G.M.; Groot, Henri … - Tinbergen Institute - 2005
Misspecifications and differences in operational definitions of elasticities in primary studies carry over to meta-analysis results. We show that the current practice of accounting for such primary study aber-rations in a meta-analysis by means of dummy variables goes a long way in mitigating...
Persistent link: https://www.econbiz.de/10005036250
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Some Exact Tests for Manifest Properties of Latent Trait Models
Gooijer, Jan G. de; Yuan, Ao - Tinbergen Institute - 2010
Item response theory is one of the modern test theories with applications in educational and psychological testing. Recent developments made it possible to characterize some desired properties in terms of a collection of manifest ones, so that hypothesis tests on these traits can, in principle,...
Persistent link: https://www.econbiz.de/10008838530
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Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Institute
conditions: in particular it allows for parameter estimation uncertainty and for the copulas to be nested or non-nested. Monte …
Persistent link: https://www.econbiz.de/10005144392
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Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann
Hoogerheide, Lennart F.; Ravazzolo, Francesco; Dijk, … - Tinbergen Institute - 2011
-horizon) forecasts and no observations on the target variable. We propose an extension, a simulation-based procedure that takes into …
Persistent link: https://www.econbiz.de/10009322510
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To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods
Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Institute - 2009
Important choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation … use of importance sampling or the independence chain Metropolis-Hastings algorithm for posterior analysis. A comparative … analysis is presented of possible advantages and limitations of different simulation techniques; of possible choices of …
Persistent link: https://www.econbiz.de/10005016276