Similar Search Results

Diagnostic Tools for Nonlinearity in Spatial Models

Graaff, Thomas de; Florax, Raymond J.G.M.; Nijkamp, Peter; … - Tinbergen Institute - 1998

There is an increasing awareness of the potential of nonlinear modeling in regional science, which can partly be explained by the recognition of the limitations of conventional equilibrium models in complex situations and partly by the easy availability and accessibility of sophisticated...

Persistent link: https://www.econbiz.de/10005137268

Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk

Monteiro, Andre; Smirnov, Georgi V.; Lucas, Andre - Tinbergen Institute - 2006

We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...

Persistent link: https://www.econbiz.de/10005450790

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 …, component VaR and incremental VaR readily follow. The proposed estimation approach pairs intuitive appeal with computational … efficiency. We evaluate various alternative estimation methods in an application example and conclude that the proposed approach …

Persistent link: https://www.econbiz.de/10005144576

Testing for Nonlinear Structure and Chaos in Economic Time. A Comment.

Hommes, Cars; Manzan, Sebastiano - Tinbergen Institute - 2006

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of outliers and noisy chaos. In particular, we include...

Persistent link: https://www.econbiz.de/10005144529

Possibly Ill-behaved Posteriors in Econometric Models

Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Institute - 2008

Highly non-elliptical posterior distributions may occur in several econometric models, in particular, when the likelihood information is allowed to dominate and data information is weak. We explain the issue of highly non-elliptical posteriors in a model for the effect of education on income...

Persistent link: https://www.econbiz.de/10005504938

Microeconomic Evidence of Creative Destruction in Industrial and Developing Countries

Bartelsman, Eric J.; Haltiwanger, John; Scarpetta, Stefano - Tinbergen Institute - 2004

In this paper we provide an analysis of the process of creative destruction across 24 countries and 2-digit industries over the past decade. We rely on a newly assembled dataset that draws from different micro data sources (business registers, census, or representative enterprise surveys). The...

Persistent link: https://www.econbiz.de/10005136875

Modeling Portfolio Defaults using Hidden Markov Models with Covariates

Banachewicz, Konrad; Vaart, Aad van der; Lucas, André - Tinbergen Institute - 2006

We extend the Hidden Markov Model for defaults of Crowder, Davis, and Giampieri (2005) to include covariates. The covariates enhance the prediction of transition probabilities from high to low default regimes. To estimate the model, we extend the EM estimating equations to account for the time...

Persistent link: https://www.econbiz.de/10005136908

Business Survival and Success of Young Small Business Owners

Praag, C. Mirjam van - Tinbergen Institute - 2003

Little empirical evidence provides insight in person-oriented drivers of business survival and success of small business owners. In this paper I perform a duration analysis of business survival amongst young white (selfemployed) small business owners in the U.S. Compulsory exits are...

Persistent link: https://www.econbiz.de/10005137174

Turbulence, Flexibility and Performance of the Long-lived Small Firm

Power, Bernadette; Reid, Gavin C - Tinbergen Institute - 2003

performance. This is done in two forms. The first involves generalised least squares estimation (with heteroskedastic adjustment … selection estimation, of this performance relationship. It is found that turbulence has a negative effect on performance …

Persistent link: https://www.econbiz.de/10005137189

Model-based Measurement of Latent Risk in Time Series with Applications

Bijleveld, Frits; Commandeur, Jacques; Gould, Phillip; … - Tinbergen Institute - 2005

Risk is at the center of many policy decisions in companies, governments and other institutions. The risk of road fatalities concerns local governments in planning counter- measures, the risk and severity of counterparty default concerns bank risk managers on a daily basis and the risk of...

Persistent link: https://www.econbiz.de/10005137355