Showing 1 - 10 of 133
, without the need to explicitly model it. We document that anchoring delivers large and significant gains in forecast accuracy …
Persistent link: https://www.econbiz.de/10010190487
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the asymptotic distribution of the cross quantilogram and the...
Persistent link: https://www.econbiz.de/10010245330
nonstationary. We also establish the estimation theory and asymptotic properties for these models in the short horizon and long …
Persistent link: https://www.econbiz.de/10011775136
The understanding of co-movements, dependence, and influence between variables of interest is key in many applications. Broadly speaking such understanding can lead to better predictions and decision making in many settings. We propose Quantile Graphical Models (QGMs) to characterize prediction...
Persistent link: https://www.econbiz.de/10011775380
The goal of this paper is to develop formal tests to evaluate the relative in-sample performance of two competing, misspecified non-nested models in the presence of possible data instability. Compared to previous approaches to model selection, which are based on measures of global performance,...
Persistent link: https://www.econbiz.de/10009554364
Quantile regression is an increasingly important empirical tool in economics and other sciences for analyzing the impact of a set of regressors on the conditional distribution of an outcome. Extremal quantile regression, or quantile regression applied to the tails, is of interest in many...
Persistent link: https://www.econbiz.de/10009419329
We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and …
Persistent link: https://www.econbiz.de/10011865621
We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and …
Persistent link: https://www.econbiz.de/10012003693
We consider a variable selection problem for the prediction of binary outcomes. We study the best subset selection procedure by which the explanatory variables are chosen by maximizing Manski (1975, 1985)'s maximum score type objective function subject to a constraint on the maximal number of...
Persistent link: https://www.econbiz.de/10011775359
A well known problem with revealed preference methods is that when data are found to satisfy their restrictions it is hard to know whether this should be viewed as a triumph for economic theory, or a warning that these conditions are so undemanding that almost anything goes. This paper allows...
Persistent link: https://www.econbiz.de/10003990103