Similar Search Results

Correcting for primary study misspecifications in meta-analysis

Koetse, Mark J.; Florax, Raymond J. G. M.; Groot, Henri … - 2005

In non-experimental sciences the errors associated with model misspecifications in primarystudies carry over to meta-analysis. We use Monte Carlo simulations to analyse the effects ofthese misspecifications on results of a meta-analysis using a meta-estimator that calculates asimple average...

Persistent link: https://www.econbiz.de/10011343283

A non-Gaussian panel time series model for estimating and decomposing default risk

Koopman, Siem Jan; Lucas, André; Daniels, Robert - 2005

We model 1981-2002 annual US default frequencies for a panel of firms in different rating and age classes. The data is decomposed into a systematic and firm-specific risk component, where the systematic component reflects the general economic conditions and default climate. We have to cope with...

Persistent link: https://www.econbiz.de/10011343953

The multi-state latent factor intensity model for credit rating transitions

Koopman, Siem Jan; Lucas, André; Monteiro, André Antonio - 2006

A new empirical reduced-form model for credit rating transitions is introduced. It is a parametric intensity-based duration model with multiple states and driven by exogenous covariates and latent dynamic factors. The model has a generalized semi-Markov structure designed to accommodate many of...

Persistent link: https://www.econbiz.de/10011346452

Measuring asymmetric stochastic cycle components in US macroeconomic time series

Koopman, Siem Jan; Lee, Kai Ming - 2005

To gain insights in the current status of the economy, macroeconomic time series are often decomposed into trend, cycle and irregular components. This can be done by nonparametric band-pass filtering methods in the frequency domain or by model-based decompositions based on autoregressive moving...

Persistent link: https://www.econbiz.de/10011346480

A simple model of self-assessments

Dominguez-Martinez, Silvia; Swank, Otto H. - 2006

We develop a simple model that describes individuals’ self-assessments oftheir abilities. We assume that individuals learn about their abilities from appraisalsof others and experience. Our model predicts that if communicationis imperfect, then (i) appraisals of others tend to be too positive,...

Persistent link: https://www.econbiz.de/10011348342

Model-based measurement of latent risk in time series with applications

Bijleveld, Frits; Commandeur, Jacques Jean François; … - 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/10011348356

Credit cycles and macro fundamentals

Koopman, Siem Jan; Kräussl, Roman; Lucas, André; … - 2006

We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using rating transition and default data of U.S. corporates from Standard and Poor’s over the period 1980-2005 we directly estimate the credit cycle from the micro rating data. We...

Persistent link: https://www.econbiz.de/10011348707

Capital-energy substitution and shifts in factor demand : a meta-analysis

Koetse, Mark J.; Groot, Henri L. F. de; Florax, Raymond … - 2006

This paper presents results of a meta-regression analysis on empirical estimates of capital-energy substitution. Theoretically it is clear that a distinction should be made between Morishima substitution elasticities and cross-price elasticities. The former represent purely technical...

Persistent link: https://www.econbiz.de/10011349193

The self-perception theory vs. a dynamic learning model

Swank, Otto H. - 2006

motivation may undermine intrinsic motivation. The self-perception (SP) theory developed by Bem (1972) explains this finding. The … crux of this theory is that people remember their past decisions and the extrinsic rewards they received, but they do not … recall their intrinsic motives. In this paper I show that the SP theory can be modeled as a variant of a conventional dynamic …

Persistent link: https://www.econbiz.de/10011349711

Producing and manipulating information : private information providers versus public information providers

Dur, Robert A. J.; Swank, Otto H. - 2001

This paper studies the selection of information collecting agents by policy makers in the light of two agency problems. First, it is often hard to ascertain how much effort agents have put in acquiring information. Second, when agents have an interest in the policy outcome, they may manipulate...

Persistent link: https://www.econbiz.de/10011316863