Similar Search Results

Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration

Nielsen, Morten Ørregaard; Frederiksen, Per - School of Economics and Management, University of Aarhus - 2010

We consider estimation of the cointegrating relation in the weak fractional cointegration model, where the strength of the cointegrating relation (difference in memory parameters) is less than one-half. A special case is the stationary fractional cointegration model, which has found important...

Persistent link: https://www.econbiz.de/10008462022

Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors

Hillebrand, Eric; Lee, Tae-Hwy - School of Economics and Management, University of Aarhus - 2012

We examine the Stein-rule shrinkage estimator for possible improvements in estimation and forecasting when there are …-rule shrinkage. We conduct Monte Carlo simulations to examine these parameter regions. The overall picture that emerges is that the … Stein-rule shrinkage estimator can dominate both OLS and principal components estimators within an intermediate range of the …

Persistent link: https://www.econbiz.de/10010851208

Estimating High-Dimensional Time Series Models

Medeiros, Marcelo C.; Mendes, Eduardo F. - School of Economics and Management, University of Aarhus - 2012

We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. We assume both the number of covariates in the model and candidate variables can increase with the number of observations and the number of candidate variables is,...

Persistent link: https://www.econbiz.de/10010851219

On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions

Kock, Anders Bredahl - School of Economics and Management, University of Aarhus - 2012

We show that the Adaptive LASSO is oracle efficient in stationary and non-stationary autoregressions. This means that it estimates parameters consistently, selects the correct sparsity pattern, and estimates the coefficients belonging to the relevant variables at the same asymptotic efficiency...

Persistent link: https://www.econbiz.de/10009652367

Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice

Callot, Laurent A. F.; Kock, Anders B.; Medeiros, Marcelo C. - School of Economics and Management, University of Aarhus - 2014

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong theoretical performance guarantees on the forecast...

Persistent link: https://www.econbiz.de/10011079278

Dynamic Factor Models for the Volatility Surface

Wel, Michel van der; Ozturk, Sait R.; Dijk, Dick van - School of Economics and Management, University of Aarhus - 2015

The implied volatility surface is the collection of volatilities implied by option contracts for different strike prices and time-to-maturity. We study factor models to capture the dynamics of this three-dimensional implied volatility surface. Three model types are considered to examine...

Persistent link: https://www.econbiz.de/10011186678

EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area

Proietti, Tommaso; Marczak, Martyna; Mazzi, Gianluigi - School of Economics and Management, University of Aarhus - 2015

EuroMInd-D is a density estimate of monthly gross domestic product (GDP) constructed according to a bottom–up approach, pooling the density estimates of eleven GDP components, by output and expenditure type. The components density estimates are obtained from a medium-size dynamic factor model...

Persistent link: https://www.econbiz.de/10011186679

The Properties of Model Selection when Retaining Theory Variables

Hendry, David F.; Johansen, Søren - School of Economics and Management, University of Aarhus - 2011

Economic theories are often fitted directly to data to avoid possible model selection biases. We show that embedding a theory model that specifies the correct set of m relevant exogenous variables, x{t}, within the larger set of m+k candidate variables, (x{t},w{t}), then selection over the...

Persistent link: https://www.econbiz.de/10009359474

Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques

Kock, Anders Bredahl; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2011

In this paper we consider the forecasting performance of a well-defined class of flexible models, the so-called single hidden-layer feedforward neural network models. A major aim of our study is to find out whether they, due to their flexibility, are as useful tools in economic forecasting as...

Persistent link: https://www.econbiz.de/10009277000

The Model Confidence Set

Hansen, Peter R.; Lunde, Asger; Nason, James M. - School of Economics and Management, University of Aarhus - 2010

The paper introduces the model confidence set (MCS) and applies it to the selection of models. A MCS is a set of models that is constructed such that it will contain the best model with a given level of confidence. The MCS is in this sense analogous to a confidence interval for a parameter. The...

Persistent link: https://www.econbiz.de/10008784441