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A random forest-based approach to identifying the most informative seasonality tests
Ollech, Daniel; Webel, Karsten - 2020
Virtually each seasonal adjustment software includes an ensemble of seasonality tests for assessing whether a given time series is in fact a candidate for seasonal adjustment. However, such tests are certain to produce either the same resultor conflicting results, raising the question if there...
Persistent link: https://www.econbiz.de/10012301212
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Google data in bridge equation models for German GDP
Götz, Thomas B.; Knetsch, Thomas A. - 2017
There has been increased interest in the use of "big data" when it comes to forecasting macroeconomic time series such as private consumption or unemployment. However, applications on forecasting GDP are rather rare. In this paper we incorporate Google search data into a Bridge Equation Model, a...
Persistent link: https://www.econbiz.de/10011667109
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Economic analysis using higher frequency time series : challenges for seasonal adjustment
Ollech, Daniel - 2021
The COVID-19 pandemic has increased the need for timely and granular information to assess the state of the economy in real time. Weekly and daily indices have been constructed using higher frequency data to address this need. Yet the seasonal and calendar adjustment of the underlying time...
Persistent link: https://www.econbiz.de/10012792800
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Robust small area estimation under spatial non-stationarity
Baldermann, Claudia; Salvati, Nicola; Schmid, Timo - 2016
Geographically weighted small area methods have been studied in literature for small area estimation. Although these approaches are useful for the estimation of small area means efficiently under strict parametric assumptions, they can be very sensitive to outliers in the data. In this paper, we...
Persistent link: https://www.econbiz.de/10011455039
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On the relationship between cognitive ability and risk preference
Dohmen, Thomas; Falk, Armin; Huffman, David; Sunde, Uwe - 2018
This paper focuses on the relationship between cognitive ability and decision making under risk and uncertainty. We begin by clarifying some important distinctions between concepts and measurement of risk preference and cognitive ability and then take stock of what is known empirically on the...
Persistent link: https://www.econbiz.de/10011899243
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Sweet lemons : mitigating collusion in organizations
Pollrich, Martin; Negenborn, Colin von - 2018
This paper shows that the possibility of collusion between an agent and a supervisor imposes no restrictions on the set of implementable social choice functions (SCF) and associated payoff vectors. Any SCF and any payoff profile that are implementable if the supervisor's information was public...
Persistent link: https://www.econbiz.de/10011902729
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Estimates of the effect of wages on job satisfaction
Lydon, Reamonn (contributor); Chevalier, Arnaud (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001723463
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Identifying time variability in stock and interest rate dependence
Stein, Michael; Islami, Mevlud; Lindemann, Jens - 2012
The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with … which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying … correlation complement each other in identifying time-varying patterns found in the (co-)movement between the variables …
Persistent link: https://www.econbiz.de/10009625556
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Do correlated defaults matter for CDS premia? : an empirical analysis
Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10010405475
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Analyzing business and financial cycles using multi-level factor models
Breitung, Jörg; Eickmeier, Sandra - 2014
This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero restrictions on the associated matrix of factor loadings. We suggest a sequential least squares algorithm for minimizing the total sum of squared residuals and a two-step approach based...
Persistent link: https://www.econbiz.de/10010373684