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Mixed frequency models with MA components
Foroni, Claudia; Marcellino, Massimiliano; Stevanović, … - 2018
Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are aggregated, which generates a mixed frequency model. The MA component is generally neglected, likely to preserve the possibility...
Persistent link: https://www.econbiz.de/10011792277
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Estimation of linear and non-linear indicators using interval censored income data
Walter, Paul; Groß, Markus; Schmid, Timo; Tzavidis, Nikos - 2017
possible, when the dependent variable of the underlying nested error regression model, is censored to specific intervals. This … of the regression parameters of the nested error regression model using interval censored data. The introduced method is …
Persistent link: https://www.econbiz.de/10011703587
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Prediction of corporate credit ratings with machine learning : simple interpretative models
Galil, Koresh; Hauptman, Ami; Rosenboim, Rosit Levy - 2023
Persistent link: https://www.econbiz.de/10014634152
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Testing for consistency using artificial regressions
MacKinnon, James G.; Davidson, Russell - 1987
Persistent link: https://www.econbiz.de/10003522198
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Double-length artificial regressions
Davidson, Russell; MacKinnon, James G. - 1987
Persistent link: https://www.econbiz.de/10003522807
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Genetic algorithms : a tool for optimization in econometrics ; basic concept and an example for empirical applications
Czarnitzki, Dirk; Doherr, Thorsten - 2002
Persistent link: https://www.econbiz.de/10001683497
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Calibration alternatives to logistic regression and their potential for transferring the dispersion of discriminatory power into uncertainties of probabilities of default
Wosnitza, Jan Henrik - 2022
. The linear logistic regression has developed into a standard calibration approach in the banking sector. With the advent … approach is currently under scrutiny again. In particular, the assumptions behind the linear logistic regression provide … critics with a target. Previous literature has converted the calibration problem into a regression task without any loss of …
Persistent link: https://www.econbiz.de/10012876151
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Beta dispersion and market timing
Kuntz, Laura-Chloé - 2020
The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...
Persistent link: https://www.econbiz.de/10012264452
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Spatial multivariate regressions with panel data
Mendonça, Mário Jorge Cardoso de; Medrano, Luis … - 2016
We develop a new Bayesian estimator that is able to deal with multivariate panel data structure in the presence of spatial correlation. The analysis of panel data introduced here allows us to analyze not only the fixed effect but also the random effect model. This work extends the previous study...
Persistent link: https://www.econbiz.de/10012059270
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Space-varying regression models : specifications and simulation
Gamerman, Dani; Moreira, Ajax; Rue, Håvard - 2015
Space-varying regression models are generalizations of standard linear models where the regression coefficients are …
Persistent link: https://www.econbiz.de/10012007896