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The impact of effect size heterogeneity on meta-analysis : a Monte Carlo experiment
Koetse, Mark J.; Florax, Raymond J. G. M.; Groot, Henri … - 2007
Persistent link: https://www.econbiz.de/10003644178
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...
Persistent link: https://www.econbiz.de/10011373822
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Possibly ill-behaved posteriors in econometric models
Hoogerheide, Lennart; Dijk, Herman K. van - 2008
sophisticated neural network simulation techniques is explored. In all examples considered in this paper – a bimodal distribution of …
Persistent link: https://www.econbiz.de/10011374406
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Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999
Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlomethod for Bayesian analysis of models with ill-behaved posteriordistributions. In order to sample efficiently from such a distribution,a location-scale transformation and a transformation to polarcoordinates are used. After...
Persistent link: https://www.econbiz.de/10011302625
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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
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On importance sampling for state space models
Jungbacker, Borus; Koopman, Siem Jan - 2005
and smoother and the simulation smoother which do not rely on a linear Gaussian observation equation. Furthermore, results …
Persistent link: https://www.econbiz.de/10011348357
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Judging contending estimators by simulation : tournaments in dynamic panel data models
Kiviet, J. F. - 2005
their performance in simulation experiments. This leads to a list of eight methodologic aspirations. Against their … background we criticize aspects of many simulation studies that have been used in the past to compare competing estimators for … simulation design inspired by an analysis of the (non-)invariance properties of estimators and occasionally by available higher …
Persistent link: https://www.econbiz.de/10011348362
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Time series models with a common stochastic variance for analysing economic time series
Koopman, Siem Jan; Bos, Charles S. - 2002
The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...
Persistent link: https://www.econbiz.de/10011327834
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Detecting sudden changes in volatility estimated from high, low and closing prices
Kumar, Dilip; Maheswaran, S. - In: Economic modelling 31 (2013), pp. 484-491
Persistent link: https://www.econbiz.de/10009730777