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Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019
introduce two novel methods for computationally efficient simulation: Conditional MitISEM, a Markov chain Monte Carlo method to … provide more information about the left tail of the distribution of the standardized innovations. Extensive simulation and …
Persistent link: https://www.econbiz.de/10012057160
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Penalized indirect inference
Blasques, Francisco; Duplinskiy, Artem - 2015
Parameter estimates of structural economic models are often difficult to interpret at the light of the underlying economic theory. Bayesian methods have become increasingly popular as a tool for conducting inference on structural models since priors offer a way to exert control over the...
Persistent link: https://www.econbiz.de/10010464781
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New neural network methods for forecasting regional employment : an analysis of German labour markets
Patuelli, Roberto; Reggiani, Aura; Nijkamp, Peter; … - 2006
In this paper, a set of neural network (NN) models is developed to compute short-term forecasts of regional employment patterns in Germany. NNs are modern statistical tools based on learning algorithms that are able to process large amounts of data. NNs are enjoying increasing interest in...
Persistent link: https://www.econbiz.de/10011348710
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New neural network methods for forecasting regional employment: an analysis of German labour markets
Patuelli, Roberto; Reggiani, Aura; Nijkamp, Peter; … - 2006
Persistent link: https://www.econbiz.de/10003290409
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On forecasting exchange rates using neural networks
Franses, Philip Hans; Homelen, Paul van - 1996
Persistent link: https://www.econbiz.de/10000945702
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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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Judging contending estimators by simulation : tournaments in dynamic panel data models
Kiviet, J. F. - 2005
Persistent link: https://www.econbiz.de/10003233535
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In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation driven models
Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - 2015
We study the performance of alternative methods for calculating in-sample confidence and out of-sample forecast bands for time-varying parameters. The in-sample bands reflect parameter uncertainty only. The out-of-sample bands reflect both parameter uncertainty and innovation uncertainty. The...
Persistent link: https://www.econbiz.de/10011295703
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Bayesian mode inference for discrete distributions in economics and finance
Cross, Jamie; Hoogerheide, Lennart; Labonne, Paul; … - 2023
Detecting heterogeneity within a population is crucial in many economic and financial applications. Econometrically, this requires a credible determination of multimodality in a given data distribution. We propose a straightforward yet effective technique for mode inference in discrete data...
Persistent link: https://www.econbiz.de/10014313693