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Estimation of factor models by realization-based and approximation methods

Scherrer, W.; Heij, Heij, C. - Faculteit der Economische Wetenschappen, Erasmus … - 1998

In this paper we discuss two methods for the estimation of linear dynamic factor models. The first method is …

Persistent link: https://www.econbiz.de/10010731587

Identification of System Behaviours by Approximation of Time Series Data

Scherrer, W.; Heij, Heij, C. - Faculteit der Economische Wetenschappen, Erasmus … - 1997

The behavioural framework has several attractions to offer for the identification of multivariable systems. Some of the variables may be left unexplained without the need for a distinction between inputs and outputs; criteria for model quality are independent of the chosen parametrization; and...

Persistent link: https://www.econbiz.de/10010731808

Least-squares Bilinear Clustering of Three-way Data

Groenen, Patrick; Schoonees, Schoonees, P.C.; van de … - Faculteit der Economische Wetenschappen, Erasmus … - 2015

__Abstract__ A least-squares bilinear clustering framework for modelling three-way data, where each observation consists of an ordinary two-way matrix, is introduced. The method combines bilinear decompositions of the two-way matrices into overall means, row margins, column margins and...

Persistent link: https://www.econbiz.de/10011194246

Moment Restriction-based Econometric Methods: An Overview

McAleer, Michael; Kunitomo, Kunitomo, N.; Nishiyama, … - Faculteit der Economische Wetenschappen, Erasmus … - 2010

stationary processes, method of moments estimation and identifiability of semiparametric nonlinear errors-in-variables models … coefficients in a structural equation with many instruments, instrumental variable estimation in the presence of many moment … conditions, estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional …

Persistent link: https://www.econbiz.de/10010731794

The Joint Estimation of Term Structures and Credit Spreads

Houweling, Patrick; Kleibergen, Frank; Hoek, J. - Faculteit der Economische Wetenschappen, Erasmus … - 1999

We present a new framework for the joint estimation of the default-free government term structure and corporate credit …

Persistent link: https://www.econbiz.de/10010731814

Consistency of System Identification by Global Total Least Squares

Heij, Heij, C.; Scherrer, W. - Faculteit der Economische Wetenschappen, Erasmus … - 1996

Global total least squares (GTLS) is a method for the identification of linear systems where no distinction between input and output variables is required. This method has been developed within the deterministic behavioural approach to systems. In this paper we analyse statistical properties of...

Persistent link: https://www.econbiz.de/10010731906

A comparison of models for measurable deterioration: an application to coating on steel structures

Nicolai, R.P.; Dekker, Rommert; van Noortwijk, van … - Faculteit der Economische Wetenschappen, Erasmus … - 2006

Steel structures like bridges, tanks and pylons are exposed to outdoor weathering conditions. In order to prevent them from corrosion they are protected by organic coating systems. This paper focuses on modelling the deterioration of the organic coating layer that protects steel structures from...

Persistent link: https://www.econbiz.de/10010837839

The Impact of Jumps and Leverage in Forecasting Co-Volatility

Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2015

__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the jump-robust two time scale covariance estimator of Boudt and Zhang (2013) such that the estimated matrix is positive definite. Using this approach we can...

Persistent link: https://www.econbiz.de/10011274348