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A joint specification test for response probabilities in unordered multinomial choice models

Iwasawa, Masamune - In: Econometrics : open access journal 3 (2015) 3, pp. 667-697

Estimation results obtained by parametric models may be seriously misleading when the model is misspecified or poorly approximates the true model. This study proposes a test that jointly tests the specifications of multiple response probabilities in unordered multinomial choice models. The test...

Persistent link: https://www.econbiz.de/10011410669

Parametric and nonparametric frequentist model selection and model averaging

Ullah, Aman; Wang, Huansha - In: Econometrics : open access journal 1 (2013) 2, pp. 157-179

This paper presents recent developments in model selection and model averaging for parametric and nonparametric models. While there is extensive literature on model selection under parametric settings, we present recently developed results in the context of nonparametric models. In applications,...

Persistent link: https://www.econbiz.de/10010237107

Forecast combination under heavy-tailed errors

Cheng, Gang; Wang, Sicong; Yang, Yuhong - In: Econometrics : open access journal 3 (2015) 4, pp. 797-824

Forecast combination has been proven to be a very important technique to obtain accurate predictions for various applications in economics, finance, marketing and many other areas. In many applications, forecast errors exhibit heavy-tailed behaviors for various reasons. Unfortunately, to our...

Persistent link: https://www.econbiz.de/10011411497

Generalized information matrix tests for detecting model misspecification

Golden, Richard M.; Henley, Steven S.; White, Halbert; … - In: Econometrics : open access journal 4 (2016) 4, pp. 1-24

Generalized Information Matrix Tests (GIMTs) have recently been used for detecting the presence of misspecification in … developed for the purpose of identifying, classifying, and deriving novel model misspecification tests for finite …

Persistent link: https://www.econbiz.de/10011650480

Consequences of model misspecification for maximum likelihood estimation with missing data

Golden, Richard M.; Henley, Steven S.; White, Halbert; … - In: Econometrics : open access journal 7 (2019) 3/37, pp. 1-27

misspecification in the presence of incomplete data where maximum likelihood estimates are obtained by maximizing the observable … simultaneous presence of both missing data and model misspecification. These results are then used to derive robust hypothesis …) missing data. Second, we introduce a method for the detection of model misspecification in missing data problems using …

Persistent link: https://www.econbiz.de/10012160862

Building a structural model : parameterization and structurality

Mouchart, Michel; Orsi, Renzo - In: Econometrics : open access journal 4 (2016) 2, pp. 1-16

A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when...

Persistent link: https://www.econbiz.de/10011506231

Removing specification errors from the usual formulation of binary choice models

Swamy, Paravastu A. V. B.; Chang, I-Lok; Mehta, Jatinder S. - In: Econometrics : open access journal 4 (2016) 2, pp. 1-21

We develop a procedure for removing four major specification errors from the usual formulation of binary choice models. The model that results from this procedure is different from the conventional probit and logit models. This difference arises as a direct consequence of our relaxation of the...

Persistent link: https://www.econbiz.de/10011506387

Measurement errors arising when using distances in microeconometric modelling and the individuals' position is geo-masked for confidentiality

Arbia, Giuseppa; Espa, Giuseppe; Giuliani, Diego - In: Econometrics : open access journal 3 (2015) 4, pp. 709-718

In many microeconometric models we use distances. For instance, in modelling the individual behavior in labor economics or in health studies, the distance from a relevant point of interest (such as a hospital or a workplace) is often used as a predictor in a regression framework. However, in...

Persistent link: https://www.econbiz.de/10011411576

Generalized empirical likelihood-based focused information criterion and model averaging

Sueishi, Naoya - In: Econometrics : open access journal 1 (2013) 2, pp. 141-156

This paper develops model selection and averaging methods for moment restriction models. We first propose a focused information criterion based on the generalized empirical likelihood estimator. We address the issue of selecting an optimal model, rather than a correct model, for estimating a...

Persistent link: https://www.econbiz.de/10009776348

Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models

Kiviet, J. F.; Pleus, Milan; Poldermans, Rutger - In: Econometrics : open access journal 5 (2017) 1, pp. 1-54

Studies employing Arellano-Bond and Blundell-Bond generalized method of moments (GMM) estimation for linear dynamic panel data models are growing exponentially in number. However, for researchers it is hard to make a reasoned choice between many different possible implementations of these...

Persistent link: https://www.econbiz.de/10011654182

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