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Estimation and Evaluation of DSGE Models : Progress and Challenges
Schorfheide, Frank - 2011
advances in the estimation and evaluation of DSGE models, discusses current challenges, and provides avenues for future …
Persistent link: https://www.econbiz.de/10013130259
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Bayesian Performance Evaluation
Baks, Klaas - 2008
This paper proposes a Bayesian method of performance evaluation for investment managers. We begin with a flexible set …
Persistent link: https://www.econbiz.de/10012774817
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A Conic Algorithm for the Group Minimization Problem
Simeone, Bruno - 2021
A new algorithm for the group minimization problem (GP) is proposed. The algorithm can be broadly described as follows …-known algorithm of Glover, and checked for non-negativity. The first non-negative point is an optimal solution of (GP). Advantages and … disadvantages of the algorithm are discussed; in particular, the implementation of the algorithm (which can be easily extended so as …
Persistent link: https://www.econbiz.de/10013224215
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An Economic Approach to Regulating Algorithms
Rambachan, Ashesh; Kleinberg, Jon; Mullainathan, Sendhil; … - 2022
algorithm herself, her equity preference has no effect on the training procedure. So long as the data, however biased, contain … signal, they will be used and the learning algorithm will be the same. Equity preferences alone provide no reason to alter …
Persistent link: https://www.econbiz.de/10013307510
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To Hold Out or Not to Hold Out
Schorfheide, Frank - 2013
A recent literature has developed that combines two prominent empirical approaches to ex ante policy evaluation …
Persistent link: https://www.econbiz.de/10013073955
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Bayesian Inference and Portfolio Efficiency
Kandel (deceased), Shmuel - 2008
A Bayesian approach is used to investigate a sample's information about a portfolio's degree of inefficiency. With standard diffuse priors, posterior distributions for measures of portfolio inefficiency can concentrate well away from values consistent with efficiency, even when the portfolio is...
Persistent link: https://www.econbiz.de/10012774475
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Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)
Del Negro, Marco - 2010
The paper discusses prior elicitation for the parameters of dynamic stochastic general equilibrium (DSGE) models, and provides a method for constructing prior distributions for a subset of these parameters from beliefs about the moments of the endogenous variables. The empirical application...
Persistent link: https://www.econbiz.de/10012759604
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Predictive Regressions
Stambaugh, Robert F. - 2010
When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's finite-sample properties, derived here, can depart substantially from the standard regression setting....
Persistent link: https://www.econbiz.de/10012763765
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Sign Restrictions in Bayesian Favars with an Application to Monetary Policy Shocks
Amir-Ahmadi, Pooyan - 2015
We propose a novel identification strategy of imposing sign restrictions directly on the impulse responses of a large set of variables in a Bayesian factor-augmented vector autoregression. We conceptualize and formalize conditions under which every additional sign restriction imposed can be...
Persistent link: https://www.econbiz.de/10013011456
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Is the Fda Too Conservative or Too Aggressive? : A Bayesian Decision Analysis of Clinical Trial Design
Montazerhodjat, Vahid - 2015
Implicit in the drug-approval process is a trade-off between Type I and Type II error. We explore the application of Bayesian decision analysis (BDA) to minimize the expected cost of drug approval, where relative costs are calibrated using U.S. Burden of Disease Study 2010 data. The results for...
Persistent link: https://www.econbiz.de/10013016659