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Real-Time Multivariate Density Forecast Evaluation and Calibration : Monitoring the Risk of High-Frequency Returns on Foreign Exchange

Diebold, Francis X. - 1998

We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions...

Persistent link: https://www.econbiz.de/10012471967

"Peso Problem" Explanations for Term Structure Anomalies

Bekaert, Geert - 1997

We examine the empirical evidence on the expectations hypothesis of the term structure of interest rates in the United States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector-autoregressive" methodology. We argue that anomalies in the U.S. term...

Persistent link: https://www.econbiz.de/10012472666

Testing

Bergbauer, Annika B. - 2018

School systems regularly use student assessments for accountability purposes. But, as highlighted by our conceptual model, different configurations of assessment usage generate performance-conducive incentives of different strengths for different stakeholders in different school environments. We...

Persistent link: https://www.econbiz.de/10012452885

Evaluating Density Forecasts of Inflation : The Survey of Professional Forecasters

Diebold, Francis X. - 1997

Since 1968, the Survey of Professional Forecasters has asked respondents to provide a" complete probability distribution of expected future inflation. We evaluate the adequacy of" those density forecasts using the framework of Diebold, Gunther and Tay (1997). The analysis" reveals several...

Persistent link: https://www.econbiz.de/10012472583

Putting Things in Order : Patterns of Trade Dynamics and Growth

Feenstra, Robert C. - 1997

We develop a procedure to rank-order countries and commodities using dis-aggregated American imports data. We find strong evidence that both countries and commodities can be ranked, consistent with the product cycle' hypothesis. Countries habitually begin to export goods to the United States...

Persistent link: https://www.econbiz.de/10012472846

Estimation of a Dynamic Auction Game

Jofre-Bonet, Mireia - 2001

This paper proposes an estimation method for a repeated auction game under the presence of capacity contraints. The … estimation strategy is computationally simple as it does not require solving for the equilibrium of the game. It uses a two stage … estimation method to repeated highway construction procurement auctions in the state of California between May 1996 and May 1999 …

Persistent link: https://www.econbiz.de/10012470090

A Review of Estimates of the Schooling/Earnings Relationship, with Tests for Publication Bias

Ashenfelter, Orley - 2000

measure how these estimates vary by country, over time, and by estimation method. We find evidence reporting (or file drawer …') bias in the estimates and, after due account is taken of this bias, we find that differences due to estimation method are …

Persistent link: https://www.econbiz.de/10012471319

Firm-Level Investment in France and the United States : An Exploration of What We Have Learned in Twenty Years

Mairesse, Jacques - 1999

changes in modelling strategy and econometric methodology, over the past twenty years, on estimation of firm-level investment … correction, traditional between- and within-firm estimation versus GMM estimation, the investment behavior of French firms versus … significant improvement in the specification, estimation and interpretation of firm investment equations; we also fin some real …

Persistent link: https://www.econbiz.de/10012471345

Conditioning Information and Variance Bounds on Pricing Kernels

Bekaert, Geert - 1999

We show how to use conditioning information optimally to construct a sharper unconditional Hansen-Jagannathan (1991) bound. The approach in this paper is different from that of Gallant, Hansen and Tauchen (1990), but both approaches yield the same bound when the conditional moments are known....

Persistent link: https://www.econbiz.de/10012471931

Regime Switches in Interest Rates

Ang, Andrew - 1998

Regime-switching models are well suited to capture the non-linearities in interest rates. This paper examines the econometric performance of regime-switching models for interest rate data from the US, Germany and the UK. There is strong evidence supporting the presence of regime switches but...

Persistent link: https://www.econbiz.de/10012472295

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