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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

Production Function Estimation without Invertibility : Imperfectly Competitive Environments and Demand Shocks

Doraszelski, Ulrich; Li, Lixiong - National Bureau of Economic Research - 2025

We advance the proxy variable approach to production function estimation. We show that the invertibility assumption at … rethinking how the estimation procedure is implemented either eliminates or mitigates the bias that arises if invertibility fails … rendering the asymptotic distribution of the GMM estimator in the second step of the estimation procedure invariant to …

Persistent link: https://www.econbiz.de/10015421890

Rethinking Performance Evaluation

Harvey, Campbell R. - 2016

estimation risk. At the individual fund level, our method pools information from the entire alpha distribution to make density …

Persistent link: https://www.econbiz.de/10012456541

Measuring the Sensitivity of Parameter Estimates to Estimation Moments

Andrews, Isaiah - 2014

We propose a local measure of the relationship between parameter estimates and the moments of the data they depend on. Our measure can be computed at negligible cost even for complex structural models. We argue that reporting this measure can increase the transparency of structural estimates,...

Persistent link: https://www.econbiz.de/10012457992

Gravity and Extended Gravity : Using Moment Inequalities to Estimate a Model of Export Entry

Morales, Eduardo - 2014

Exporting firms often enter foreign markets that are similar to previous export destinations. We develop a dynamic model in which a firm's exports in a market may depend on how similar the market is to the firm's home country (gravity) and to its previous export destinations (extended gravity)....

Persistent link: https://www.econbiz.de/10012458748

Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities

Cheng, Xu - 2014

In high-dimensional factor models, both the factor loadings and the number of factors may change over time. This paper proposes a shrinkage estimator that detects and disentangles these instabilities. The new method simultaneously and consistently estimates the number of pre- and post-break...

Persistent link: https://www.econbiz.de/10012458871