Showing 1 - 10 of 115
A flexible predictive density combination model is introduced for large financial data sets which allows for dynamic weight learning and model set incompleteness. Dimension reduction procedures allocate the large sets of predictive densities and combination weights to relatively small sets....
Persistent link: https://www.econbiz.de/10013356469
We investigate the asymptotic behavior of the WALS estimator, a model-averaging estimator with attractive finite-sample and computational properties. WALS is closely related to the normal location model, and hence much of the paper concerns the asymptotic behavior of the estimator of the unknown...
Persistent link: https://www.econbiz.de/10013356478
A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive densities and combination weights to relatively small subsets. Given the...
Persistent link: https://www.econbiz.de/10013356509
Using data for 134 locations in New Zealand, we study the effects of crime and agglomeration on urban amenity. We find that crime has significant negative effects on the value of urban amenity, with elasticities of approximately ?0.06 for firms and ?0.09 for workers. To put this effect in...
Persistent link: https://www.econbiz.de/10014321797
Detecting heterogeneity within a population is crucial in many economic and financial applications. Econometrically, this requires a credible determination of multimodality in a given data distribution. We propose a straightforward yet effective technique for mode inference in discrete data...
Persistent link: https://www.econbiz.de/10014321811
Multimodal empirical distributions arise in many fields like Astrophysics, Bioinformatics, Climatology and Economics due to the heterogeneity of the underlying populations. Mixture processes are a popular tool for accurate approximation of such distributions and implied mode detection. Using...
Persistent link: https://www.econbiz.de/10014321814
The relationship between excess returns and the dividend price ratio is known to be unstable. However, there is no consensus on the type of instability, i.e. few or many breaks. Differences in parameter instability affect the long-term investor in particular, as misspecification errors are...
Persistent link: https://www.econbiz.de/10014469516
We propose a new Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects alternative exclusion restrictions over time and, as a condition for the search, allows to verify identification through heteroskedasticity...
Persistent link: https://www.econbiz.de/10014469534
Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlomethod for Bayesian analysis of models with ill-behaved posteriordistributions. In order to sample efficiently from such a distribution,a location-scale transformation and a transformation to polarcoordinates are used. After...
Persistent link: https://www.econbiz.de/10010324702
The failure to describe the time series behaviour of most realexchange rates as temporary deviations from fixedlong-term means may be due to time variation of the equilibriathemselves, see Engel (2000). We implement thisidea using an unobserved components model and decompose theobservations on...
Persistent link: https://www.econbiz.de/10010324834