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Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach
Koop, Gary; van Dijk, Herman K.; Hoek, Henk - 1997
In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to...
Persistent link: https://www.econbiz.de/10010324436
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Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach
Koop, Gary; van Dijk, Herman K. - 1999
In this paper, we make use of state space models toinvestigate the presence of stochastic trends in economic time series. Amodel is specified where such a trend can enter either in the autoregressiverepresentation or in a separate state equation. Tests based on the formerare analogous to...
Persistent link: https://www.econbiz.de/10010324712
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A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods
Ardia, David; Basturk, Nalan; Hoogerheide, Lennart; van … - 2010
Strategic choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical posterior distributions. A comparative analysis is presented of possible advantages and limitations of different simulation...
Persistent link: https://www.econbiz.de/10010325793
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To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods
Ardia, David; Hoogerheide, Lennart; van Dijk, Herman K. - 2009
This discussion paper led to a publication in 'Computational Statistics & Data Analysis' 56(11), pp. 3398-1414.Important choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical posterior...
Persistent link: https://www.econbiz.de/10010325939
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Divergent Priors and well Behaved Bayes Factors
Strachan, Rodney W.; van Dijk, Herman K. - 2011
Divergent priors are improper when defined on unbounded supports. Bartlett's paradox has been taken to imply that using improper priors results in ill-defined Bayes factors, preventing model comparison by posterior probabilities. However many improper priors have attractive properties that...
Persistent link: https://www.econbiz.de/10010326008
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What Do Experts Know About Forecasting Journal Quality? A Comparison with ISI Research Impact in Finance
Chang, Chia-Lin; McAleer, Michael - 2013
impact, journal policy, the number of high quality papers, and quantitative information about a journal. The robustness of …
Persistent link: https://www.econbiz.de/10010326447
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Robust Estimation and Forecasting of the Capital Asset Pricing Model
Bian, Guorui; McAleer, Michael; Wong, Wing-Keung - 2013
In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate that the MML estimator is more appropriate for...
Persistent link: https://www.econbiz.de/10010326459
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The Empirical Economic Growth Literature
Florax, Raymond J.G.M.; de Groot, Henri L.F.; Heijungs, … - 2002
robustness, conclusions vary from 'almost everycorrelation is fragile' to 'a substantial number of explanatory variables are … robustness using quasi-experiments. The analysis pertains to sign, size andsignificance of the effects, and we relax the quasi …
Persistent link: https://www.econbiz.de/10010324921
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Trust and Economic Growth
Beugelsdijk, Sjoerd; de Groot, Henri L.F.; van Schaik, … - 2002
. At the same time, there is discussion regarding the robustness of the results of empirical growth studies. In a seminal … paper, Knack and Keefer (1997) assess the effect of trust on growth. This paper analyses the robustness of their results … along several dimensions, acknowledging the complexity of therobustness concept. Our findings show that the robustness of …
Persistent link: https://www.econbiz.de/10010324984