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Comparing penalized splines and fractional polynomials for flexible modelling of the effects of continuous predictor variables
Strasak, Alexander; Umlauf, Nikolaus; Pfeiffer, Ruth; … - 2010
P(enalized)-splines and fractional polynomials (FPs) have emerged as powerful smoothing techniques with increasing … restricted maximum likelihood (REML) for smoothing parameter selection. We evaluated the ability of P-splines and FPs to recover … features of the approaches in a real dataset. -- generalized additive models ; GAMs ; simulation ; smoothing …
Persistent link: https://www.econbiz.de/10009736613
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When did the 2001 recession really start?
Polzehl, Jörg (contributor);  … - 2006
statistical methodology known as Adaptive Weights Smoothing (AWS). The methodology is used both for the study of the individual …. -- business cycle ; non-parametric smoothing ; non-stationarity …
Persistent link: https://www.econbiz.de/10003324447
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Penalized spline smoothing in financial and economic research
Wegener, Michael - 2012
Persistent link: https://www.econbiz.de/10009719940
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Specification Testing of Production in a Stochastic Frontier Model
Guo, Xu - 2017
based on local smoothing and an empirical process, respectively. Residual-based wild bootstrap versions of these two test …
Persistent link: https://www.econbiz.de/10012944869
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Specification testing of production in a stochastic frontier model
Guo, Xu; Li, Gao-Rong; McAleer, Michael; Wong, Wing Keung - 2017
based on local smoothing and an empirical process, respectively. Residual-based wild bootstrap versions of these two test …
Persistent link: https://www.econbiz.de/10011739112
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Forecasting Aggregate Demand : Analytical Comparison of Top-Down and Bottom-Up Approaches in a Multivariate Exponential Smoothing Framework
Sbrana, Giacomo - 2013
exponential smoothing as demand planning framework. We extend and generalize the results obtained by Widiarta, Viswanathan and …
Persistent link: https://www.econbiz.de/10013072596
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A Comparison of Three Models to Predict Liquidity Flows between Banks Based on Daily Payments Transactions
Triepels, Ron - 2016
The analysis of payment data has become an important task for operators and overseers of financial market infrastructures. Payment data provide an accurate description of how banks manage their liquidity over time. In this paper we compare three models to predict future liquidity flows from...
Persistent link: https://www.econbiz.de/10012983637
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Estimating Fiscal Multipliers : News from a Nonlinear World
Caggiano, Giovanni - 2014
We estimate nonlinear VARs to assess to what extent fiscal spending multipliers are countercyclical in the United States. We deal with the issue of non-fundamentalness due to fiscal foresight by appealing to sums of revisions of expectations of fiscal expenditures. This measure of anticipated...
Persistent link: https://www.econbiz.de/10013040022
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Filtering with Limited Information
Drautzburg, Thorsten; Fernández-Villaverde, Jesús; … - National Bureau of Economic Research - 2024
We propose a new tool to filter non-linear dynamic models that does not require the researcher to specify the model fully and can be implemented without solving the model. If two conditions are satisfied, we can use a flexible statistical model and a known measurement equation to back out the...
Persistent link: https://www.econbiz.de/10014635717
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Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2011
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...
Persistent link: https://www.econbiz.de/10010308578