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Pelenis, Justinas - 2012

consistency of the regression parameters and conditional error densities are provided. In experiments, the proposed method …

Persistent link: https://www.econbiz.de/10010290980

Bayesian regression with heteroscedastic error density and parametric mean function

Pelenis, Justinas - In: Journal of econometrics 178 (2014) 1, pp. 624-638

Persistent link: https://www.econbiz.de/10010257372

Pricing and Inference with Mixtures of Conditionally Normal Processes.

Bertholon, H.; Monfort, A.; Pegoraro, F. - Banque de France - 2007

We consider the problems of derivative pricing and inference when the stochastic discount factor has an exponential-affine form and the geometric return of the underlying asset has a dynamics characterized by a mixture of conditionally Normal processes. We consider both the static case in which...

Persistent link: https://www.econbiz.de/10004998849

Simultaneous control on lead time elements and ordering cost for an inflationary inventory-production model with mixture of normal distributions LTD under finite capacity

Tahami, Hesamoddin; Mirzazadeh, Abolfazl; … - In: RAIRO / Operations research 53 (2019) 4, pp. 1356-1384

Persistent link: https://www.econbiz.de/10012119015

Measuring activities of multinational enterprise groups via large cases units

Hussain, Mushtaq; Peltola, Rami; Mahajan, Sanjiv - In: Eurostat Review on National Accounts and Macroeconomic … (2019) 1, pp. 43-58

MNE groups stand at the centre of economic globalisation. They play a very important role cutting across most economies in the world. This paper presents the rationale, and the recommendation, as to why national statistical institutes (NSIs) should establish a team of experts (also named large...

Persistent link: https://www.econbiz.de/10015192766

Score-driven time-varying parameter models with splinebased densities

van Brummelen, Janneke; Gorgi, Paolo; Koopman, Siem Jan - 2025

We develop a score-driven time-varying parameter model where no particular parametric error distribution needs to be specified. The proposed method relies on a versatile spline-based density, which produces a score function that follows a natural cubic spline. This flexible approach nests the...

Persistent link: https://www.econbiz.de/10015209990

Permutation tests on returns to scale and common production frontiers in nonparametric models

Rønn-Nielsen, Anders; Kronborg, Dorte; Asmild, Mette - 2022

Permutation techniques, where one recompute the test statistic over permutations of data, have a long history in statistics and have become increasingly useful as the availability of computational power has increased. Until now, no permutation tests for examining returns to scale assumptions,...

Persistent link: https://www.econbiz.de/10013346916

Asymptotic properties of the weighted average least squares (WALS) estimator

De Luca, Giuseppe; Magnus, Jan; Peracchi, Franco - 2022

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

Overreaction through Anchoring

Bürgi, Constantin; Ortiz, Julio L. - 2022

We show that updates to macroeconomic expectations among professional forecasters exhibit an offsetting pattern where increases in current-quarter predictions lead to decreases in three quarter ahead predictions. We further document evidence of individual overreaction at the quarterly frequency...

Persistent link: https://www.econbiz.de/10014290103

Rationality is not consistency

Caliari, Daniele - 2023

We challenge the standard definition of economic rationality as consistency by making use of a novel distinction … between axioms of decision theory: consistency and preference axioms. We argue that this distinction has been overlooked by … the literature and, as a result, evidence that consistency is a proxy of decision-making ability is often based on …

Persistent link: https://www.econbiz.de/10014327659