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A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure
Blaskowitz, Oliver J.; Herwartz, Helmut - 2008
The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of...
Persistent link: https://www.econbiz.de/10010271837
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Level-Slope-Curvature - Fact or Artefact?
Lord, Roger; Pelsser, Antoon - 2005
conditions have the nice interpretation of restricting the level, slope and curvature of the correlation surface. It is proven … that the Schoenmakers-Coffey correlation matrix also brings along such factors. Finally, we formulate and corroborate our … conjecture that the order present in correlation matrices causes slope. …
Persistent link: https://www.econbiz.de/10010325482
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Yield curve modeling and forecasting using semiparametric factor dynamics
Härdle, Wolfgang Karl; Majer, Piotr - 2012
Using a Dynamic Semiparametric Factor Model (DSFM) we investigate the term structure of interest rates. The proposed methodology is applied to monthly interest rates for four southern European countries: Greece, Italy, Portugal and Spain from the introduction of the Euro to the recent European...
Persistent link: https://www.econbiz.de/10010318745
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Social capital and the labor market
2015
Persistent link: https://www.econbiz.de/10014306504
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Do survey indicators let us see the business cycle? A frequency decomposition
Dresse, Luc; Van Nieuwenhuyze, Christophe - 2008
This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …
Persistent link: https://www.econbiz.de/10011506652
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Generalized Measurement Invariance Tests with Application to Factor Analysis
Merkle, Edgar C.; Zeileis, Achim - 2011
The issue of measurement invariance commonly arises in factor-analytic contexts, with methods for assessment including likelihood ratio tests, Lagrange multiplier tests, and Wald tests. These tests all require advance definition of the number of groups, group membership, and offending model...
Persistent link: https://www.econbiz.de/10010294761
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A solution to the problem of too many instruments in dynamic panel data GMM
Mehrhoff, Jens - 2009
The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009, Oxford Bull. Econ. Statist.). The present paper goes one step further by providing a solution to this problem: factorisation of the standard instrument set is shown to be a valid...
Persistent link: https://www.econbiz.de/10010299478
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A solution to the problem of too many instruments in dynamic panel data GMM
Mehrhoff, Jens - 2009
The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009, Oxford Bull. Econ. Statist.). The present paper goes one step further by providing a solution to this problem: factorisation of the standard instrument set is shown to be a valid...
Persistent link: https://www.econbiz.de/10010300222
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Factor analysis in a New-Keynesian model
Beyer, Andreas; Farmer, Roger E. A.; Henry, Jérôme; … - 2005
New-Keynesian models are characterized by the presence of expectations as explanatory variables. To use these models for policy evaluation, the econometrician must estimate the parameters of expectation terms. Standard estimation methods have several drawbacks, including possible lack of...
Persistent link: https://www.econbiz.de/10011604556
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Visualizing exploratory factor analysis models
Klinke, Sigbert; Wagner, Cornelia - 2008
Exploratory factor analysis (EFA) is an important tool in data analyses, particularly in social science. Usually four steps are carried out which contain an large number of options. One important option is the number of factors and the association of variables with a factor. Our tools aim to...
Persistent link: https://www.econbiz.de/10010263716