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Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility, for instance in regressions of a child's income rank on their parent's income rank. In this paper, we first point out that commonly used variance estimators such as the homoskedastic or robust...
Persistent link: https://www.econbiz.de/10014480485
In this article we examine how model selection in neural networks can be guided by statistical procedures such as hypotheses tests, information criteria and cross validation. The application of these methods in neural network models is discussed, paying attention especially to the identification...
Persistent link: https://www.econbiz.de/10010299652
Neural networks (NN) and fuzzy logic systems (FLS) are used successfully for financial forecasting, credit rating and portfolio management. In search for more sophisticated modeling techniques a mixture of NN and FLS has proved to be worth consideration. We propose the novel constructive...
Persistent link: https://www.econbiz.de/10010301758
We explore convenient analytic properties of distributions constructed as mixtures of scaled and shifted t-distributions. A feature that makes this family particularly desirable for econometric applications is that it possesses closed-form expressions for its anti-derivatives (e.g., the...
Persistent link: https://www.econbiz.de/10010293996
This paper considers nonparametric identification and estimation of the regression function when a covariate is …
Persistent link: https://www.econbiz.de/10014581847
estimation and may thus find a variety of applications, two of which are illustrated briefly: Estimation of Value at Risk based …
Persistent link: https://www.econbiz.de/10010301753
In this paper we apply statistical inference techniques to build neural network models which are able to explain the prices of call options written on the German stock index DAX. By testing for the explanatory power of several input variables serving as network inputs, some insight into the...
Persistent link: https://www.econbiz.de/10010299651
function that allows fast optimization and function approximation with neuro-fuzzy networks. …
Persistent link: https://www.econbiz.de/10010301773
The literature on electoral cycles has developed in two distinct phases. The first one considered the existence of non-rational (naive) voters whereas the second one considered fully rational voters. In our perspective, an intermediate approach is more interesting, i.e. one that considers...
Persistent link: https://www.econbiz.de/10010295273
This paper contains a forecasting exercise on 30 time series, ranging on several fields, from economy to ecology. The statistical approach to artificial neural networks modelling developed by the author is compared to linear modelling and to other three well-known neural network modelling...
Persistent link: https://www.econbiz.de/10010281250