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Statistical model selection with "Big Data"
Doornik, Jurgen A.; Hendry, David F. - In: Cogent Economics & Finance 3 (2015) 1, pp. 1-15
Autometrics in that context. Paramount considerations include embedding relationships in general initial models, possibly … theory insights (the selection problem) while testing for relationships being well specified and invariant to shifts in …
Persistent link: https://www.econbiz.de/10011559165
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Building news measures from textual data and an application to volatility forecasting
Caporin, Massimiliano; Poli, Francesco - In: Econometrics 5 (2017) 3, pp. 1-46
We retrieve news stories and earnings announcements of the S&P 100 constituents from two professional news providers, along with ten macroeconomic indicators. We also gather data from Google Trends about these firms' assets as an index of retail investors' attention. Thus, we create an extensive...
Persistent link: https://www.econbiz.de/10011995242
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In-sample or out-of-sample tests of predictability: which one should we use?
Inoue, Atsushi; Kilian, Lutz - 2002
It is widely known that significant in-sample evidence of predictability does not garantuee significant out-of-sample predictability. This is often interpreted as an indiciation that in-sample evidence is likely to be spurious and should be discounted. In this paper we question this conventional...
Persistent link: https://www.econbiz.de/10011604241
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Improving the teaching of econometrics
Hendry, David F.; Mizon, Grayham E. - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-26
equation specifications, formulated to include all theory-based variables, their lags and possibly non-linear functional forms …, can be improved by nesting so-called "theory-driven" and "data-driven" approaches. In our methodology, the theory …-model's parameter estimates are unaffected by selection when the theory is complete and correct, so nothing is lost, whereas when the …
Persistent link: https://www.econbiz.de/10011559214
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Consistent preordering with an estimated criterion function, with an application to the evaluation and comparison of volatility models
Hansen, Peter Reinhard; Lunde, Asger - 2003
When alternatives are compared using an estimated criterion function, this may introduce a discrepancy between the true and the estimated criterion. In this paper, we consider a situation where a preordering (ranking) of stochastic sequences is defined from expected loss/gain, using a parametric...
Persistent link: https://www.econbiz.de/10010318932
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Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models
Conrad, Christian; Mammen, Enno - 2008
kernel smoothing of the conditional mean function. An asymptotic theory for the resulting kernel estimator is developed and …
Persistent link: https://www.econbiz.de/10011422182
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Two competitive models and their identification problem: The ESTAR and TSTAR model
Heinen, Florian; Michael, Stefanie; Sibbertsen, Philipp - 2011
Determining good parameter estimates in ESTAR models is known to be diffcult. We show that the phenomena of getting strongly biased estimators is a consequence of the so-called identifcation problem, the problem of properly distinguishing the transition function in relation to extreme parameter...
Persistent link: https://www.econbiz.de/10010289005
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Forecasting the risk of speculative assets by means of copula distributions
Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013
The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and expected shortfall forecasts that exploits the...
Persistent link: https://www.econbiz.de/10010292668
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A simple specification procedure for the transition function in persistent nonlinear time series models
Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - 2012
A simple procedure for the specification of the transition function describing the regime switch in nonlinear autoregressive models is proposed. This procedure is based on auxiliary regressions of unit root tests and is applicable to a variety of transition functions. In contrast to other...
Persistent link: https://www.econbiz.de/10010294434
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On the selection of forecasting models
Inoue, Atsushi; Kilian, Lutz - 2003
It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean square error (PMSE) in simulated ou-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information criteria (IC). We compare the asymptotic and...
Persistent link: https://www.econbiz.de/10011604260