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Heteroskedasticity in one-way error component probit models

Moussa, Richard Kouamé - In: Econometrics 7 (2019) 3, pp. 1-22

This paper introduces an estimation procedure for a random effects probit model in presence of heteroskedasticity and a … likelihood ratio test for homoskedasticity. The cases where the heteroskedasticity is due to individual effects or idiosyncratic … heteroskedasticity. Furthermore, the power of the test increases with larger individual and time dimensions. The robustness analysis …

Persistent link: https://www.econbiz.de/10012696250

Genetic algorithms: a tool for optimization in econometrics - basic concept and an example for empirical applications

Doherr, Thorsten; Czarnitzki, Dirk - 2002

This paper discusses a tool for optimization of econometric models based on genetic algorithms. First, we briefly describe the concept of this optimization technique. Then, we explain the design of a specifically developed algorithm and apply it to a difficult econometric problem, the...

Persistent link: https://www.econbiz.de/10010297960

Firm Characteristics, Economic Conditions and Capital Structure Adjustment

Drobetz, Wolfgang; Pensa, Pascal; Wanzenried, Gabrielle - 2007

We use a dynamic framework and panel methodology to investigate the determinants of a firms' time-varying capital …

Persistent link: https://www.econbiz.de/10011390623

Stochastic optimization system for bank reverse stress testing

Montesi, Giuseppe; Papiro, Giovanni; Fazzini, Massimiliano - In: Journal of Risk and Financial Management 13 (2020) 8, pp. 1-43

The recent evolution of prudential regulation establishes a new requirement for banks and supervisors to perform reverse stress test exercises in their risk assessment processes, aimed at detecting default or near-default scenarios. We propose a reverse stress test methodology based on a...

Persistent link: https://www.econbiz.de/10012611398

Resource allocation procedures for unknown sales response functions with additive disturbances

Gahler, Daniel; Hruschka, Harald - In: Journal of Business Economics 92 (2021) 6, pp. 997-1034

We develop a modified exploration–exploitation algorithm which allocates a fixed resource (e.g., a fixed budget) to several units with the objective to attain maximum sales. This algorithm does not require knowledge of the form and the parameters of sales response functions and is able to cope...

Persistent link: https://www.econbiz.de/10014501880

Rational expectations models with anticipated shocks and optimal policy: a general solution method and a New Keynesian example

Wohltmann, Hans-Werner; Winkler, Roland C. - 2009

The purpose of this paper is to show how to solve linear dynamic rational expectations models with anticipated shocks by using the generalized Schur decomposition method. Furthermore, we determine the optimal unrestricted and restricted policy responses to anticipated shocks. We demonstrate our...

Persistent link: https://www.econbiz.de/10010277244

Existence and uniqueness of perturbation solutions to DSGE models

Lan, Hong; Meyer-Gohde, Alexander - 2012

We prove that standard regularity and saddle stability assumptions for linear approximations are sufficient to guarantee the existence of a unique solution for all undetermined coefficients of nonlinear perturbations of arbitrary order to discrete time DSGE models. We derive the perturbation...

Persistent link: https://www.econbiz.de/10010281586

Solving DSGE models with a nonlinear moving average

Lan, Hong; Meyer-Gohde, Alexander - 2011

We introduce a nonlinear infinite moving average as an alternative to the standard state-space policy function for solving nonlinear DSGE models. Perturbation of the nonlinear moving average policy function provides a direct mapping from a history of innovations to endogenous variables,...

Persistent link: https://www.econbiz.de/10010286434

Lasso-type and heuristic strategies in model selection and forecasting

Savin, Ivan; Winker, Peter - 2012

Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...

Persistent link: https://www.econbiz.de/10010291802

Multi-dimensional transitional dynamics: a simple numberical procedure

Trimborn, Timo; Koch, Karl-Josef; Steger, Thomas M. - 2006

We propose the relaxation algorithm as a simple and powerful method for simulating the transition process in growth models. This method has a number of important advantages: (1) It can easily deal with a wide range of dynamic systems including stiff differential equations and systems giving rise...

Persistent link: https://www.econbiz.de/10010263935