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How Uncertain are NAIRU Estimates in Colombia

Julio, Juan Manuel - Banco de la Republica de Colombia

of the NAIRU, the Non Accelerating Rate of Unemployment, provide confidence bands, and formally test the constancy … hypothesis on the NAIRU. We also study the robustness of this results to the specification of the Phillips Curve. We find more … reliable estimates of the NAIRU than previous estimates of the output gap, and find evidence in favor of a non constant NAIRU …

Persistent link: https://www.econbiz.de/10005274509

Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters

Rodríguez, Alejandro; Ruiz, Esther - Departamento de Estadistica, Universidad Carlos III de … - 2010

Prediction intervals in State Space models can be obtained by assuming Gaussian innovations and using the prediction equations of the Kalman filter, where the true parameters are substituted by consistent estimates. This approach has two limitations. First, it does not incorporate the...

Persistent link: https://www.econbiz.de/10008543184

More is not always better : back to the Kalman filter in dynamic factor models

Poncela, Pilar; Ruiz, Esther - Departamento de Estadistica, Universidad Carlos III de … - 2012

In the context of dynamic factor models (DFM), it is known that, if the cross-sectional and time dimensions tend to infinity, the Kalman filter yields consistent smoothed estimates of the underlying factors. When looking at asymptotic properties, the cross- sectional dimension needs to increase...

Persistent link: https://www.econbiz.de/10010585959

Bagging Weak Predictors

Lukas, Manuel; Hillebrand, Eric - School of Economics and Management, University of Aarhus - 2014

Relations between economic variables can often not be exploited for forecasting, suggesting that predictors are weak in the sense that estimation uncertainty is larger than bias from ignoring the relation. In this paper, we propose a novel bagging predictor designed for such weak predictor...

Persistent link: https://www.econbiz.de/10010851188

Berücksichtigung von Schätzunsicherheit bei der Kreditrisikobewertung: Vergleich des Value at Risk der Verlustverteilung des Kreditrisikos bei Verwendung von Bootstrapping und eine...

Dannenberg, Henry - Institut für Wirtschaftsforschung Halle (IWH) - 2009

For credit risk assessment, probability of default and correlation have to be estimated simultaneously. However, these estimates are uncertain. To assess this uncertainty the literature has discussed the use of asymptotic confidence regions. This kind of region though needs a long credit history...

Persistent link: https://www.econbiz.de/10005426802

The Importance of Estimation Uncertainty in a Multi-Rating Class Loan Portfolio

Dannenberg, Henry - Institut für Wirtschaftsforschung Halle (IWH) - 2011

This article seeks to make an assessment of estimation uncertainty in a multi-rating class loan portfolio. Relationships are established between estimation uncertainty and parameters such as probability of default, intra- and inter-rating class correlation, degree of inhomogeneity, number of...

Persistent link: https://www.econbiz.de/10009189890

Model Risk in Portfolio Optimization

Stefanovits, David; Schubiger, Urs; Wüthrich, Mario V. - In: Risks 2 (2014) 3, pp. 315-348

We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have observations drawn from a normal variance mixture...

Persistent link: https://www.econbiz.de/10011030550

Schätzunsicherheit oder Korrelation, Welche Risikokomponente sollten Unternehmen bei der Bewertung von Kreditportfoliorisiken wann berücksichtigen?

Dannenberg, Henry - Institut für Wirtschaftsforschung Halle (IWH) - 2007

The use of probability of default estimates to assess the risks of a credit portfolio should not ignore estimation uncertainty. The latter can be quantified by confidence intervals. But assumptions about dependencies of these intervals are inconsistent with assumptions of conventional credit...

Persistent link: https://www.econbiz.de/10005398677

A proxy-variable search procedure

Galimberti, Jaqueson K. - In: Economics Bulletin 29 (2009) 4, pp. 2531-2541

This paper proposes a proxy-variable search procedure, based on a sensitivity analysis framework, aiming to provide a useful tool for the applied researcher whenever he faces measurement or proxy-variable uncertainties. Extending from the sensitivity analysis literature it proposes two main...

Persistent link: https://www.econbiz.de/10008562982

Testing for the Systemically Important Financial Institutions: a Conditional Approach

Tokpavi, Sessi - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2013

We introduce in this paper a testing approach that allows checking whether two financial institutions are systemically equivalent, with systemic risk measured by CoVaR (Adrian and Brunnermeier, 2011). The test compares the difference in CoVaR forecasts for two financial institutions via a...

Persistent link: https://www.econbiz.de/10010896342

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