SUMMARY Applications of duration analysis in economics and finance exclusively employ methods for events of stochastic duration. In application to credit data, previous research incorrectly treats the time to predetermined maturity events as censored stochastic event times. The medical...

This paper studies the sensitivity of random effects estimators in the one-way error component regression model. Maddala and Mount (1973) [6] give simulation evidence that in random effects models the properties of the feasible GLS estimator are not affected by the choice of the first-step...

In this paper, we confront sensitivity analysis with diagnostic testing. Every model is misspecified (in the sense that no model coincides with the data-generating process), but a model is useful if the parameters of interest (the focus) are not sensitive to small perturbations in the underlying...

Sensitivity analysis is important for its own sake and also in combination with diagnostic testing. We consider the question how to use sensitivity statistics in practice, in particular how to judge whether sensitivity is large or small. For this purpose we distinguish between absolute and...

Applications of duration analysis in Economics and Finance exclusively employ methods for events of stochastic duration. In application to credit data, previous research incorrectly treats the time to pre-determined maturity events as censored stochastic event times. The medical literature has...

The problem of finding appropriate weights to combine several density forecasts is an important issue currently debated in the forecast combination literature. Recently, a paper by Hall and Mitchell (IJF, 2007) proposes to combine density forecasts with optimal weights obtained from solving an...