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The paper derives analytical transitions probabilities following an exogenous shock to the deterministic component in the conditional logit model. The solution draws on the postestimation distribution of the model's stochastic component, identified on the basis of a direct utility maximization...
Persistent link: https://www.econbiz.de/10013319505
This paper applies a Qual VAR approach to generate a continuous banking crisis indicator from an underlying latent variable using a Markov Chain Monte Carlo algorithm. Four decades of banking crises are assessed by accounting for the evolutionary nature of precursors, as measured through...
Persistent link: https://www.econbiz.de/10014235526
Due to the recent financial crisis, the interest in econometric models that allow to incorporate binary variables (such …
Persistent link: https://www.econbiz.de/10009680970
percent correct forecasts. Top models contribute added value above 20 percentage points in most instances and deals with a …
Persistent link: https://www.econbiz.de/10013362692
with existing autocorrelation models. We design a new method, the Network Auto-Probit Model with Fixed Effects (NAFE), to …
Persistent link: https://www.econbiz.de/10014036461
Bayesian forecasting is a natural product of a Bayesian approach to inference. The Bayesian approach in general requires explicit formulation of a model, and conditioning on known quantities, in order to draw inferences about unknown ones. In Bayesian forecasting, one simply takes a subset of...
Persistent link: https://www.econbiz.de/10014023705
models and nonlinearity biases from empirical forecasts of US external trade. Previous studies have examined properties such …
Persistent link: https://www.econbiz.de/10014197201
We consider the problem of forecasting time series with long memory when the memory parameter is subject to a structural break. By means of a large-scale Monte Carlo study we show that ignoring such a change in persistence leads to substantially reduced forecasting precision. The strength of...
Persistent link: https://www.econbiz.de/10014200842
This appendix extends simulation and empirical results reported in Mancini and Trojani (2010). It discusses the choice … forecast evaluation; provides additional Monte Carlo simulation results on GARCH model estimation and VaR prediction; extends …
Persistent link: https://www.econbiz.de/10013138328
Persistent link: https://www.econbiz.de/10013090404