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"The empirical economist's toolkit : from models to methods"

Panhans, Matthew T.; Singleton, John D. - 2015

wide application of these methods as a "credibility revolution" in econometrics that has finally provided persuasive … crisis in econometrics. …

Persistent link: https://www.econbiz.de/10011602961

Modelling reality : a short history of selected Philippine macroeconometric models

Reyes, Celia M.; Bayudan-Dacuycuy, Connie; Abrigo, … - 2018

This scoping paper aims to present a summary of the past and present macroeconometric models of the Philippine economy. This paper looks at the various approaches and methodology used in modelling the economy. The various approaches were compared and contrasted in order to find the best possible...

Persistent link: https://www.econbiz.de/10011994053

Time Series Econometrics : Learning Through Replication

Levendis, John D. - 2023 - 2nd ed. 2023.

-proof approach as much as possible, and emphasizes the practical application of econometrics. They show with examples how to … find the book useful. “How to best start learning time series econometrics? Learning by doing. This is the ethos of this …, no-nonsense, practical approach that students will love when they start learning time series econometrics. I recommend …

Persistent link: https://www.econbiz.de/10014443465

Modeling and valuation of energy structures : analylsis., econometrics, and numerics

Mahoney, Daniel - 2016

Persistent link: https://www.econbiz.de/10011399615

Real-time model uncertainty in the United States: the Fed from 1996-2003

Tetlow, Robert J.; Ironside, Brian - 2006

We study 30 vintages of FRB/US, the principal macro model used by the Federal Reserve Board staff for forecasting and policy analysis. To do this, we exploit archives of the model code, coefficients, baseline databases and stochastic shock sets stored after each FOMC meeting from the model’s...

Persistent link: https://www.econbiz.de/10011604656

Modelling and Forecasting the Yield Curve under Model uncertainty

Donati, Paola; Donati, Francesco - 2008

This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the...

Persistent link: https://www.econbiz.de/10011604963

In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008

Cai, Lili; Swanson, Norman R. - 2011

We review and construct consistent in-sample specification and out-of-sample model selection tests on conditional distributions and predictive densities associated with continuous multifactor (possibly with jumps) and (non)linear discrete models of the short term interest rate. The results of...

Persistent link: https://www.econbiz.de/10010282832

Comparison of Bayesian model selection criteria and conditional Kolmogorov test as applied to spot asset pricing models

Shen, Xiangjin; Tsurumi, Hiroki - 2011

We compare Bayesian and sample theory model specification criteria. For the Bayesian criteria we use the deviance information criterion and the cumulative density of the mean squared errors of forecast. For the sample theory criterion we use the conditional Kolmogorov test. We use Markov chain...

Persistent link: https://www.econbiz.de/10010282872

Assessing Misspecifications in Asset Pricing Models with Nonlinear Projections of Pricing Kernels

Almeida, Caio - 2011

We develop a new approach to identify model misspecifications based on Minimum Discrepancy (MD) projections that correct asset pricing models with the use of nonlinear functions of basis assets returns. These nonlinear corrections make our method more effective than the Hansen and Jagannathan...

Persistent link: https://www.econbiz.de/10013128539

Real-Time Model Uncertainty in the United States : The Fed from 1996 to 2003

Tetlow, Robert J. - 2006

Persistent link: https://www.econbiz.de/10012783775

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