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Equilibrium Heterogeneous-Agent models as measurement tools : some Monte Carlo evidence

Cozzi, Marco - In: Journal of economic dynamics & control 39 (2014), pp. 208-226

Persistent link: https://www.econbiz.de/10010388749

Equilibrium heterogeneous-agent models as measurement tools : some Monte Carlo evidence

Cozzi, Marco - 2011

-agent macroeconomic models in the presence of sampling variability. The calibration procedure leads to the welfare analysis being … conducted with the wrong parameters. The ability of the calibrated model to correctly predict the welfare changes induced by a … model always predict the right sign of the welfare effects. Quantitatively, the maximum errors made in evaluating a policy …

Persistent link: https://www.econbiz.de/10009308307

A modified stochastic volatility model based on Gamma Ornstein-Uhlenbeck process and option pricing

Mi, Yanhui - In: International journal of financial engineering 3 (2016) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10011577132

Stochastic household forecasts by coherent random shares predictions

Keilman, Nico; Duin, Coen van - 2014 - This version 14 April 2014

We compute a stochastic household forecast for the Netherlands by the random share method. Time series of shares of persons in nine household positions, broken down by sex and five-year age group for the years 1996-2010 are modelled by means of the Hyndman-Booth-Yasmeen product-ratio variant of...

Persistent link: https://www.econbiz.de/10010354141

Information criteria for nonlinear time series models

Rinke, Saskia; Sibbertsen, Philipp - 2015

In this paper the performance of different information criteria for simultaneous model class and lag order selection is evaluated using simulation studies. We focus on the ability of the criteria to distinguish linear and nonlinear models. In the simulation studies, we consider three different...

Persistent link: https://www.econbiz.de/10010503893

A Monte Carlo analysis of alternative meta-analysis estimators in the presence of publication bias

Reed, W. Robert; Florax, Raymond J. G. M.; Poot, Jacques - 2015

This study uses Monte Carlo analysis to investigate the performances of five different meta-analysis (MA) estimators: the Fixed Effects (FE) estimator, the Weighted Least Squares (WLS) estimator, the Random Effects (RE) estimator, the Precision Effect Test (PET) estimator, and the Precision...

Persistent link: https://www.econbiz.de/10010478499

Estimating gravity models of international trade with correlated time-fixed regressors : to IV or not IV?

Mitze, Timo - 2010 - This version: August 2010

Gravity type models are widely used in international economics. In these models the inclusion of time-fi0xed regressors like geographical or cultural distance, language and institutional (dummy) variables is often of vital importance e.g. to analyse the impact of trade costs on...

Persistent link: https://www.econbiz.de/10011524111

The influence of additive outliers on the performance of information criteria to detect nonlinearity

Rinke, Saskia - 2016

In this paper the performance of information criteria and a test against SETAR nonlinearity for outlier contaminated time series are investigated. Additive outliers can seriously influence the properties of the underlying time series and hence of linearity tests, resulting in spurious test...

Persistent link: https://www.econbiz.de/10011488709

Asymptotic distribution and finite sample bias correction of QML estimators for spatial error dependence model

Liu, Shew Fan; Yang, Zhenlin - In: Econometrics : open access journal 3 (2015) 2, pp. 376-411

In studying the asymptotic and finite sample properties of quasi-maximum likelihood (QML) estimators for the spatial linear regression models, much attention has been paid to the spatial lag dependence (SLD) model; little has been given to its companion, the spatial error dependence (SED) model....

Persistent link: https://www.econbiz.de/10011297624

Changes in persistence in outlier contaminated time series

Hirsch, Tristan; Rinke, Saskia - 2017

Outlying observations in time series influence parameter estimation and testing procedures, leading to biased estimates and spurious test decisions. Further inference based on these results will be misleading. In this paper the effects of outliers on the performance of ratio-based tests for a...

Persistent link: https://www.econbiz.de/10011581507