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Testing the statistical significance of microsimulation results : often easier than you think ; a technical note
Goedemé, Tim; Van den Bosch, Karel; Salanauskaite, Lina; … - 2013
In the microsimulation literature, it is still uncommon to test the statistical significance of results. In this paper we argue that this situation is both undesirable and unnecessary. Provided the parameters used in the microsimulation are exogenous, as is often the case in static...
Persistent link: https://www.econbiz.de/10010201167
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Theil's BLUS Residuals and R Tools for Testing and Removing Autocorrelation and Heteroscedasticity
Vinod, Hrishikesh D. - 2014
Theil (1968) proposed a transformation of regression residuals so that they are best (minimizes the trace of its covariance matrix), linear, unbiased and subject to the constraint that its covariance matrix is scalar (BLUS) in the sense that it is proportional to the identity matrix. Despite...
Persistent link: https://www.econbiz.de/10013056676
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A computationally practical simulation estimation algorithm for dynamic panel data models with unobserved endogenous state variables
Keane, Michael P.; Sauer, Robert M. - 2009
This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …
Persistent link: https://www.econbiz.de/10010271244
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Finite sample correction factors for panel cointegration tests
Hlouskova, Jaroslava; Wagner, Martin - 2009
In this paper we present finite T mean and variance correction factors and corresponding response surface regressions for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and Breitung (2005). For the single equation tests we consider up...
Persistent link: https://www.econbiz.de/10010294038
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Efficient numerical pricing of American call options using symmetry arguments
Stentoft, Lars - In: Journal of risk and financial management : JRFM 12 (2019) 2/59, pp. 1-26
regression and simulation-based least-squares Monte Carlo method by using put-call symmetry. The results show that, for a large …
Persistent link: https://www.econbiz.de/10012022212
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Applications of fractional response model to the study of bounded dependent variables in accounting research
Gallani, Susanna; Krishnan, Ranjani; Wooldridge, Jeffrey M. - 2015
Survey research studies make extensive use of rating scales to measure constructs of interest. The bounded nature of such scales presents econometric estimation challenges. Linear estimation methods (e.g. OLS) often produce predicted values that lie outside the rating scales, and fail to account...
Persistent link: https://www.econbiz.de/10011536090
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Decomposing portfolio value-at-risk : a general analysis
Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999
the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …
Persistent link: https://www.econbiz.de/10011301159
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Calculating confidence intervals for continuous and discontinuous functions of parameters
Woutersen, Tiemen; Ham, John C. - 2013
Applied researchers often need to estimate confidence intervals for functions of parameters, such as the effects of counterfactual policy changes. If the function is continuously differentiable and has non-zero and bounded derivatives, then they can use the delta method. However, if the function...
Persistent link: https://www.econbiz.de/10009747952
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The performance of panel cointegration methods: Results from a large scale simulation study
Wagner, Martin; Hlouskova, Jaroslava - 2007
This paper presents results concerning the performance of both single equation and system panel cointegration tests and estimators. The study considers the tests developed in Pedroni (1999, 2004), Westerlund (2005), Larsson, Lyhagen, and Löthgren (2001) and Breitung (2005); and the estimators...
Persistent link: https://www.econbiz.de/10010293988
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Panel estimation of state dependent adjustment when the target is unobserved
von Kalckreuth, Ulf - 2008
Understanding adjustment processes has become central in economics. Empirical analysis is fraught with the problem that the target is usually unobserved. This paper develops, simulates and applies GMM methods for estimating dynamic adjustment models in a panel data context with partially...
Persistent link: https://www.econbiz.de/10010295881