Multivariate distributional forecasts have become widespread in recent years. To assess the quality of such forecasts, suitable evaluation methods are needed. In the univariate case, calibration tests based on the probability integral transform (PIT) are routinely used. However, multivariate...

Estimation of the quantile model, especially with a large data set, can be computationally burdensome. This paper proposes using the Gaussian approximation, also known as quantile coupling, to estimate a quantile model. The intuition of quantile coupling is to divide the original observations...

In this study, we consider the test statistics that can be written as the sample average of data and derive their limiting distribution under the maximum likelihood (ML) and the quasi-maximum likelihood (QML) frameworks. We first generalize the asymptotic variance formula suggested in Pierce...

In this paper, we consider the visualization and statistical modeling of financial data (e.g., sales, assets) for many global firms which are listed and delisted. This study presents an exploratory data analysis carried out in the R programming language. The results show that a log-linear model...

We derive a new matrix statistic for the Hausman test for endogeneity in cross-sectional Instrumental Variables estimation, that incorporates heteroskedasticity in a natural way and does not use a generalized inverse. A Monte Carlo study examines the performance of the statistic for different...

The effectiveness of one aspect of the London School of Economics (LSE) approach to econometrics is assessed in a simulation study. The paper uses a data set and nine models analogous to those in Lovell's (1983) study of data mining. A simplified general-to-specific algorithm is tested in a...

This paper develops a multi-way analysis of variance for non-Gaussian multivariate distributions and provides a practical simulation algorithm to estimate the corresponding components of variance. It specifically addresses variance in Bayesian predictive distributions, showing that it may be...

This paper develops a multi-way analysis of variance for non-Gaussian multivariate distributions and provides a practical simulation algorithm to estimate the corresponding components of variance. It specifically addresses variance in Bayesian predictive distributions, showing that it may be...

The paper is concerned with loss reserving at the individual claim level (also referred to as micro-reserving or granular reserving) in the context of workers compensation, or similar income replacement insurance. The individual claim reserve is constructed on the basis of detailed information,...

We consider fixed-smoothing asymptotics for the Diebold and Mariano (1995) test of predictive accuracy. We show that this approach delivers predictive accuracy tests that are correctly sized even when only a small number of out of sample observations are available. We apply the fixed-smoothing...