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ratio in stock markets is so low that overfitting is inevitable. Simulation offers a means of assessing and compensating for … the dangers. It is not obvious at first how simulation can be helpful for backtesting and predicting markets but we show …
Persistent link: https://www.econbiz.de/10013055397
This paper discusses two alternative two-part models for fractional response variables that are defined as ratios of integers. The first two-part model assumes a Binomial distribution and known group size. It nests the one-part fractional response model proposed by Papke and Wooldridge (1996)...
Persistent link: https://www.econbiz.de/10010417183
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
components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …
Persistent link: https://www.econbiz.de/10009736650
Persistent link: https://www.econbiz.de/10003510803
Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most widely used Value …, our theoretical findings are confirmed in a Monte Carlo simulation study and an empirical application with three U …
Persistent link: https://www.econbiz.de/10013108779
Indirect inference testing can be carried out with a variety of auxiliary models. Asymptotically these different models make no difference. However, the small sample properties can differ. We explore small sample power and estimation bias both with different variable combinations and descriptive...
Persistent link: https://www.econbiz.de/10011886113
Indirect inference testing can be carried out with a variety of auxiliary models. Asymptotically these different models make no difference. However, in small samples power can differ. We explore small sample power with three different auxiliary models: a VAR, average Impulse Response Functions...
Persistent link: https://www.econbiz.de/10011471762
This note discusses some problems possibly arising when approximating via MonteCarlo simulations the distributions of goodness-of-fit test statistics based on the empirical distribution function. We argue that failing to reestimate unknown parameters on each simulated Monte-Carlo sample - and...
Persistent link: https://www.econbiz.de/10003746039
When considering multiple hypothesis tests simultaneously, standard statistical techniques will lead to over-rejection of null hypotheses unless the multiplicity of the testing framework is explicitly considered. In this paper we discuss the Romano-Wolf multiple hypothesis correction, and...
Persistent link: https://www.econbiz.de/10012147332