The credit risk assessment process is necessary for maintaining financial stability, cost and time efficiency, model performance accuracy, comparability analysis and future business implications in the commercial banking sector. By accurately predicting credit risk, highly regulated banks can...

How efficiently do scientific results make their way into the wider world? Applying multiple methods to the universe of hypothesis tests reported in three leading health journals between 2016 and 2022 we evidence the important role of statistical significance as a driver of popular attention to...

How efficiently do scientific results make their way into the wider world? Applying multiple methods to the universe of hypothesis tests reported in three leading health journals between 2016 and 2022 we evidence the important role of statistical significance as a driver of popular attention to...

The paper contains five parts - a theory about entrepreneurial choice under uncertainty, a formal econometric structure for a test, the test, an appraisal of the test, and a description of the data generating process. Here, an entrepreneur is an individual who manages a firm that produces one...

In this paper, in order to cope with the problem of endogenous regressors in cases that the linear regression model is non-identifiable, we suggest estimators handling the problem of multicollinearity to improve the performance of the Gaussian copula approach. This problem occurs when the...

We argue that frequentist hypothesis testing - the dominant statistical evaluation paradigm in empirical research - is fundamentally unsuited for analysis of the nonexperimental data prevalent in economics and other social sciences. Frequentist tests comprise incompatible repeated sampling...

This paper develops the theory of multi-step ahead forecasting for vector time series that exhibit temporal nonstationarity and co-integration. We treat the case of a semi-infinite past by developing the forecast filters and the forecast error filters explicitly. We also provide formulas for...

Sustainable investing is growing fast and investors are increasingly integrating environmental, social, and governance (ESG) criteria. However, ESG ratings are derived using heterogeneous methodologies and can be quite divergent across providers, which suggests the need for a formal statistical...

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...

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...