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A Fast Subsampling Method for Nonlinear Dynamic Models.

Hong, H.; Scaillet, O.; Tamer, E. - 2001

We highlight a fast subsampling method that can be used to provide valid inference in nonlinear dynamic econometric models. This method is based on the subsampling theory proposed by Politis and Romano (1992, 1994) which computes an estimator on subsamples of the data and uses these estimates to...

Persistent link: https://www.econbiz.de/10005641128

The dynamics of real exchange rates : a reconsideration

Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011

While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...

Persistent link: https://www.econbiz.de/10008908972

A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns

Köksal, Bülent - 2009

We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...

Persistent link: https://www.econbiz.de/10013159436

Simulation Based Bayesian Econometric Inference : Principles and Some Recent Computational Advances

Hoogerheide, Lennart F. - 2007

In this paper we discuss several aspects of simulation based Bayesian econometric inference. We start at an elementary … level on basic concepts of Bayesian analysis; evaluating integrals by simulation methods is a crucial ingredient in Bayesian … inference. Next, the most popular and well-known simulation techniques are discussed, the Metropolis-Hastings algorithm and …

Persistent link: https://www.econbiz.de/10012729891

Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures.

Kleibergen, F.; Van Dijk, H.K. - Econometrisch Instituut, Faculteit der Economische … - 1997

Diffuse priors lead to pathological posterior behaviour when used in Bayesian analyses of Simultaneous Equation Models (SEMs). This results from the local nonidentification of certain parameters in SEMs. When this, a priori known, feature is not captured appropriately, and a posteriori favour...

Persistent link: https://www.econbiz.de/10005775821

Detecting Nonlinearity by Modelling the Differenced Series.

Aprahamian, F.; Peguin-Feissolle, A. - Groupement de Recherche en Économie Quantitative … - 1995

Persistent link: https://www.econbiz.de/10005479048

Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions : Invariance and Finite-Sample Distributional Theory

Doko Tchatoka, Firmin - 2017

phenomenon typically disappears. We present simulation evidence which confirms the finite-sample theory. The theoretical results …

Persistent link: https://www.econbiz.de/10012966708

Generalized information matrix tests for detecting model misspecification

Golden, Richard M.; Henley, Steven S.; White, Halbert; … - In: Econometrics : open access journal 4 (2016) 4, pp. 1-24

Generalized Information Matrix Tests (GIMTs) have recently been used for detecting the presence of misspecification in regression models in both randomized controlled trials and observational studies. In this paper, a unified GIMT framework is developed for the purpose of identifying,...

Persistent link: https://www.econbiz.de/10011650480

Realized Volatility When Sampling Times are Possibly Endogenous

Li, Yingying - 2013

When estimating integrated volatilities based on high-frequency data, simplifying assumptions are usually imposed on the relationship between the observation times and the price process. In this paper, we establish a central limit theorem for the Realized Volatility in a general endogenous time...

Persistent link: https://www.econbiz.de/10013095254

In-Sample or Out-of-Sample Tests of Predictability : Which One Should We Use?

Inoue, Atsushi; Kilian, Lutz - 2021

It is widely known that significant in-sample evidence of predictability does not guarantee significant out-of-sample predictability. This is often interpreted as an indication that in-sample evidence is likely to be spurious and should be discounted. In this paper we question this conventional...

Persistent link: https://www.econbiz.de/10013320165

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