In econometrics, as a rule, the same data set is used to select the model and, conditional on the selected model, to forecast.However, one typically reports the properties of the (conditional) forecast, ignoring the fact that its properties are affected by the model selection (pretesting).This...

The binary-choice regression models such as probit and logit are used to describe the effect of explanatory variables on a binary response vari- able. Typically estimated by the maximum likelihood method, estimates are very sensitive to deviations from a model, such as heteroscedastic- ity and...

High breakdown-point regression estimators protect against large errors and data con- tamination. Motivated by some { the least trimmed squares and maximum trimmed like- lihood estimators { we propose a general trimmed estimator, which unifies and extends many existing robust procedures. We...

This paper introduces a new class of robust regression estimators. The proposed twostep least weighted squares (2S-LWS) estimator employs data-adaptive weights determined from the empirical distribution, quantile, or density functions of regression residuals obtained from an initial robust fit....

We take a fresh look at Theil's BLUS residuals and ask why they have gone out of fashion.All our simulation experiments indicate that tests based on BLUS residuals have higher power than those based on the more popular recursive residuals, even in those cases (structural breaks) where intuition...

We test the inertial properties of South African inflation in a Markov-Switching autoregressive fractionally integrated moving average model. This allows us to test for long memory and study the persistence of inflation in multiple regimes. We show that inflation is more volatile and persistent...

Die Öffentlichkeit hat ein Interesse zu wissen, ob politische Maßnahmen die mit ihnen verfolgten Ziele wirksam und wirtschaftlich erreichen. In empirischen Studien, die als Grundlage für evidenzbasierte Wirtschaftspolitik dienen können, werden häufig komplexe Methoden verwendet, um...

This work discusses potential pitfalls of applying linear regression models for explaining the relationship between spot and futures prices in electricity markets, in particular, the bias coming from the simultaneity problem, the effect of correlated measurement errors and the impact of...

The paper investigates how entrepreneurial activity depends on economic development, measured by GDP per capita. The empirical analysis is based on GEM yearly data on 65 countries for the period from 2001 to 2011. We use nonparametric approach to show that variation in entrepreneurial activity...