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What Fuels Publication Bias? Theoretical and Empirical Analyses of Risk Factors Using the Caliper Test

Auspurg, Katrin; Hinz, Thomas - In: Journal of Economics and Statistics (Jahrbuecher fuer … 231 (2011) 5-6, pp. 636-660

Significance tests were originally developed to enable more objective evaluations of research results. Yet the strong orientation towards statistical significance encourages biased results, a phenomenon termed “publication bias”. Publication bias occurs whenever the likelihood or time-lag of...

Persistent link: https://www.econbiz.de/10009369643

Blinder-Oaxaca decomposition with recursive tree-based methods : a technical note

Takács, Olga; Vincze, János - 2019

further extension of the basic idea: we apply Random Forest (RF) regression to estimate the explained and unexplained parts …

Persistent link: https://www.econbiz.de/10012176055

Robust Detection of Multivariate Outliers in Asset Returns and Risk Factors Data

Green, Christopher G - 2017

covariance determinant (MCD) estimator to detect and to shrink multivariate outliers in financial data. We use MCD-based RSDs … covariance estimates for detecting multivariate outliers. In the process, we show that univariate trimming and Winsorization are …

Persistent link: https://www.econbiz.de/10012946531

Poor (Wo)Man's Bootstrap

Honoré, Bo E. - 2017

The bootstrap is a convenient tool for calculating standard errors of the parameters of complicated econometric models. Unfortunately, the fact that these models are complicated often makes the bootstrap extremely slow or even practically infeasible. This paper proposes an alternative to the...

Persistent link: https://www.econbiz.de/10012948676

Customer Loyalty Modeling under Logistic Function

Louangrath, Paul - 2017

employed linear equation to model customer loyalty. This paper feels the gap in the literature by showing how logistic function … power under linear regression modeling, the ANOVA R-squared was 0.65. Logistic modeling has more explanatory power than … linear regression. This study extends Kahneman-Tversky's prospect theory from risk analysis to customer loyalty study …

Persistent link: https://www.econbiz.de/10012950820

Some Implications of New Data Sources for Economic Analysis and Official Statistics

Ghirelli, Corinna - 2019

On the back of new technologies, new data sources are emerging. These are of very high frequency, with greater granularity than traditional sources, and can be accessed across the board, in many cases, by the different economic agents. Such developments open up new avenues and new opportunities...

Persistent link: https://www.econbiz.de/10012864286

Time Dependence of CAPM Betas on the Choice of Interval Frequency and Return Timeframes : Is There an Optimum?

Agrrawal, Pankaj; Gilbert, Faye; Harkins, J - 2022

The traditional CAPM beta is almost exclusively calculated over a return period that spans a window length of 60-months, at one-month return frequencies. It is one of the most utilized models in the asset management industry to assess systematic risk. Yet there is limited evidence to suggest...

Persistent link: https://www.econbiz.de/10014235953

Risk, Ambiguity, and Misspecification : Decision Theory, Robust Control, and Statistics

Hansen, Lars Peter; Sargent, Thomas J. - 2022

We connect variational preferences with the likelihood functions and prior probabilities over parameters that are building blocks of statistics and econometrics. We use relative entropy and other statistical divergences as cost functions in the variational preferences of someone who is ambiguous...

Persistent link: https://www.econbiz.de/10014238226

Poor (Wo)man's Bootstrap

Honoré, Bo E.; Hu, Luojia - 2017

The bootstrap is a convenient tool for calculating standard errors of the parameter estimates of complicated econometric models. Unfortunately, the fact that these models are complicated often makes the bootstrap extremely slow or even practically infeasible. This paper proposes an alternative...

Persistent link: https://www.econbiz.de/10014137255

Interaction Terms in Poisson and Log Linear Regression Models

Shang, Shengwu; Nesson, Erik; Fan, Maoyong - 2016

Binomial, and log linear models. We show why these interaction term coefficients cannot be interpreted as a DIS or … how interaction terms can be easily transformed into a DIS and derive the asymptotic distribution of this estimator. We …

Persistent link: https://www.econbiz.de/10014138521