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to outliers. To address this issue, we propose a robust alternative that estimates the SUR parameters in a more outlier …
Persistent link: https://www.econbiz.de/10011996645
.” This article revisits an admittedly selected set of these “established facts” including how to deal with outliers …
Persistent link: https://www.econbiz.de/10012118357
Average treatment effects estimands can present significant bias under the presence of outliers. Moreover, outliers can … outliers. Bad and good leverage points outliers are considered. The bias arises because bad leverage points completely change … the propensity score. We provide some clues to diagnose the presence of outliers and propose a reweighting estimator that …
Persistent link: https://www.econbiz.de/10011817589
There are many situations in which insurance companies operating in the Asian region encounter foreign exchange risk. This paper considers a stochastic threshold approach to modelling foreign exchange risks in some Association of Southeast Asian Nations (ASEAN) markets. The class of...
Persistent link: https://www.econbiz.de/10014585488
Time series monitoring methods, such as the Brown and Trigg methods, have the purpose of detecting pattern breaks (or “signals”) in time series data reliably and in a timely fashion. Traditionally, researchers have used the average run length statistic (ARL) on results from generated signal...
Persistent link: https://www.econbiz.de/10009441237
access to European markets, and the presence of many outliers due to different reasons. These factors must be considered in …
Persistent link: https://www.econbiz.de/10009444101
. However, these sample statistics are notoriously susceptible to contamination by outliers, a problem compounded by the fact … that the outliers may be invisible to conventional diagnostics. High-breakdown estimation is a procedure designed to remove … this cause for concern by producing estimates that are immune to serious distortion by a minority of outliers, regardless …
Persistent link: https://www.econbiz.de/10009448000
outliers and influential observations. A variety of diagnostic methods are employed to identify these influential observations … methods utilised proved incapable of identifying or accommodating the gross outlier(s) in the data, the more successful …
Persistent link: https://www.econbiz.de/10010262358
. We propose to use Cook's Distance in order to identify influential outliers having substantial influence on first …
Persistent link: https://www.econbiz.de/10010269280
, parameter heterogeneity and outliers. The robust model averaging approach introduced in the paper uses a flexible and …
Persistent link: https://www.econbiz.de/10010274936