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Finite sample optimality of score-driven volatility models
Blasques, Francisco; Lucas, André; Vlodrop, Andries van - 2017
We study optimality properties in finite samples for time-varying volatility models driven by the score of the … predictive likelihood function. Available optimality results for this class of models suffer from two drawbacks. First, they are … only asymptotically valid when evaluated at the pseudo-true parameter. Second, they only provide an optimality result `on …
Persistent link: https://www.econbiz.de/10011772958
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Finite Sample Optimality of Score-Driven Volatility Models
Blasques, Francisco - 2017
We study optimality properties in finite samples for time-varying volatility models driven by the score of the … predictive likelihood function. Available optimality results for this class of models suffer from two drawbacks. First, they are … only asymptotically valid when evaluated at the pseudo-true parameter. Second, they only provide an optimality result 'on …
Persistent link: https://www.econbiz.de/10012942866
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Reconciling International Trade Data
Shaar, Karam - 2019
International trade data are filled with discrepancies–where two countries report different values of trade with each other. I develop a novel trade data quality index for reconciling the discrepancies in bilateral trade data. I calculate the quality for each country’s imports and exports...
Persistent link: https://www.econbiz.de/10012140434
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Hidden in Plain Sight: Influential Sets in Linear Models
Kuschnig, Nikolas; Zens, Gregor; Crespo Cuaresma, Jesús - 2021
Assessing the robustness of the results of econometric analysis is a long standing subject of lively research. The majority of the literature focuses on sensitivity to model specification, while the quantification of sensitivity to sets of influential observations has received relatively...
Persistent link: https://www.econbiz.de/10012582044
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Hidden in Plain Sight : Influential Sets in Linear Models
Kuschnig, Nikolas; Zens, Gregor; Cuaresma, Jesús Crespo - 2021
Assessing the robustness of the results of econometric analysis is a long standing subject of lively research. The majority of the literature focuses on sensitivity to model specification, while the quantification of sensitivity to sets of influential observations has received relatively little...
Persistent link: https://www.econbiz.de/10013235110
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Hidden in plain sight : influential sets in linear models
Kuschnig, Nikolas; Zens, Gregor; Crespo Cuaresma, Jesús - 2021
Assessing the robustness of the results of econometric analysis is a long standing subject of lively research. The majority of the literature focuses on sensitivity to model specification, while the quantification of sensitivity to sets of influential observations has received relatively...
Persistent link: https://www.econbiz.de/10012494906
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Usefulness of Correlation Analysis
Senthilnathan, Samithamby - 2019
The measure of correlation coefficient (r or R) provides information on closeness of two variables. Irrespective of non-linear correlation, this paper mainly considers the linear correlation analysis, as it is most likely applied in social science studies. Explicitly, the purpose of carrying out...
Persistent link: https://www.econbiz.de/10014105367
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Business Development, Marketing Automation and Predictive Analysis : An Integration Perspective - An Overview Towards New Opportunities for Studying Consumer Behavior and Business...
Sestino, Andrea - 2020
The exponential increase in data today derives from the big amount of interactions among consumers that spreads in social media, using mobile devices, IT, localization, historical data in purchase, data owned by companies, behavioral insights and so on through connected online devices and mobile...
Persistent link: https://www.econbiz.de/10014033098
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Why Transform Y? A Critical Assessment of Dependent-Variable Transformations in Regression Models for Skewed and Sometimes-Zero Outcomes
Mullahy, John; Norton, Edward C. - National Bureau of Economic Research - 2022
Dependent variables that are non-negative, follow right-skewed distributions, and have large probability mass at zero arise often in empirical economics. Two classes of models that transform the dependent variable y -- the natural logarithm of y plus a constant and the inverse hyperbolic sine --...
Persistent link: https://www.econbiz.de/10013477227
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Operationalising ‘safe statistics’: the case of linear regression
Ritchie, Felix - Department of Accounting, Economics and Finance, … - 2014
The recent growth in research access to confidential government microdata has prompted the development of more general 'output-based statistical disclosure control' (OSDC) methods which go beyond tabular protection. Central to OSDC is the concept of 'safe/unsafe statistics', allowing researchers...
Persistent link: https://www.econbiz.de/10011122447