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Nonparametric identification using instrumental variables : sufficient conditions for completeness

Hu, Yingyao; Shiu, Ji-Liang - In: Econometric theory 34 (2018) 3, pp. 659-693

Persistent link: https://www.econbiz.de/10011951018

Latent variable nonparametric cointegrating regression

Wang, Qiying; Phillips, Peter C. B.; Kasparis, Ioannis - In: Econometric theory 37 (2021) 1, pp. 138-168

Persistent link: https://www.econbiz.de/10012437045

Latent Variable Nonparametric Cointegrating Regression

Wang, Qiying; Phillips, Peter C. B.; Kasparis, Ioannis - 2018

Phillips (2012) and Duffy (2014). The limit theory accommodates regressor variables with autoregressive roots that are local to …

Persistent link: https://www.econbiz.de/10014034116

Dynamic Misspecification in Nonparametric Cointegrating Regression

Kasparis, Ioannis; Phillips, Peter C. B. - 2009

property is shown not to apply for nonlinear cointegration. The requisite limit theory involves sample covariances of … parameter so as to accommodate kernel regression. The theory is an extension of Wang and Phillips (2008) and is useful for the … correct specification but the variance of the limit distribution is larger. Some applications of the limit theory to non …

Persistent link: https://www.econbiz.de/10014207414

Empirical validation of simulated models through the GSL-div : an illustrative application

Lamperti, Francesco - 2016

A major concern about the use of simulation models regards their relationship with the empirical data. The identification of a suitable indicator quantifying the distance between the model and the data would help and guide model selection and output validation. This paper proposes the use of a...

Persistent link: https://www.econbiz.de/10011457387

A practical, universal, information criterion over Nth order Markov processes

Barde, Sylvain - 2015

The recent increase in the breath of computational methodologies has been matched with a corresponding increase in the difficulty of comparing the relative explanatory power of models from different methodological lineages. In order to help address this problem a universal information criterion...

Persistent link: https://www.econbiz.de/10010486928

Selection criteria in regime switching conditional volatility models

Chuffart, Thomas - In: Econometrics : open access journal 3 (2015) 2, pp. 289-316

A large number of nonlinear conditional heteroskedastic models have been proposed in the literature. Model selection is crucial to any statistical data analysis. In this article, we investigate whether the most commonly used selection criteria lead to choice of the right specification in a...

Persistent link: https://www.econbiz.de/10011297653

Forecasting the returns of cryptocurrency : a model averaging approach

Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 13 (2020) 11/278, pp. 1-15

This paper aims to enrich the understanding and modelling strategies for cryptocurrency markets by investigating major cryptocurrencies´ returns determinants and forecast their returns. To handle model uncertainty when modelling cryptocurrencies, we conduct model selection for an autoregressive...

Persistent link: https://www.econbiz.de/10012388749

Adapting to misspecification

Armstrong, Timothy B.; Kline, Patrick; Sun, Liyang - 2024

Empirical research typically involves a robustness-efficiency tradeoff. A researcher seeking to estimate a scalar parameter can invoke strong assumptions to motivate a restricted estimator that is precise but may be heavily biased, or they can relax some of these assumptions to motivate a more...

Persistent link: https://www.econbiz.de/10015073234

A primer on Bayesian distributional regression

Kneib, Thomas; Umlauf, Nikolaus - 2017

Bayesian methods have become increasingly popular in the past two decades. With the constant rise of computational power even very complex models can be estimated on virtually any modern computer. Moreover, interest has shifted from conditional mean models to probabilistic distributional models...

Persistent link: https://www.econbiz.de/10011699413