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Model error (or ambiguity) and its estimation, with particular application to loss reserving
Taylor, Greg; Mc Guire, Gráinne - In: Risks : open access journal 11 (2023) 11, pp. 1-28
This paper is concerned with the estimation of forecast error, particularly in relation to insurance loss reserving. Forecast error is generally regarded as consisting of three components, namely parameter, process and model errors. The first two of these components, and their estimation, are...
Persistent link: https://www.econbiz.de/10014435599
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A Bayesian Small Area Model with Dirichlet Processes on the Responses
Yin, Jiani; Nandram, Balgobin - In: Statistics in Transition New Series 21 (2020) 3, pp. 1-19
Typically survey data have responses with gaps, outliers and ties, and the distributions of the responses might be skewed. Usually, in small area estimation, predictive inference is done using a two-stage Bayesian model with normality at both levels (responses and area means).This is the...
Persistent link: https://www.econbiz.de/10012600255
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Horizon confidence sets
Fosten, Jack; Gutknecht, Daniel - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 667-692
Persistent link: https://www.econbiz.de/10012616872
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Bayesian model averaging and exchange rate forecasts
Wright, Jonathan H. - In: Journal of econometrics 146 (2008) 2, pp. 329-341
Persistent link: https://www.econbiz.de/10003782994
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Bayesian model averaging and exchange rate forecasts
Wright, Jonathan H. - 2003
Persistent link: https://www.econbiz.de/10001798630
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Bayesian Model Averaging and Exchange Rate Forecasts
Wright, Jonathan H. - 2003
Exchange rate forecasting is hard and the seminal result of Meese and Rogoff (1983) that the exchange rate is well approximated by a driftless random walk, at least for prediction purposes, has never really been overturned despite much effort at constructing other forecasting models. However, in...
Persistent link: https://www.econbiz.de/10014075009
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A fast algorithm for finding the confidence set of large collections of models
Barde, Sylvain - 2015
The paper proposes a new algorithm for finding the confidence set of a collection of forecasts or prediction models. Existing numerical implementations for finding the confidence set use an elimination approach where one starts with the full collection of models and successively eliminates the...
Persistent link: https://www.econbiz.de/10011342917
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Bootstrap Procedures for Recursive Estimation Schemes with Applications to Forecast Model Selection
Corradi, Valentina; Swanson, Norman R. - 2004
function. Our objectives in this paper are twofold. First, we introduce block bootstrap techniques that are (first order) valid … operational using our new bootstrap procedures. One of the applications outlines a consistent test for out-of-sample nonlinear … both of these examples, it is shown that appropriate re-centering of the bootstrap score is required in order to ensure …
Persistent link: https://www.econbiz.de/10014069617
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Least squares model averaging by prediction criterion
Xie, Tian - 2012
model. To improve the finite sample performance, we also consider bootstrap tests. In simulation experiments the MAPC … that the bootstrap tests have more reasonable rejection frequency than the asymptotic tests in small samples. As an …
Persistent link: https://www.econbiz.de/10009668445
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Bayesian averaging, prediction and nonnested model selection
Hong, Han; Preston, Bruce - In: Journal of econometrics 167 (2012) 2, pp. 358-369
Persistent link: https://www.econbiz.de/10009612857