We propose an automatic model order selection procedure for k-factor GARMA processes. The procedure is based on sequential tests of the maximum of the periodogram and semiparametric estimators of the model parameters. As a byproduct, we introduce a generalized version of Walker's large sample...

This article devoted to the delimitation of candidate profile, by means of an opinion survey representative of various categories of voters placed in the same area or locality, vitally depended on the perception of the people the questionnaire-based research was addressed to, on the categories...

We construct Bayesian vector autoregressive (BVAR) models optimized by the Posterior Information Criterion (PIC), in which hyper-parameters are data-determined in the same way as the lag length and trend order. We also assess the performance of the selected models by one-step ahead forecasts...

Bu çalışmada İMKB100, Mali, Sınai ve Hizmet endeksleri için GARCH(p,q),GJRGRCH(p,q) ve EGARCH(p,q) modelleri kullanılarak en uygun GARCH tipi model riske maruz değer yöntemi ile araştırılmıştır. Çalışma bulgularına göre seçilen güven düzeyi model sonuçlarını...

This paper examines whether the stochastic cusp catastrophe model explains the crash of stock markets much better than the linear and non-linear models. It is one of the first quantitative attempts to test the cusp catastrophe model by using real stock market data of an emerging market. We test...

This paper considers model selection in nonlinear panel data models where incidental parameters or large-dimensional nuisance parameters are present. Primary interest typically centres on selecting a model that best approximates the underlying structure involving parameters that are common...

We develop a method of testing linearity using power transforms of regressors, allowing for stationary processes and time trends. The linear model is a simplifying hypothesis that derives from the power transform model in three different ways, each producing its own identification problem. We...

A Bázel-2. tőkeegyezmény bevezetését követően a bankok és hitelintézetek Magyarországon is megkezdték saját belső minősítő rendszereik felépítését, melyek karbantartása és fejlesztése folyamatos feladat. A szerző arra a kérdésre keres választ, hogy lehetséges-e a...

The specification of parameters is a crucial task in the development of economic models. The objective of this paper is to improve the standard parameter specification of computable general equilibrium (CGE) models. On that account, we illustrate how Optimal Fingerprint Detection Methods (OFDM)...

Stock return predictability is subject to great uncertainty. In this paper we use the model confidence set approach to quantify uncertainty about expected utility from investment, accounting for potential return predictability. For monthly US data and six representative return prediction models,...