Showing 71 - 80 of 10,623
The asymptotic efficiency of the indirect estimation methods, such as the efficient method of moments and indirect inference, depends on the choice of the auxiliary model. Up to date, this choice is somehow ad hoc and based on an educated guess of the researcher. In this article we develop three...
Persistent link: https://www.econbiz.de/10009416964
The credit business is an essential part of each banks' activities. With regard to the increasing regulatory obligations, the risk management and the associated minimum capital requirements gain in importance. Banks have got the possibility to determine their credit risk by an internal rating...
Persistent link: https://www.econbiz.de/10009416989
In this paper, we aim at forecasting the stochastic volatility of key financial market variables with the Kalman filter using stochastic models developed by Taylor (1986,1994) and Nelson (1990). First, we compare a stochastic volatility model relying on the Kalman filter to the conditional...
Persistent link: https://www.econbiz.de/10009418474
Schwarz. In this paper I evaluate the predictive ability of the Akaike and Schwarz information criteria using autoregressive integrated moving average models, with sectoral data of Chilean GDP. In terms of root mean square error, and after the estimation of more than a million models, the...
Persistent link: https://www.econbiz.de/10009418476
There is no standard economic forecasting procedure that systematically outperforms the others at all horizons and with any dataset. A common way to proceed, in many contexts, is to choose the best model within a family based on a fitting criteria, and then forecast. I compare the out-of-sample...
Persistent link: https://www.econbiz.de/10009418499
Option-implied risk-neutral densities incorporate market expectations with respect to the future course of option underlyings. Under the risk neutrality assumption various methods have been developed. In this paper, we look into two of them: parametric mixture of lognormals method and...
Persistent link: https://www.econbiz.de/10010678158
This paper shows how a weighted average of a forward and reverse Jackknife IV estimator (JIVE) yields estimators that are robust against heteroscedasticity and many instruments. These estimators, called HFUL (Heteroscedasticity robust Fuller) and HLIM (Heteroskedasticity robust limited...
Persistent link: https://www.econbiz.de/10010678601
In a recent paper, Hausman et al. (2012) propose a new estimator, HFUL (Heteroscedasticity robust Fuller), for the linear model with endogeneity. This estimator is consistent and asymptotically normally distributed in the many instruments and many weak instruments asymptotics. Moreover, this...
Persistent link: https://www.econbiz.de/10010678607
This paper shows that dynamics of fixed capital productivity at macroeconomic level is related to changes in the indicators and relationships which are fundamental to the economic stability (index of gross fixed capital formation, consumption-fixed capital accumulation relationship, and external...
Persistent link: https://www.econbiz.de/10010678662
Pornind de la faptul ca colinearitatea genereaza distorsiuni atat ale valorilor estimate cat si ale testelor statistice, la inceputul prezentei lucrari sunt inventariate consecintele respectivelor distorsiuni si este construita o metoda de identificare a tipurilor de colinearitate, avandu-se in...
Persistent link: https://www.econbiz.de/10010678664