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An objective function for simulation based inference on exchange rate data

Winker, Peter (contributor); Gilli, Manfred (contributor); … - 2007

The assessment of models of financial market behavior requires evaluation tools. When complexity hinders a direct … estimation approach, e.g., for agent based microsimulation models or complex multifractal models, simulation based estimators …

Persistent link: https://www.econbiz.de/10003548061

Testing for equality between two copulas

Remillard, Bruno (contributor); … - 2007

We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Crameacute;r-von Mises test statistic. Finite sample properties...

Persistent link: https://www.econbiz.de/10003550857

Monte Carlo approximate tensor moment simulations

Arismendi Zambrano, Juan Carlos; Kimura, Herbert - 2014

An algorithm to generate samples with approximate first-, second-, and third-order moments is presented extending the Cholesky matrix decomposition to a Cholesky tensor decomposition of an arbitrary order. The tensor decomposition of the first-, second-, and third-order objective moments...

Persistent link: https://www.econbiz.de/10010532225

On importance sampling for state space models

Jungbacker, Borus; Koopman, Siem Jan - 2005

and smoother and the simulation smoother which do not rely on a linear Gaussian observation equation. Furthermore, results …

Persistent link: https://www.econbiz.de/10011348357

Judging contending estimators by simulation : tournaments in dynamic panel data models

Kiviet, J. F. - 2005

their performance in simulation experiments. This leads to a list of eight methodologic aspirations. Against their … background we criticize aspects of many simulation studies that have been used in the past to compare competing estimators for … simulation design inspired by an analysis of the (non-)invariance properties of estimators and occasionally by available higher …

Persistent link: https://www.econbiz.de/10011348362

Finite sample correction factors for panel cointegration tests

Hlouskova, Jaroslava; Wagner, Martin - 2009

; response surface ; simulation …

Persistent link: https://www.econbiz.de/10009734682

Testing the statistical significance of microsimulation results : often easier than you think ; a technical note

Goedemé, Tim; Van den Bosch, Karel; Salanauskaite, Lina; … - 2013

In the microsimulation literature, it is still uncommon to test the statistical significance of results. In this paper we argue that this situation is both undesirable and unnecessary. Provided the parameters used in the microsimulation are exogenous, as is often the case in static...

Persistent link: https://www.econbiz.de/10010201167

Treatments of non-metric variables in partial least squares and principal component analysis

Yoon, Jisu; Krivobokova, Tatyana - 2015

Analysis (PCA) algorithms. The performance of different treatments is compared in the extensive simulation study under several …

Persistent link: https://www.econbiz.de/10010498613

Estimation of sentiment effects in financial markets : a simulated method of moments approach

Chen, Zhenxi; Lux, Thomas - 2015

We take the model of Alfarano et al. (Journal of Economic Dynamics & Control 32, 2008, 101-136) as a prototype agent-based model that allows reproducing the main stylized facts of financial returns. The model does so by combining fundamental news driven by Brownian motion with a minimalistic...

Persistent link: https://www.econbiz.de/10010501936

Penalized indirect inference

Blasques, Francisco; Duplinskiy, Artem - 2015

Parameter estimates of structural economic models are often difficult to interpret at the light of the underlying economic theory. Bayesian methods have become increasingly popular as a tool for conducting inference on structural models since priors offer a way to exert control over the...

Persistent link: https://www.econbiz.de/10010464781