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Challenging the Empirical Evidence From Present Value Models of the Current Account
Miniane, Jacques; Mercereau, Benoît - International Monetary Fund (IMF) - 2004
Under near-singularity conditions typically generated by persistence in current account data the predictions of present value models become extremely sensitive to small sample estimation error. Moreover, traditional Wald tests will distort the likelihood that the model is true. Using OECD data...
Persistent link: https://www.econbiz.de/10005263982
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Empirical Modeling of Contagion; A Review of Methodologies
Dungey, Mardi; Fry, Renee; Martin, Vance; … - International Monetary Fund (IMF) - 2004
The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate...
Persistent link: https://www.econbiz.de/10005825971
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An Evaluation of the World Economic Outlook Forecasts
Timmermann, Allan - International Monetary Fund (IMF) - 2006
The World Economic Outlook (WEO) is a key source of forecasts of global economic conditions. It is therefore important to review the performance of these forecasts against both actual outcomes and alternative forecasts. This paper conducts a series of statistical tests to evaluate the quality of...
Persistent link: https://www.econbiz.de/10005769333
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The null distribution of the likelihood-ratio test for one or two outliers in a normal sample
Zhang, Jin; Yu, Keming - In: TEST: An Official Journal of the Spanish Society of … 15 (2006) 1, pp. 141-150
Persistent link: https://www.econbiz.de/10005184349
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Approximately optimal mechanisms for strategyproof facility location : minimizing Lp norm of costs
Feigenbaum, Itai; Sethuraman, Jay; Ye, Chun - In: Mathematics of operations research 42 (2017) 2, pp. 434-447
Persistent link: https://www.econbiz.de/10011684443
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A logistic approximation to the cumulative normal distribution
Bowling, Shannon R.; Khasawneh, Mohammad T.; Cho, Byung Rae - In: Journal of Industrial Engineering and Management (JIEM) 2 (2009) 1, pp. 114-127
This paper develops a logistic approximation to the cumulative normal distribution. Although the literature contains a … to other approximations studied in the literature, it can be observed that the proposed logistic approximation has a …
Persistent link: https://www.econbiz.de/10011938905
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A logistic approximation to the cumulative normal distribution
Bowling, Shannon R.; Khasawneh, Mohammad T.; Sittichai … - In: Journal of industrial engineering and management : JIEM 2 (2009) 1, pp. 114-127
This paper develops a logistic approximation to the cumulative normal distribution. Although the literature contains a … to other approximations studied in the literature, it can be observed that the proposed logistic approximation has a …
Persistent link: https://www.econbiz.de/10011898596
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The Empirical Saddlepoint Likelihood Estimator Applied to Two-Step GMM
Sowell, Fallaw - 2009
The empirical saddlepoint likelihood (ESPL) estimator is introduced. The ESPL provides improvement over one-step GMM estimators by including additional terms to automatically reduce higher order bias. The first order sampling properties are shown to be equivalent to efficient two-step GMM. New...
Persistent link: https://www.econbiz.de/10009441141
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The Empirical Saddlepoint Approximation for GMM Estimators
Sowell, Fallaw B - 2007
The empirical saddlepoint distribution provides an approximation to the sampling distributions for the GMM parameter … conditions to the estimation equations needed for the saddlepoint approximation are provided. Unlike the absolute errors … relative error leads to a more accurate approximation, particularly in the tails. …
Persistent link: https://www.econbiz.de/10009441150
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Statistical inference for the beta coefficient
Bodnar, Taras; Gupta, Arjun K.; Vitlinskyi, Valdemar; … - In: Risks 7 (2019) 2, pp. 1-14
The beta coefficient plays a crucial role in finance as a risk measure of a portfolio in comparison to the benchmark portfolio. In the paper, we investigate statistical properties of the sample estimator for the beta coefficient. Assuming that both the holding portfolio and the benchmark...
Persistent link: https://www.econbiz.de/10013200474