Results 31 to 40 of about 79,637 (281)
Regression Based Expected Shortfall Backtesting
, 2019 This paper introduces novel backtests for the risk measure Expected Shortfall (ES) following the testing idea of Mincer and Zarnowitz (1969). Estimating a regression framework for the ES stand-alone is infeasible, and thus, our tests are based on a joint
Bayer, Sebastian, Dimitriadis, Timo
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Bias of the Quasi Score Estimator of a Measurement Error Model Under Misspecification of the Regressor Distribution [PDF]
, 2003 In a structural error model the structural quasi score (SQS) estimator is based on the distribution of the latent regressor variable. If this distribution is misspecified the SQS estimator is (asymptotically) biased.
Cheng, Chi-Lun, Schneeweiß, Hans
core +2 more sources
EconometricaEmpirical research typically involves a robustness‐efficiency tradeoff. A researcher seeking to estimate a scalar parameter can invoke strong assumptions to motivate a restricted estimator that is precise but may be heavily biased, or they can relax some of these assumptions to motivate a more robust, but variable, unrestricted estimator.
Armstrong, Timothy B. +2 more
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Dynamic Concern for Misspecification [PDF]
Proceedings of the 24th ACM Conference on Economics and Computation, 2023 I consider an agent who posits a set of probabilistic models for the payoff‐relevant outcomes. The agent has a prior over this set but fears the actual model is omitted and hedges against this possibility. The concern for misspecification is endogenous: If a model explains the previous observations well, the concern attenuates.
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Specifying Turning Point in Piecewise Growth Curve Models: Challenges and Solutions
Frontiers in Applied Mathematics and Statistics, 2017 Piecewise growth curve model (PGCM) is often used when the underlying growth process is not linear and is hypothesized to consist of phasic developments connected by turning points (or knots or change points).
Ling Ning, Wen Luo
doaj +1 more source
Changes in Alcohol Retail Laws and Foot Traffic at Liquor Stores
Applied Economic Perspectives and Policy, EarlyView.ABSTRACT We study how expanding alcohol availability at grocery and convenience stores affects consumer traffic in liquor stores by leveraging recent changes in state‐level alcohol distribution laws in a difference‐in‐difference quasi‐experimental design.
Nathan Palardy +3 more
wiley +1 more source
System Misspecification Testing and Structural Change in the Demand for Meats
Journal of Agricultural and Resource Economics, 1995 A misspecification testing strategy designed to ensure that the statistical assumptions underlying a system of equations are appropriate is outlined. The system tests take into account information in, and interactions between, all equations in the system
Anya M. McGuirk +3 more
doaj +1 more source
Informational herding with model misspecification [PDF]
Journal of Economic Theory, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Are all meats substitutes? A basket‐and‐expenditure‐based approach
Agribusiness, EarlyView.Abstract This study examines the relationship among animal‐based meat and plant‐based meat alternatives (PBMAs) using a basket‐and‐expenditure‐based choice experiment. In particular, we examine whether animal‐based meat products are substitutes or complements with PBMAs.
Clinton L. Neill, Logan L. Britton
wiley +1 more source
The Relationship Between Interest Rates and Agricultural Commodity Price Dynamics
Agribusiness, EarlyView.ABSTRACT The U.S. Federal Reserve has undertaken several interest rate interventions in the past decade. This study explores the relationship between U.S. corn and soybean prices and Federal Reserve monetary policy interventions, in the short and long run.
Zhining Sun, Ani L. Katchova
wiley +1 more source