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On Estimating Conditional Mean Squared Prediction Error In Autoregressive Models
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Book Synopsis On Estimating Conditional Mean-Squared Prediction Error in Autoregressive Models by : Ching-Kang Ing
Download or read book On Estimating Conditional Mean-Squared Prediction Error in Autoregressive Models written by Ching-Kang Ing and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Zhang and Shaman considered the problem of estimating the conditional mean-squared prediciton error (CMSPE) for a Gaussian autoregressive (AR) process. They used the final prediction error (FPE) of Akaike to estimate CMSPE and proposed that FPE's effectiveness be judged by its asymptotic correlation with CMSPE. However, as pointed out by Kabaila and He, the derivation of this correlation by Zhang and Shaman is incomplete, and the performance of FPE in estimating CMSPE is also poor in Kabaila and He's simulation study. Kabaila and He further proposed an alternative estimator of CMSPE, V, in the stationary AR(1) model. They reported that V has a larger normalized correlation with CMSPE through Monte Carlo simulation results. In this paper, we propose a generalization of V, V, in the higher-order AR model, and obtain the asymptotic correlation of FPE and V with CMSPE. We show that the limit of the normalized correlation of V with CMSPE is larger than that of FPE with CMSPE, and hence Kabaila and He's finding is justified theoretically. In addition, the performances of the above estimators of CMSPE are re-examined in terms of mean-squared errors (MSE). Our main conclusion is that from the MSE point of view, V is the best choice among a family of asymptotically unbiased estimators of CMSPE including FPE and V as its special cases.
Book Synopsis Mean Squared Prediction Error Reduction with Instrumental Variables by : Antonis Michis
Download or read book Mean Squared Prediction Error Reduction with Instrumental Variables written by Antonis Michis and published by . This book was released on 2016 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: The mean squared prediction error of the linear regression model is examined when estimation is performed with instrumental variables. It is shown that increasing the number of instruments in the estimation procedure, can reduce the mean squared prediction error of the model through more efficient estimation of the coefficient vector.
Book Synopsis Prediction Mean Squared Error for State Space Models with Estimated Parameters by : Craig F. Ansley
Download or read book Prediction Mean Squared Error for State Space Models with Estimated Parameters written by Craig F. Ansley and published by . This book was released on 1985 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymptotic Approximations to the Mean Square Prediction Error of Time Series by : Richard Alan Lewis
Download or read book Asymptotic Approximations to the Mean Square Prediction Error of Time Series written by Richard Alan Lewis and published by . This book was released on 1982 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Stochastic Coefficients Approach to Econometric Modeling by : P. A. V. B. Swamy
Download or read book The Stochastic Coefficients Approach to Econometric Modeling written by P. A. V. B. Swamy and published by . This book was released on 1988 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :Compiled by the British Library of Political and Economic Science Publisher :Psychology Press ISBN 13 :9780415354776 Total Pages :698 pages Book Rating :4.3/5 (547 download)
Book Synopsis International Bibliography Of Economics 2003 by : Compiled by the British Library of Political and Economic Science
Download or read book International Bibliography Of Economics 2003 written by Compiled by the British Library of Political and Economic Science and published by Psychology Press. This book was released on 2004-12 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 1952, the International Bibliography of the Social Sciences (anthropology, economics, political science, and sociology) is well established as a major bibliographic reference for students, researchers and librarians in the social sciences worldwide. Key features * Authority: Rigorous standards are applied to make the IBSS the most authoritative selective bibliography ever produced. Articles and books are selected on merit by some of the world's most expert librarians and academics. * Breadth: today the IBSS covers over 2000 journals - more than any other comparable resource. The latest monograph publications are also included. * International Coverage: the IBSS reviews scholarship published in over 30 languages, including publications from Eastern Europe and the developing world. * User friendly organization: all non-English titles are word sections. Extensive author, subject and place name indexes are provided in both English and French.
Book Synopsis Structural Vector Autoregressive Analysis by : Lutz Kilian
Download or read book Structural Vector Autoregressive Analysis written by Lutz Kilian and published by Cambridge University Press. This book was released on 2017-11-23 with total page 757 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural vector autoregressive (VAR) models are important tools for empirical work in macroeconomics, finance, and related fields. This book not only reviews the many alternative structural VAR approaches discussed in the literature, but also highlights their pros and cons in practice. It provides guidance to empirical researchers as to the most appropriate modeling choices, methods of estimating, and evaluating structural VAR models. The book traces the evolution of the structural VAR methodology and contrasts it with other common methodologies, including dynamic stochastic general equilibrium (DSGE) models. It is intended as a bridge between the often quite technical econometric literature on structural VAR modeling and the needs of empirical researchers. The focus is not on providing the most rigorous theoretical arguments, but on enhancing the reader's understanding of the methods in question and their assumptions. Empirical examples are provided for illustration.
Book Synopsis Risk Management and Shareholders' Value in Banking by : Andrea Sironi
Download or read book Risk Management and Shareholders' Value in Banking written by Andrea Sironi and published by John Wiley & Sons. This book was released on 2007-04-30 with total page 808 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an integrated framework for risk measurement, capital management and value creation in banks. Moving from the measurement of the risks facing a bank, it defines criteria and rules to support a corporate policy aimed at maximizing shareholders' value. Parts I - IV discuss different risk types (including interest rate, market, credit and operational risk) and how to assess the amount of capital they absorb by means of up-to-date, robust risk-measurement models. Part V surveys regulatory capital requirements: a special emphasis is given to the Basel II accord, discussing its economic foundations and managerial implications. Part VI presents models and techniques to calibrate the amount of economic capital at risk needed by the bank, to fine-tune its composition, to allocate it to risk-taking units, to estimate the "fair" return expected by shareholders, to monitor the value creation process. Risk Management and Shareholders' Value in Banking includes: * Value at Risk, Monte Carlo models, Creditrisk+, Creditmetrics and much more * formulae for risk-adjusted loan pricing and risk-adjusted performance measurement * extensive, hands-on Excel examples are provided on the companion website www.wiley.com/go/rmsv * a complete, up-to-date introduction to Basel II * focus on capital allocation, Raroc, EVA, cost of capital and other value-creation metrics
Book Synopsis Models for Dependent Time Series by : Granville Tunnicliffe Wilson
Download or read book Models for Dependent Time Series written by Granville Tunnicliffe Wilson and published by CRC Press. This book was released on 2015-07-29 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: Models for Dependent Time Series addresses the issues that arise and the methodology that can be applied when the dependence between time series is described and modeled. Whether you work in the economic, physical, or life sciences, the book shows you how to draw meaningful, applicable, and statistically valid conclusions from multivariate (or vect
Book Synopsis A Note on Mean Squared Prediction Error Under the Unit Root Model with Deterministic Trend by : Shu-Hui Yu
Download or read book A Note on Mean Squared Prediction Error Under the Unit Root Model with Deterministic Trend written by Shu-Hui Yu and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Assume that observations are generated from the first-order autoregressive (AR) model with linear time trend and the unknown model coefficients are estimated by least squares. This article develops an asymptotic expression for the mean squared prediction error (MSPE) of the least squares predictor in the presence of a unit root. As a by-product, we also obtain a connection between the MSPE and the growth rate of the Fisher information. The key technical tool used to derive these results is the negative moment bound for the minimum eigenvalue of the normalized Fisher information matrix.
Book Synopsis Forecasting in the Presence of Structural Breaks and Model Uncertainty by : David E. Rapach
Download or read book Forecasting in the Presence of Structural Breaks and Model Uncertainty written by David E. Rapach and published by Emerald Group Publishing. This book was released on 2008-02-29 with total page 691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
Book Synopsis Multiple Time Series by : Edward James Hannan
Download or read book Multiple Time Series written by Edward James Hannan and published by John Wiley & Sons. This book was released on 2009-09-25 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Wiley Series in Probability and Statistics is a collection of topics of current research interests in both pure and applied statistics and probability developments in the field and classical methods. This series provides essential and invaluable reading for all statisticians, whether in academia, industry, government, or research.
Book Synopsis Handbook of Economic Forecasting by : Graham Elliott
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-08-23 with total page 667 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. - Focuses on innovation in economic forecasting via industry applications - Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications - Makes details about economic forecasting accessible to scholars in fields outside economics
Book Synopsis Estimation of Prediction Mean Squared Error in Linear Mixed Models by : Lyu Ziyang
Download or read book Estimation of Prediction Mean Squared Error in Linear Mixed Models written by Lyu Ziyang and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Best linear unbiased estimators (BLUEs) theta and predictors (BLUPs) of the fixed and random effects of mixed linear models are available when the true values of the variance components are known. When the true values theta are replaced by estimated values to produce estimated best linear unbiased predictors (EBLUPs), the mean squared errors (MSE) of the predictors of random effects increase in size. Henderson (1975) suggested using the naive estimator of the MSE of the EBLUP obtained by replacing theta by hat of theta in the expression of the MSE of the BLUP. However, this is an underestimate. In this thesis we will study three ways to estimate the MSE of the EBLUP. We describe how Kackar and Harville (1984) obtained an estimator to the MSE of EBLUP under the linear mixed model. We also study another estimator, which Prasad and Rao (1990) proposed, based on Kackar and Harville (1984). We apply both methods to two sample models and to see how they differ. We also describe Jiang et al. (2002) jackknife estimator and Lohr and Rao (2009) modified jackknife estimator. We report the results of a small simulation study to compare the different estimators.
Book Synopsis The Theory and Practice of Econometrics by : George G. Judge
Download or read book The Theory and Practice of Econometrics written by George G. Judge and published by John Wiley & Sons. This book was released on 1991-01-16 with total page 1062 pages. Available in PDF, EPUB and Kindle. Book excerpt: This broadly based graduate-level textbook covers the major models and statistical tools currently used in the practice of econometrics. It examines the classical, the decision theory, and the Bayesian approaches, and contains material on single equation and simultaneous equation econometric models. Includes an extensive reference list for each topic.
Book Synopsis Time Series: Theory and Methods by : Peter J. Brockwell
Download or read book Time Series: Theory and Methods written by Peter J. Brockwell and published by Springer Science & Business Media. This book was released on 2009-05-13 with total page 591 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edition contains a large number of additions and corrections scattered throughout the text, including the incorporation of a new chapter on state-space models. The companion diskette for the IBM PC has expanded into the software package ITSM: An Interactive Time Series Modelling Package for the PC, which includes a manual and can be ordered from Springer-Verlag. * We are indebted to many readers who have used the book and programs and made suggestions for improvements. Unfortunately there is not enough space to acknowledge all who have contributed in this way; however, special mention must be made of our prize-winning fault-finders, Sid Resnick and F. Pukelsheim. Special mention should also be made of Anthony Brockwell, whose advice and support on computing matters was invaluable in the preparation of the new diskettes. We have been fortunate to work on the new edition in the excellent environments provided by the University of Melbourne and Colorado State University. We thank Duane Boes particularly for his support and encouragement throughout, and the Australian Research Council and National Science Foundation for their support of research related to the new material. We are also indebted to Springer-Verlag for their constant support and assistance in preparing the second edition. Fort Collins, Colorado P. J. BROCKWELL November, 1990 R. A. DAVIS * /TSM: An Interactive Time Series Modelling Package for the PC by P. J. Brockwell and R. A. Davis. ISBN: 0-387-97482-2; 1991.
Book Synopsis Journal of the American Statistical Association by : American Statistical Association
Download or read book Journal of the American Statistical Association written by American Statistical Association and published by . This book was released on 2000 with total page 780 pages. Available in PDF, EPUB and Kindle. Book excerpt:
