ERN: Other Econometrics: Econometric Model Construction最新文献_第2页

Evaluating the Predictive Performance of Composites in PLS Path Modeling PLS路径建模中复合材料预测性能的评价

ERN: Other Econometrics: Econometric Model Construction Pub Date : 2017-10-18 DOI: 10.2139/ssrn.3055222

N. Danks, Soumya Ray, G. Shmueli

引用次数: 7

Inference for Impulse Responses Under Model Uncertainty 模型不确定性下脉冲响应的推理

ERN: Other Econometrics: Econometric Model Construction Pub Date : 2017-09-18 DOI: 10.2139/ssrn.2940104

L. Lieb, Stephan Smeekes

引用次数: 1

Circumscribing System Dynamics Modeling and Building Confidence in Models a Personal Perspective 限制系统动力学建模和建立个人视角的模型信心

ERN: Other Econometrics: Econometric Model Construction Pub Date : 2017-05-15 DOI: 10.2139/ssrn.3093080

K. Saeed

{"title":"Circumscribing System Dynamics Modeling and Building Confidence in Models a Personal Perspective","authors":"K. Saeed","doi":"10.2139/ssrn.3093080","DOIUrl":"https://doi.org/10.2139/ssrn.3093080","url":null,"abstract":"While there is a consensus among system dynamics scholars that the dichotomous term validity must be replaced by the term confidence for system dynamics models, it is unclear what qualifies as a system dynamics model – a computational instrument for forecasting, or an experimental tool to inform the policy process? And what exactly needs to be done to build confidence in a model? Confidence building process is described in the system dynamics writings at a rather philosophical level that can be used to justify almost any model. The confidence building procedures provided in the text books are sketchy, do not distinguish between forecasting and policy models and do not adequately describe the iterative process subsumed in the various steps of model construction that might yield confidence. Confidence in forecasting models is an article of faith no matter how detailed they might be and how diligent is their calibration. Forecasting models are albeit irrelevant to system dynamics practice, which must focus on policy. This paper revisits the problem of confidence in system dynamics models addressing policy and attempts to carefully describe their qualification and the process that practitioners must follow to arrive at them.","PeriodicalId":106740,"journal":{"name":"ERN: Other Econometrics: Econometric Model Construction","volume":"110 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121798880","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 6

Financial Globalisation, Monetary Policy Spillovers and Macro-Modelling: Tales from 1001 Shocks 金融全球化、货币政策溢出和宏观建模:1001次冲击的故事

ERN: Other Econometrics: Econometric Model Construction Pub Date : 2017-05-01 DOI: 10.24149/gwp314

Georgios P. Georgiadis, Martina Jančoková

{"title":"Financial Globalisation, Monetary Policy Spillovers and Macro-Modelling: Tales from 1001 Shocks","authors":"Georgios P. Georgiadis, Martina Jančoková","doi":"10.24149/gwp314","DOIUrl":"https://doi.org/10.24149/gwp314","url":null,"abstract":"Financial globalisation and spillovers have gained immense prominence over the last two decades. Yet, powerful cross-border financial spillover channels have not become a standard element of structural monetary models. Against this background, we hypothesise that New Keynesian DSGE models that do not feature powerful financial spillover channels confound the effects of domestic and foreign disturbances when confronted with the data. We derive predictions from this hypothesis and subject them to data on monetary policy shock estimates for 29 economies obtained from more than 280 monetary models in the literature. Consistent with the predictions from our hypothesis we find: Monetary policy shock estimates obtained from New Keynesian DSGE models that do not account for powerful financial spillover channels are contaminated by a common global component; the contamination is more severe for economies that are more susceptible to financial spillovers in the data; and the shock estimates imply implausibly similar estimates of the global output spillovers from monetary policy in the US and the euro area. None of these findings applies to monetary policy shock estimates obtained from VAR and other statistical models, financial market expectations and the narrative approach.","PeriodicalId":106740,"journal":{"name":"ERN: Other Econometrics: Econometric Model Construction","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121504704","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 12

Research on the Motion Picture Industry: State of the Art and New Directions Off the Beaten Track Away from Theatrical Release 电影工业研究:艺术现状和远离影院发行的新方向

ERN: Other Econometrics: Econometric Model Construction Pub Date : 2017-04-01 DOI: 10.1111/joes.12145

Florian Kumb, Reinhard E. Kunz, Gabriele Siegert

{"title":"Research on the Motion Picture Industry: State of the Art and New Directions Off the Beaten Track Away from Theatrical Release","authors":"Florian Kumb, Reinhard E. Kunz, Gabriele Siegert","doi":"10.1111/joes.12145","DOIUrl":"https://doi.org/10.1111/joes.12145","url":null,"abstract":"The motion picture industry has been subject of extensive academic research over the last decades. However, most scholars focused on the U.S. theatrical motion picture market. The number of research activities regarding even more profitable release windows, such as home video or television, has been substantially lower. Although international distribution is essential for a motion picture project to break even, there has been little significant re-search on most other markets. This paper aims at summarizing the current state of research on the motion picture industry, particularly from marketing and management perspective, revealing research gaps, and proposing recommendations for future research endeavors. Therefore, a three-pillar scheme is developed to systemize previous findings: Research on intraorganizational decision making, contractual relationships between national stakeholders, and international market competition are differentiated. Since these insights are mainly derived from U.S. theatrical exhibition, they can hardly be applied to other markets and exhibition windows. Thus, potential research areas are identified to expand knowledge of posttheatrical and international markets.","PeriodicalId":106740,"journal":{"name":"ERN: Other Econometrics: Econometric Model Construction","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125378709","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 13

Minimum Contrast Empirical Likelihood Manipulation Testing for Regression Discontinuity Design 回归不连续设计的最小对比经验似然操作检验

ERN: Other Econometrics: Econometric Model Construction Pub Date : 2017-03-01 DOI: 10.2139/ssrn.2925682

Jun Ma, Hugo Jales, Zhengfei Yu

引用次数: 0

A Standardized Method for the Evaluation of Adherence to Practice Guidelines 一种评估遵守实践指南的标准化方法

ERN: Other Econometrics: Econometric Model Construction Pub Date : 2016-12-20 DOI: 10.2139/ssrn.2924711

Stephanie Thomas

引用次数: 0

Inter-Quantile Ranges and Volatility of Financial Data 金融数据的分位数区间与波动性

ERN: Other Econometrics: Econometric Model Construction Pub Date : 2016-09-07 DOI: 10.2139/ssrn.2835951

T. Dimpfl, D. Baur

引用次数: 4

Testing a Single Regression Coefficient in High Dimensional Regression Model 高维回归模型中单一回归系数的检验

ERN: Other Econometrics: Econometric Model Construction Pub Date : 2016-05-22 DOI: 10.2139/ssrn.2783153

Wei Lan, Pingshou Zhong, Runze Li, Hansheng Wang, Chih-Ling Tsai

{"title":"Testing a Single Regression Coefficient in High Dimensional Regression Model","authors":"Wei Lan, Pingshou Zhong, Runze Li, Hansheng Wang, Chih-Ling Tsai","doi":"10.2139/ssrn.2783153","DOIUrl":"https://doi.org/10.2139/ssrn.2783153","url":null,"abstract":"In linear regression models with high dimensional data, the classical z-test (or t-test) for testing the significance of each single regression coefficient is no longer applicable. This is mainly because the number of covariates exceeds the sample size. In this paper, we propose a simple and novel alternative by introducing the Correlated Predictors Screening (CPS) method to control for predictors that are highly correlated with the target covariate. Accordingly, the classical ordinary least squares approach can be employed to estimate the regression coefficient associated with the target covariate. In addition, we demonstrate that the resulting estimator is consistent and asymptotically normal even if the random errors are heteroscedastic. This enables us to apply the z-test to assess the significance of each covariate. Based on the p-value obtained from testing the significance of each covariate, we further conduct multiple hypothesis testing by controlling the false discovery rate at the nominal level. Then, we show that the multiple hypothesis testing achieves consistent model selection. Simulation studies and empirical examples are presented to illustrate the finite sample performance and the usefulness of the proposed method, respectively.","PeriodicalId":106740,"journal":{"name":"ERN: Other Econometrics: Econometric Model Construction","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126391243","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 21

Consistent Re-Calibration in Yield Curve Modeling: An Example 收益率曲线建模中的一致性再校准:一个例子

ERN: Other Econometrics: Econometric Model Construction Pub Date : 2015-07-13 DOI: 10.2139/ssrn.2630164

Mario V. Wuthrich

引用次数: 1