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Improvement of Forecasting Accuracy Using a Two-Stage Multinomial Choice Model Based on Physiological Responses 基于生理反应的两阶段多项选择模型预测精度的提高
ERN: Model Construction & Selection (Topic) Pub Date : 2013-11-01 DOI: 10.2139/ssrn.2360436
D. Jun, Kyungmo Oh, Byungho Park
{"title":"Improvement of Forecasting Accuracy Using a Two-Stage Multinomial Choice Model Based on Physiological Responses","authors":"D. Jun, Kyungmo Oh, Byungho Park","doi":"10.2139/ssrn.2360436","DOIUrl":"https://doi.org/10.2139/ssrn.2360436","url":null,"abstract":"This empirical paper compares the forecasting accuracy of a two-stage MNL model with that of an ordinary MNL model. The explanatory variables used in this study include individual choice set and physiological responses of the subject. Designed experiment was conducted to acquire the choice set and physiological data of the subject. Based on the estimation from the consideration stage, the proposed model estimated a choice set, and further forecasted the final choice of the subject using a two-stage MNL model. By calibrating the threshold value of the consideration stage in in-sample, the two-stage model can on average outperform the accuracy of an ordinary MNL model. We find evidence that (i) an explicitly-staged model using a choice set lead to better forecasts; and (ii) influential factors are different in each stage and they exhibit different effectiveness.","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"86 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127009729","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: 0
Immigration, Economic Growth and Unemployment in Greece: An Application of the ARDL Bounds Testing Approach to Cointegration 希腊移民、经济成长与失业:ARDL边界检验方法在协整中的应用
ERN: Model Construction & Selection (Topic) Pub Date : 2013-07-23 DOI: 10.2139/ssrn.2297466
J. Tzougas
{"title":"Immigration, Economic Growth and Unemployment in Greece: An Application of the ARDL Bounds Testing Approach to Cointegration","authors":"J. Tzougas","doi":"10.2139/ssrn.2297466","DOIUrl":"https://doi.org/10.2139/ssrn.2297466","url":null,"abstract":"This study aims at investigating the nature of the causal relationship between immigration and two macroeconomic indicators, GDP per capita and unemployment, in Greece using annual data spanning the period between 1980 and 2007. Procedures are used to endogenously identify structural breaks in these macroeconomic series and then to incorporate these breaks in unit root tests. Taking into account the resulting endogenously determined structural breaks the error correction version of the ARDL procedure is then employed, to specify the short- and long-term determinants of economic growth in the presence of structural breaks. Results of the ARDL bounds test are supportive of the theory that the variables are in a long-run equilibrium level relationship. On the other hand, results of the Granger-causality tests support the existence of a long-run, bidirectional causality between immigration and GDP per capita. However, in the short run, the results are indicative of unidirectional causality running from immigration to GDP per capita. Furthermore, in the short-run, the results do not support the hypothesis that immigration causes unemployment. On the contrary, evidence suggests that unemployment causes immigration.","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"13 34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124686710","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: 9
Assessing Financial Model Risk 评估财务模型风险
ERN: Model Construction & Selection (Topic) Pub Date : 2013-06-24 DOI: 10.2139/ssrn.2284101
P. Barrieu, Giacomo Scandolo
{"title":"Assessing Financial Model Risk","authors":"P. Barrieu, Giacomo Scandolo","doi":"10.2139/ssrn.2284101","DOIUrl":"https://doi.org/10.2139/ssrn.2284101","url":null,"abstract":"Model risk has a huge impact on any risk measurement procedure and its quantification is therefore a crucial step. In this paper, we introduce three quantitative measures of model risk when choosing a particular reference model within a given class: the absolute measure of model risk, the relative measure of model risk and the local measure of model risk. Each of the measures has a specific purpose and so allows for flexibility. We illustrate the various notions by studying some relevant examples, so as to emphasize the practicability and tractability of our approach.","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125553895","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: 73
Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices 泡沫问题?理性储存，均值回归和商品价格运行
ERN: Model Construction & Selection (Topic) Pub Date : 2013-05-01 DOI: 10.3386/W19037
Eugenio S. A. Bobenrieth, J. Bobenrieth H., Brian D. Wright
{"title":"Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices","authors":"Eugenio S. A. Bobenrieth, J. Bobenrieth H., Brian D. Wright","doi":"10.3386/W19037","DOIUrl":"https://doi.org/10.3386/W19037","url":null,"abstract":"High and volatile prices of major commodities have generated a wide array of analyses and policy prescriptions, including influential studies identifying price bubbles in periods of high volatility. Here we consider a model of the market for a storable commodity in which price expectations are unbounded. We derive its implications for price time series and empirical tests of price behavior. In this model commodity price is equal to marginal consumption value, and hence bubbles as defined in financial economics cannot occur. However the model generates episodes of price runs that could be characterized as \"explosive\" and might seem to be bubble-like. At sufficiently long holding periods, a price path can yield average returns consistent with mean reversion, even though the long run expectation of price is infinite.","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"65 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131951103","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: 19
Focused Model Selection in Quantile Regression 分位数回归中的重点模型选择
ERN: Model Construction & Selection (Topic) Pub Date : 2013-01-25 DOI: 10.2139/ssrn.2244943
P. Behl, G. Claeskens, H. Dette
{"title":"Focused Model Selection in Quantile Regression","authors":"P. Behl, G. Claeskens, H. Dette","doi":"10.2139/ssrn.2244943","DOIUrl":"https://doi.org/10.2139/ssrn.2244943","url":null,"abstract":"We consider the problem of model selection for quantile regression analysis where a particular purpose of the modeling procedure has to be taken into account. Typical examples include estimation of the area under the curve in pharmacokinetics or estimation of the minimum eff ective dose in phase II clinical trials. A focused information criterion for quantile regression is developed, analyzed and investigated by means of a simulation study and data analysis.","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"135 2-3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127005748","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: 29
‘Is Residual Income Model (RIM) Really Superior to Dividend Discount Model (DDM)?’ – A Misconception 剩余收益模型(RIM)真的优于股利贴现模型(DDM)吗?——误解
ERN: Model Construction & Selection (Topic) Pub Date : 2012-11-21 DOI: 10.2139/ssrn.2179059
M. Tareq
{"title":"‘Is Residual Income Model (RIM) Really Superior to Dividend Discount Model (DDM)?’ – A Misconception","authors":"M. Tareq","doi":"10.2139/ssrn.2179059","DOIUrl":"https://doi.org/10.2139/ssrn.2179059","url":null,"abstract":"The development of the residual income model (RIM) has potential implications for the empirical researchers as the model specifies relationship between earnings and book values as proxies for equity values and accounting variables. Although researchers have supported RIM as an alternative to the dividend discount model (DDM), some empirical studies on RIM have triggered arguments on the superiority of the RIM over DDM. In theory, both models give the same value estimates; empirically, these value estimates changes with the changes in the assumption sets. In this paper, we show that both models provide the same values estimates when the terminal value can be forecasted. Although, under the perpetual growth rate model, the researchers have shown that empirically RIM outperforms DDM. We have shown that this superiority of RIM is misleading, as the transversality condition, a necessary assumption for deriving the RIM, is void under the perpetual growth rate scenario.","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-11-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126690788","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: 4
Variable Selection in Cox Regression Models with Varying Coefficients 变系数Cox回归模型的变量选择
ERN: Model Construction & Selection (Topic) Pub Date : 2012-10-12 DOI: 10.2139/ssrn.2894216
Toshio Honda, W. Härdle
{"title":"Variable Selection in Cox Regression Models with Varying Coefficients","authors":"Toshio Honda, W. Härdle","doi":"10.2139/ssrn.2894216","DOIUrl":"https://doi.org/10.2139/ssrn.2894216","url":null,"abstract":"We deal with two kinds of Cox regression models with varying coefficients. The coefficients vary with time in one model. In the other model, there is an important random variable called an index variable and the coefficients vary with the variable. In both models, we have p-dimensional covariates and p increases moderately. However, it is the case that only a small part of the covariates are relevant in these situations. We carry out variable selection and estimation of the coefficient functions by using the group SCAD-type estimator and the adaptive group Lasso estimator. We examine the theoretical properties of the estimators, especially the L2 convergence rate, the sparsity, and the oracle property. Simulation studies and a real data analysis show the performance of these new techniques.","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"80 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124123363","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: 24
Lasso-Type and Heuristic Strategies in Model Selection and Forecasting 模型选择和预测中的套索型和启发式策略
ERN: Model Construction & Selection (Topic) Pub Date : 2012-10-11 DOI: 10.1007/978-3-642-30278-7_14
I. Savin, P. Winker
{"title":"Lasso-Type and Heuristic Strategies in Model Selection and Forecasting","authors":"I. Savin, P. Winker","doi":"10.1007/978-3-642-30278-7_14","DOIUrl":"https://doi.org/10.1007/978-3-642-30278-7_14","url":null,"abstract":"","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127975559","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: 5
A Comment on Econometric Information Recovery and Inference from Indirect Noisy Economic Data 论间接噪声经济数据的计量经济信息恢复与推断
ERN: Model Construction & Selection (Topic) Pub Date : 2012-08-02 DOI: 10.2139/ssrn.2122592
G. Judge
{"title":"A Comment on Econometric Information Recovery and Inference from Indirect Noisy Economic Data","authors":"G. Judge","doi":"10.2139/ssrn.2122592","DOIUrl":"https://doi.org/10.2139/ssrn.2122592","url":null,"abstract":"The focus of this paper is on starting a critical discussion on the state of econometrics. The problem of information recovery in economics is discussed, and information theoretic methods are suggested as an estimation and inference framework for analyzing questions of a causal nature and learning about hidden dynamic micro and macro processes and systems, that may not be in equilibrium.","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127749049","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: 0
A Discrete Time Series Model for High Frequency Financial Data 高频金融数据的离散时间序列模型
ERN: Model Construction & Selection (Topic) Pub Date : 2012-07-02 DOI: 10.2139/ssrn.2097471
H. Mitchell
{"title":"A Discrete Time Series Model for High Frequency Financial Data","authors":"H. Mitchell","doi":"10.2139/ssrn.2097471","DOIUrl":"https://doi.org/10.2139/ssrn.2097471","url":null,"abstract":"In this paper a flexible model for correlation in high frequency data is proposed, which maintains the data’s discrete nature and captures features such as asymmetry and excess zeros. The model uses an a theoretical approach based on that of an ARIMA model. This model works with price changes and does not restrict the size of the price change. The model employs a combination of different distributions to model price changes. An unbounded discrete distribution was used to model the size of the change combined with a multinomial to determine the direction of the change and provide an excess number of zeros. A binominal thinning operator was used to model the correlation. The model was estimated for correlation in high frequency share price and exchange rate data. Results are presented for seven data sets. Two have an excess number of zeros and four exhibit asymmetry. An ARCH equation can be readily incorporated into the model, but the results here demonstrate that an excess number of zeros can be misinterpreted as ARCH when a continuous model is fitted.","PeriodicalId":163739,"journal":{"name":"ERN: Model Construction & Selection (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115437548","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: 0
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