Robustness Tests for the FAVAR Model
On the robustness of goodness-of-fit tests for copulas
... copula model selection were based on AIC or variants of it (see ...most tests perform rather well even for small sample sizes of n = ...GoF-tests’ robustness to data ...
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Robustness of power properties of non linearity tests
... the model itself, of course, but in a battery of non-linearity tests ...other tests, the Tsay test, which requires the existence of the first four moments, and the McLeod and Li test, which requires ...
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Pension Wealth and Household Savings: Tests of Robustness
... To examine formally the sensitivity of conclusions to prior beliefs we consider two priors namely (a) a zero displacement effect for both social security and private pension wealth, and [r] ...
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Robustness of power properties of non-linearity tests
... Q tests, works also for infinite variance processes as ...ARCH model) is actually slower than √ T , and indeed the slower the heavier the ...volatility model) is similar to that derived for a linear ...
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A robustness study of parametric and non-parametric tests in model-based multifactor dimensionality reduction for epistasis detection
... Background The search for epistasis or gene-gene interaction effects on traits of interest is marked by an exponential growth. From an application point of view, these searches often focus on candidate genes or pathways. ...
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Depression econometrics: a FAVAR model of monetary policy during the Great Depression
... the FAVAR methodology of Bernanke, Boivin, and Eliasz [2005], aggregating a large number of time series into a few factors and inserting these into a monetary policy ...
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On Rotational Robustness of Shapiro Wilk Type Tests for Multivariate Normality
... This work is licensed under the Creative Commons Attribution International License (CC BY). http://creativecommons.org/licenses/by/4.0/ Abstract The Shapiro-Wilk test (SWT) for normality is well known for its competitive ...
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Estimation and inference of FAVAR models
... the FAVAR models. We contribute to the FAVAR literature in several ...the FAVAR model, which explicitly takes into account of partial factors being ...
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Estimation and inference of FAVAR models
... the FAVAR models. We contribute to the FAVAR literature in several ...the FAVAR model, which explicitly takes into account of partial factors being ...
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What lies beneath? A time-varying FAVAR model for the UK transmission mechanism
... This paper seeks to address these challenges using a relatively new type of statistical model, which encompasses lots of different information and data, but remains relatively straight- forward to use. In addition, ...
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A model-based approach for robustness testing
... A robustness requirement aims at ensuring that the software will preserve an “acceptable behavior” under non nominal execution conditions. This notion of “acceptable behavior” may not only correspond to safety ...
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Fear of Model Misspecification and the Robustness Premium
... higher robustness premia, when the mitigation of model misspeci…cation de- pends on a low productivity of time relative to human capital, robust choices increase welfare in the ...of model ...
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From classical absolute stability tests towards a comprehensive robustness analysis
... allows to capture the nonlinear, uncertain, time-varying (or in any other way troubling) part of the system solely by means of their input-output relations. As a consequence, we do not need to have any information about ...
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On the Robustness of Ljung-Box and McLeod-Li Q Tests: A Simulation Study
... Q tests, empirical researchers often filter time series data by certain autoregressive moving averages and generalized autoregres- sive conditional heteroskedasticity (ARMA-GARCH) ...Q tests are also applied ...
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Robustness of equilibrium in the Kyle model of informed speculation
... Proof: See Appendix. The proof proceeds in two steps. First, we prove that the equilibrium expected payoffs of a market maker do not change as a result of a small variation of her own conjecture only if the equilibrium ...
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A note on robustness in Merton's model of intertemporal consumption
... described. Robustness leads generally to focusing on worst case scenarios over a re- stricted set of appropriately de ned relevant model misspeci ...of robustness we model asset prices that ...
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Analyzing Contract Robustness through a Model of Commitments
... Commerce is driven by business contracts. Each party to a business contract must be assured that the contract is robust, in the sense that it fulfills its goals and avoids undesirable outcomes. However, real-life ...
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A Robustness Testing Approach for an Object Oriented Model
... test model of object oriented (OO) programs for testing conformity and robustness from formal ...a robustness approach based on invalid input data that do not satisfy the precondition constraint of ...
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Changes in Poverty in Rural Ethiopia 1989-1995: Measurement, Robustness Tests and Decomposition
... Measurement, Robustness Tests and Decomposition Assessing changes in poverty levels over time is bedevilled by problems in questionnaire design, the choice of the poverty line, the exact timing of the ...
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Global commodity cycles and linkages a FAVAR approach
... FAVECM model (Banerjee and Marcellino 2008) for each non-energy commodity price, in- cluding the fundamentals and the common factors and test for ...this model, we conduct the analysis with a FAVAR ...
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