Instrumental weighted variables under heteroscedasticity, Part I -- Consistency

Víšek, Jan Ámos

doi:10.14736/kyb-2017-1-0001

Cited by 4 publications

(1 citation statement)

References 60 publications

(100 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The pvalues are given only with 4 decimal points for the White test in the package het.test of R software. Asymptotic tests for the robust least weighted squares (LWS) estimator of Víšek (2011) are also presented in Table 1.…”

Section: Heteroscedasticity In the Linear Regression Modelmentioning

confidence: 99%

Statistical Method Selection Matters: Vanilla Methods in Regression May Yield Misleading Results

Kalina

Proceedings of the 17th International Scientific Conference INPROFORUM

View full text Add to dashboard Cite

The primary aim of this work is to illustrate the importance of the choice of the appropriate methods for the statistical analysis of economic data. Typically, there exist several alternative versions of common statistical methods for every statistical modeling task and the most habitually used ("vanilla") versions may yield rather misleading results in nonstandard situations. Linear regression is considered here as the most fundamental econometric model. First, the analysis of a world tourism dataset is presented, where the number of international arrivals is modeled for 140 countries of the world as a response of 14 pillars (indicators) of the Travel and Tourism Competitiveness Index. Heteroscedasticity is clearly recognized in the dataset. However, the Aitken estimator, which would be the standard remedy in such a situation, is revealed here to be very inappropriate; regression quantiles represent a much more suitable solution here. The second illustration with artificial data reveals standard regression quantiles to be unsuitable for data contaminated by outlying values; their recently proposed robust version turns out to be much more appropriate. Both illustrations reveal that choosing suitable methods represent an important (and often difficult) part of the analysis of economic data.

show abstract

Section: Heteroscedasticity In the Linear Regression Modelmentioning

confidence: 99%

Statistical Method Selection Matters: Vanilla Methods in Regression May Yield Misleading Results

Kalina

Proceedings of the 17th International Scientific Conference INPROFORUM

View full text Add to dashboard Cite

show abstract

Valuation of Convexity Related Derivatives

Witzany

2008

SSRN Journal

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Valuation of Convexity Related DerivativesJiří Witzany # # University of Economics, Prague E-mail: witzanyj@vse.cz March 2008Abstract:We will investigate valuation of derivatives with payoff defined as a nonlinear though close to linear function of tradable underlying assets. Derivatives involving Libor or swap rates in arrears, i.e. rates paid in a wrong time, are a typical example. It is generally tempting to replace the future unknown interest rates with the forward rates. We will show rigorously that indeed this is not possible in the case of Libor or swap rates in arrears. We will introduce formally the notion of plain vanilla derivatives as those that can be replicated by a finite set of elementary operations and show that derivatives involving the rates in arrears are not plain vanilla. We will also study the issue of valuation of such derivatives. Beside the popular convexity adjustment formula, we will develop an improved two or more variable adjustment formula applicable in particular on swap rates in arrears. Finally, we will get a precise fully analytical formula based on the usual assumption of log-normality of the relevant tradable underlying assets applicable to a wide class of convexity related derivatives. We will illustrate the techniques and different results on a case study of a real life controversial exotic swap.

show abstract

Inefficient Centralization of Imperfect Complements

Gregor

Gregorová²

2007

SSRN Journal

View full text Add to dashboard Cite

If local public goods exhibit spillovers and regions are sufficiently symmetric, decentralization implies underprovision, whereas cooperative centralization is associated with strict Pareto-improvement. This classic inference rests on two assumptions: local politicians are delegated sincerely and never provide voluntary transfers to the other regions. We abandon these assumptions in a setup of two symmetric regions with imperfect complementarity between local public goods. For this particular aggregation, non-cooperative decentralization can achieve the social optimum, whereas cooperative centralization cannot.

show abstract

Instrumental weighted variables under heteroscedasticity, Part I -- Consistency

Cited by 4 publications

References 60 publications

Statistical Method Selection Matters: Vanilla Methods in Regression May Yield Misleading Results

Statistical Method Selection Matters: Vanilla Methods in Regression May Yield Misleading Results

Valuation of Convexity Related Derivatives

Inefficient Centralization of Imperfect Complements

Contact Info

Product

Resources

About