Search Results

An Examination of the Effects of Parameter Misspecification,
Antje Dudenhausen and Lutz Schlögl, from University of Bonn, Bonn Graduate School of Economics (BGSE) (2002)
Keywords: Model misspecification, duplication of bonds, volatility mismatch, optimal selection of hedging instruments

Identifying the sources of model misspecification,
Atsushi Inoue, Chun-Hung Kuo and Barbara Rossi, in Journal of Monetary Economics (2020)
Keywords: Misspecification; DSGE models; Forecast error variance decomposition; Marginal likelihood;

Structured ambiguity and model misspecification,
Lars Hansen and Thomas Sargent, in Journal of Economic Theory (2022)
Keywords: Ambiguity; Misspecification; Relative entropy; Robustness; Variational preferences; Structured and unstructured models;

Behavioral Foundations of Model Misspecification,
J. Aislinn Bohren and Daniel Hauser, from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2024)
Keywords: Model misspecification, belief formation, learning, non-Bayesian updating, heuristics

Nonlinear Cointegration, Misspecification and Bimodality,
Marcelo Medeiros, Eduardo Mendes and Les Oxley, from Department of Economics PUC-Rio (Brazil) (2010)
Keywords: Cointegration, nonlinearity, bimodality, misspecification, instrumental variables, asymptotic theory.

A Note on Nonlinear Cointegration, Misspecification and Bimodality,
Marcelo Medeiros, E. Mendes and Les Oxley, from University of Canterbury, Department of Economics and Finance (2010)
Keywords: Cointegration; nonlinearity; bimodality; misspecification; asymptotic theory

Dealing with Misspecification in DSGE Models: A Survey,
Alessia Paccagnini, from University Library of Munich, Germany (2017)
Keywords: DSGE Models, Misspecification, Estimation, Bayesian Estimation

Panel AR(1) estimators under misspecification,
Ryo Okui, in Economics Letters (2008)
Keywords: Panel data GMM Sequential asymptotics Misspecification

Misspecification Preferred: The Sensitivity of Inefficiency Rankings,
Uwe Jensen, in Journal of Productivity Analysis (2005)
Keywords: inefficiency rankings, misspecification, parametric frontiers, sensitivity, simulation,

Fear of Model Misspecification and the Robustness Premium,
Konstantinos Angelopoulos and Jim Malley, from CESifo (2010)
Keywords: robustness premium, model misspecification, precautionary behavior

Higher order properties of the wild bootstrap under misspecification,
Patrick Kline and Andres Santos, in Journal of Econometrics (2012)
Keywords: Wild bootstrap; Misspecification; Edgeworth expansion;

Model Misspecification, Learning and the Exchange Rate Disconnect Puzzle,
Vivien Lewis and Agnieszka Markiewicz, from Ghent University, Faculty of Economics and Business Administration (2009)
Keywords: exchange rate, disconnect, misspecification, learning

Model Misspecification, Learning and the Exchange Rate Disconnect Puzzle,
Vivien Lewis and Agnieszka Markiewicz, in The B.E. Journal of Macroeconomics (2009)
Keywords: exchange rate, disconnect, misspecification, learning

Model misspecification, learning and the exchange rate disconnect puzzle,
Vivien Lewis and Agnieszka Markiewicz, from National Bank of Belgium (2009)
Keywords: exchange rate, disconnect, misspecification, learning

A simple spatial dependence test robust to local and distributional misspecifications,
Ying Fang, Sung Y. Park and Jinfeng Zhang, in Economics Letters (2014)
Keywords: Spatial dependence; Score test; Robust test; Distribution misspecification; Local misspecification;

Misspecification in event studies,
Joseph M. Marks and Jim Musumeci, in Journal of Corporate Finance (2017)
Keywords: Event study; Standardized abnormal return; Misspecification; Simulation; Patell test; BMP test;

Robust Control and Model Misspecification,
Lars Hansen and Thomas Sargent, from World Scientific Publishing Co. Pte. Ltd. (2014)
Keywords: Uncertainty, Economic Models, Econometrics, Dynamic Programming, Macroeconomics, Robustness, Robust Control Theory, Agents, Market Prices, Model Misspecification,

Dynamic Learning and Pricing with Model Misspecification,
Mila Nambiar, David Simchi-Levi and He Wang, in Management Science (2019)
Keywords: revenue management; pricing; endogeneity; model misspecification; fashion retail

Dealing with misspecification in structural macroeconometric models,
Fabio Canova and Christian Matthes, from C.E.P.R. Discussion Papers (2019)
Keywords: Model misspecification; Composite likelihood; Bayesian model averaging; Finite mixture

Higher-Order Misspecification and Equilibrium Stability,
Takeshi Murooka and Yuichi Yamamoto, from Osaka School of International Public Policy, Osaka University (2023)
Keywords: model misspecification, learning, unawareness, convergence, stability, inferential naivety, overconfidence

Misspecification in Linear Spatial Regression Models,
Raymond Florax and Peter Nijkamp, from Tinbergen Institute (2003)
Keywords: spatial econometrics; spatial autocorrelation; spatial heterogeneity; misspecification testing

Inflation in the 1970s in the U.S.: Misspecification, Learning and Sunspots,
Peter von zur Muehlen and Robert Tetlow, from Society for Computational Economics (2004)
Keywords: inflation, monetary policy, learning, misspecification, sunspots

A simple test of misspecification for linear asset pricing models,
Antoine Giannetti, in Financial Markets and Portfolio Management (2024)
Keywords: Asset pricing, Risk-premium, Model misspecification, Simulations

Market selection and learning under model misspecification,
Giulio Bottazzi, Daniele Giachini and Matteo Ottaviani, in Journal of Economic Dynamics and Control (2023)
Keywords: Learning; Market selection; Model misspecification; Financial markets;

JRULE: Stata module to detect model misspecifications in SEM,
Julian Aichholzer, from Boston College Department of Economics (2018)
Keywords: structural equation modeling; model fit; model misspecification

Indeterminacy, Misspecification and Forecastability: Good Luck in Bad Policy?,
Luca Fanelli and Marco Sorge, from Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2015)
Keywords: DSGE, Forecasting, Indeterminacy, Misspecification, VAR system

Market selection and learning under model misspecification,
Giulio Bottazzi, Daniele Giachini and Matteo Ottaviani, from Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy (2023)
Keywords: Learning; Market Selection; Model Misspecification; Financial Markets.

Structural Break Tests Robust to Regression Misspecification,
Alaa Abi Morshed, Elena Andreou and Otilia Boldea, in Econometrics (2018)
Keywords: structural change; sup Wald test; dynamic misspecification

Structural Break Tests Robust to Regression Misspecification,
Alaa Abi Morshed, E. Andreou and Otilia Boldea, from Tilburg University, Center for Economic Research (2016)
Keywords: structural change; sup Wald test; dynamic misspecification

Dynamic misspecification in nonparametric cointegrating regression,
Ioannis Kasparis and Peter Phillips, in Journal of Econometrics (2012)
Keywords: Dynamic misspecification; Functional regression; Integrable function; Integrated process; Linearity test; Local time; Misspecification; Mixed normality; Nonlinear cointegration; Nonparametric regression;

Dynamic Misspecification in Nonparametric Cointegrating Regression,
Ioannis Kasparis and Peter Phillips, from Cowles Foundation for Research in Economics, Yale University (2009)
Keywords: Dynamic misspecification, Functional regression, Integrable function, Integrated process, Local time, Misspecification, Mixed normality, Nonlinear cointegration, Nonparametric regression

Dynamic Misspecification in Nonparametric Cointegrating Regression,
Ioannis Kasparis and Peter Phillips, from University of Cyprus Department of Economics (2009)
Keywords: Dynamic misspecification, Functional regression, Integrable function, Integrated process, Local time, Misspecification, Mixed normality, Nonlinear cointegration, Nonparametric regression

Consistent Misspecification Testing in Spatial Autoregressive Models,
Jungyoon Lee, Peter Phillips and Francesca Rossi, from Cowles Foundation for Research in Economics, Yale University (2020)
Keywords: Conditional moment test, Misspecification test, Omnibus testing, Spatial AR, Weight matrix misspecification

Misspecified Bayesian Learning by Strategic Players: First-Order Misspecification and Higher-Order Misspecification,
Takeshi Murooka and Yuichi Yamamoto, from Osaka School of International Public Policy, Osaka University (2021)
Keywords: model misspecification, learning, convergence, overconfidence, bias transmission

Misspecification of noncausal order in autoregressive processes,
Christian Gourieroux and Joann Jasiak, in Journal of Econometrics (2018)
Keywords: Noncausal process; Misspecification; Binding function; Non-nested hypotheses; Indirect inference; Encompassing;

Model misspecification effects for biased samples,
George Tzavelas, Maria Douli and Polychronis Economou, in Metrika: International Journal for Theoretical and Applied Statistics (2017)
Keywords: Biased sampling, Weighted distribution, Misspecification, Complete family of distributions, Generalized gamma distribution

Mankiw's Puzzle on Consumer Durables: A Misspecification,
Tam Vu, from University of Hawaii at Manoa, Department of Economics (2005)
Keywords: utility function, multiplicative disturbance, nonlinear ARMA(8,1) process, stochastic depreciation, misspecification error

Modeling Model Misspecification in Structural Equation Models,
Alexander Robitzsch, in Stats (2023)
Keywords: model misspecification; model error; structural equation modeling; M-estimation

Nonparametric Estimation and Misspecification Testing of Diffusion Models,
Dennis Kristensen, from Department of Economics and Business Economics, Aarhus University (2007)
Keywords: Diffusion, fixed-time distance asymptotics, kernel estimation, misspecification test, nonparametric

A note on the relation between local power and robustness to misspecification,
Patrik Guggenberger, in Economics Letters (2012)
Keywords: Asymptotic size; Hypothesis testing; Local power; Model misspecification; Robustness;

Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators,
Seojeong Lee, in Journal of Econometrics (2016)
Keywords: Generalized empirical likelihood; Bootstrap; Asymptotic refinement; Model misspecification;

Nontruthful Position Auctions Are More Robust to Misspecification,
Paul Dütting, Felix Fischer and David C. Parkes, in Mathematics of Operations Research (2024)
Keywords: 91B26, position auction, sponsored search, model misspecification, robustness

Imputation Estimators Partially Correct for Model Misspecification,
Minin Vladimir N., O'Brien John D. and Seregin Arseni, in Statistical Applications in Genetics and Molecular Biology (2011)
Keywords: exponential family, imputation, incomplete observations, model misspecification, robustness

Testing for the omission of relevant variables and regime-switching misspecification,
Andrea Beccarini, in Empirical Economics (2019)
Keywords: Regime-switching estimator, Omitted variable bias, Quadratic form, Misspecification

THE ROBUSTNESS OF ESTIMATORS FOR DYNAMIC PANEL DATA MODELS TO MISSPECIFICATION,
Mark Harris, Weiping Kostenko, Laszlo Matyas and Isfaaq Timol, in The Singapore Economic Review (SER) (2009)
Keywords: Dynamic panel data, misspecification, IV/GMM estimation, C13, C15, C23

The sensitivity of nonparametric misspecification tests to disturbance autocorrelation,
Andrea Vaona, from USI Università della Svizzera italiana (2008)
Keywords: nonparametric misspecification tests, serial correlation, central bank communication.

The impact of covariance misspecification in risk-based portfolios,
David Ardia, Guido Bolliger, Kris Boudt and Jean-Philippe Gagnon-Fleury, in Annals of Operations Research (2017)
Keywords: Covariance misspecification, Monte Carlo study, Risk-based portfolios

Asymptotic Refinements of a Misspecification-Robust Bootstrap for GEL Estimators,
Seojeong Lee, from School of Economics, The University of New South Wales (2014)
Keywords: generalized empirical likelihood, bootstrap, asymptotic refinement, model misspecification

Inference for Iterated GMM Under Misspecification and Clustering,
Bruce Hansen and Seojeong Lee, from School of Economics, The University of New South Wales (2018)
Keywords: generalized method of moments, misspecification, clustering, robust inference, contraction mapping

Can a data-rich environment help identify the sources of model misspecification?,
Francesca Monti, from London School of Economics and Political Science, LSE Library (2015)
Keywords: DSGE Models; Model Misspecification; Bayesian Analysis

Can a data-rich environment help identify the sources of model misspecification?,
Francesca Monti, from Bank of England (2015)
Keywords: DSGE Models; Model Misspecification; Bayesian Analysis

A Simple Correction for Misspecification in Trend-Cycle Decompositions with an Application to Estimating r*,
James Morley, Trung Duc Tran and Benjamin Wong, from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University (2023)
Keywords: trend-cycle decomposition, misspecification, natural rate of interest

Can a data-rich environment help identify the sources of model misspecification?,
Francesca Monti, from Centre for Macroeconomics (CFM) (2015)
Keywords: DSGE Models, Model Misspecification, Bayesian Analysis

A new test for non-linear hypotheses under distributional and local parametric misspecification,
Bera Anil K., Doğan Osman and Taşpınar Süleyman, in Studies in Nonlinear Dynamics & Econometrics (2023)
Keywords: distributional misspecification, LM test, parametric misspecification, QMLE, Rao’s score test, robust LM test

An Averaging GMM Estimator Robust to Misspecification,
Ruoyao Shi and Zhipeng Liao, from University of California at Riverside, Department of Economics (2018)
Keywords: asymptotic risk, finite-sample risk, generalized shrinkage estimator, GMM, misspecification, model averaging, non-standard estimator, uniform approximation

Asymptotic Effect of Misspecification in the Random Part of the Multilevel Model,
Johannes Berkhof and Jarl Kennard Kampen, in Journal of Educational and Behavioral Statistics (2004)
Keywords: between-unit variance proportion; misspecification; moment estimation; multilevel model; random coefficient

Interpretation and Semiparametric Efficiency in Quantile Regression under Misspecification,
Ying-Ying Lee, in Econometrics (2015)
Keywords: semiparametric efficiency bounds; misspecification; conditional quantile function; conditional distribution function; best linear approximation

A misspecification test for logit based route choice models,
Tien Mai, Emma Frejinger and Fabian Bastin, in Economics of Transportation (2015)
Keywords: Route choice; Model misspecification testing; Information matrix test; Recursive logit; Path size logit; Link size;

Parametric bootstrap under model mis-specification,
H.Y. Kevin Lu and G. Alastair Young, in Computational Statistics & Data Analysis (2012)
Keywords: Asymptotic approximation; Model mis-specification; Non-parametric inference; Parametric bootstrap; Resampling; Signed root likelihood ratio statistic;

Misreaction or misspecification? A re-examination of volatility anomalies,
George J. Jiang and Yisong S. Tian, in Journal of Banking & Finance (2010)
Keywords: Volatility anomaly Model misspecification Market misreaction Model-free implied volatility Market efficiency

Binary choice models with discrete regressors: Identification and misspecification,
Tatiana Komarova, in Journal of Econometrics (2013)
Keywords: Binary response models; Discrete regressors; Partial identification; Misspecification; Linear programming; Support vector machines;

Misspecification tests for periodic long memory GARCH models,
Massimiliano Caporin and Francesco Lisi, in Statistical Methods & Applications (2010)
Keywords: Long memory, Generalized long memory GARCH models, PLM-GARCH models, Misspecification tests,

Generalized Information Matrix Tests for Detecting Model Misspecification,
Richard M. Golden, Steven S. Henley, Halbert White and T. Michael Kashner, in Econometrics (2016)
Keywords: asymptotic theory; Information Matrix Test; specification analysis; logistic regression; simulation study; information ratio; misspecification

Binary Choice Models with Discrete Regressors: Identification and Misspecification,
Tatiana Komarova, from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE (2012)
Keywords: Binary response models, Discrete regressors, Partial identification, Misspecification,Support vector machines

Misspecification of Causal and Noncausal Orders in Autoregressive Processes,
Christian Gourieroux and Joann Jasiak, from Center for Research in Economics and Statistics (2014)
Keywords: Noncausal Process, Misspecification, Binding Function, Indirect Inference, Speculative Bubbles, Stochastic Trend

Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification,
Valentina Corradi and Norman Swanson, from Rutgers University, Department of Economics (2003)
Keywords: block bootstrap; conditional distributions; conditional Kolmogorov tests; dynamic misspecification; parameter estimation error;

Correcting for Primary Study Misspecifications in Meta-Analysis,
Mark Koetse, Raymond Florax and Henri de Groot, from Tinbergen Institute (2013)
Keywords: Meta-analysis; Monte Carlo simulation; Omitted variable bias; Elasticities; Model Misspecification

Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions,
Antje Mahayni, in International Journal of Theoretical and Applied Finance (IJTAF) (2003)
Keywords: Hedging-strategies, superhedging, model misspecification, trading restrictions, change of measure

Detecting misspecification in the random-effects structure of cumulative logit models,
Kuo-Chin Lin and Yi-Ju Chen, in Computational Statistics & Data Analysis (2015)
Keywords: Generalized linear mixed models; Longitudinal ordinal data; Misspecification; Reconstructed data;

Generalized empirical likelihood specification test robust to local misspecification,
Haiqi Li, Rui Fan and Sung Y. Park, in Economics Letters (2018)
Keywords: Generalized empirical likelihood; Local misspecification; Robust specification test;

Technical efficiency and inefficiency: Reassurance of standard SFA models and a misspecification problem,
Subal Kumbhakar, Anatoly Peresetsky, Yevgenii Shchetynin and Alexey Zaytsev, from University Library of Munich, Germany (2020)
Keywords: Productivity and competitiveness, stochastic frontier analysis, model misspecification, efficiency, inefficiency

Tests for unbalanced error-components models under local misspecification,
Walter Sosa-Escudero and Anil K. Bera, in Stata Journal (2008)
Keywords: xttest1, error-components model, unbalanced panel data, testing, misspecification

Tests for Unbalanced Error Components Models Under Local Misspecification,
Walter Sosa Escudero and Anil K. Bera, from Universidad de San Andres, Departamento de Economia (2007)
Keywords: error components model, unbalanced panel data, testing, misspecification

Bias in dynamic panel models under time series misspecification,
Yoonseok Lee, in Journal of Econometrics (2012)
Keywords: Dynamic panel; Fixed effects; Misspecification; Bias reduction; Lag order;

Structural-break models under mis-specification: implications for forecasting,
Boonsoo Koo and Myung Hwan Seo, from Monash University, Department of Econometrics and Business Statistics (2013)
Keywords: structural breaks, forecasting, mis-specification, cube-root asymptotics, bagging

Structural-break models under mis-specification: implications for forecasting,
Boonsoo Koo and Myung Hwan Seo, from Monash University, Department of Econometrics and Business Statistics (2013)
Keywords: structural breaks, forecasting, mis-specification, cube-root asymptotics, bagging

Misspecification-robust inference in linear asset pricing models with irrelevant risk factors,
Nikolay Gospodinov, Raymond Kan and Cesare Robotti, from Federal Reserve Bank of Atlanta (2013)
Keywords: asset pricing models; lack of identification; model misspecification; GMM estimation

A Simple Spatial Dependence Test Robust to Local and Distributional Misspecifications,
Ying Fang, Sung Y. Park and Jinfeng Zhang, from Wang Yanan Institute for Studies in Economics (WISE), Xiamen University (2013)
Keywords: Spatial dependence; Score test; Robust test; Distribution misspecification;

Structural-break models under mis-specification: Implications for forecasting,
Bonsoo Koo and Myung Hwan Seo, in Journal of Econometrics (2015)
Keywords: Structural break; Forecasting; Mis-specification; Cube-root asymptotics;

Robust Test for Spatial Error Model:Considering Changes of Spatial Layouts and Distribution Misspecification,
Penghui Guo and Lihu Liu, from University Library of Munich, Germany (2012)
Keywords: LM test; Spatial Layouts; Distribution Misspecification; Robustness

Misspecification testing and robust estimation of the market model: estimating betas for the FT-SE industry baskets,
Terence Mills and J. Andrew Coutts, in The European Journal of Finance (1996)
Keywords: industry baskets, market model, misspecification, robust estimation,

CONFRONTING MODEL MISSPECIFICATION IN FINANCE: TRACTABLE COLLECTIONS OF SCENARIO PROBABILITY MEASURES FOR ROBUST FINANCIAL OPTIMIZATION PROBLEMS,
Craig Friedman, in International Journal of Theoretical and Applied Finance (IJTAF) (2002)
Keywords: Finance, model misspecification, robust optimization problems, entropy

Model Misspecification and Robustness of Observed-Score Test Equating Using Propensity Scores,
Gabriel Wallin and Marie Wiberg, in Journal of Educational and Behavioral Statistics (2023)
Keywords: test score equating; kernel equating; nonequivalent groups; propensity scores; model misspecification

Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions,
Antje Dudenhausen, from University of Bonn, Bonn Graduate School of Economics (BGSE) (2002)
Keywords: Incomplete markets, model misspecification, trading restrictions, hedging, super-hedging, martingale measure, duplication costs

Impact of market demand mis-specification on a two-level supply chain,
Takamichi Hosoda and Stephen M. Disney, in International Journal of Production Economics (2009)
Keywords: Order-up-to policy Base-stock policy Mis-specification Forecasting Box-Jenkins model

Mis-specification analysis of Wiener degradation models by using f-divergence with outliers,
Fode Zhang, Hon Keung Tony Ng and Yimin Shi, in Reliability Engineering and System Safety (2020)
Keywords: Degradation model; Mis-specification analysis; Contaminated data; Robust estimation; f-Divergence;

Measuring model misspecification: Application to propensity score methods with complex survey data,
David Lenis, Benjamin Ackerman and Elizabeth A. Stuart, in Computational Statistics & Data Analysis (2018)
Keywords: Model misspecification; Non-experimental study; Propensity score matching; Treatment on the treated weighting; Complex survey data; Causal inference;

The effect of mis-specification on mean and selection between the Weibull and lognormal models,
Xiang Jia, Saralees Nadarajah and Bo Guo, in Physica A: Statistical Mechanics and its Applications (2018)
Keywords: Lognormal mean; Mis-specification analysis; Model selection; Quasi-MLE; Weibull mean;

Geometry on degradation models and mis-specification analysis by using α-divergence,
Fode Zhang, Hon Keung Tony Ng and Yimin Shi, in Physica A: Statistical Mechanics and its Applications (2019)
Keywords: Information geometry; Amari–Chentsov structure; Degradation model; Tsallis statistics; Mis-specification analysis;

How yield process misspecification affects the solution of disassemble-to-order problems,
Karl Inderfurth, Stephanie Vogelgesang and Ian M. Langella, in International Journal of Production Economics (2015)
Keywords: Remanufacturing; Random yields; Disassemble-to-order problem; Binomial yields; Stochastically proportional yields; Yield misspecification;