A comparison between two indices obtained by MDF.
A Dual Approach for Matrix-Derivatives.
A dynamic factor model for economic time series
A model for credit scoring: an application of discriminant analysis.
The application of statistical techniques in decision making, and more specifically for classification requirements, has proved to be adequate in the context of financial problems. In this study, we present the methodology used and the results obtained in the elaboration of a decision-support system for credit assignment. The problem was to provide an automatic tool for a Spanish financial institution that needed to quantify and analyse credit applications from clients. Firstly, we shall present...
A multimodal beta distribution with application to economic data
Beta distributions are popular models for economic data. In this paper, a new multimodal beta distribution with bathtub shaped failure rate function is introduced. Various structural properties of this distribution are derived, including its cdf, moments, mean deviation about the mean, mean deviation about the median, entropy, asymptotic distribution of the extreme order statistics, maximum likelihood estimates and the Fisher information matrix. Finally, an application to consumer price indices...
Analyse des effets d'intervention sur les prévisions issues de modèles ARIMA
Asymptotische Verteilungen einiger Schätzverfahren bei Trend und Fehlern in den Variablen.
Atypical Employment Increasing The Flexibility Of An Organization. A Study Of Greek Manufacturing And Services
Bayesian analysis of structural change in a distributed Lag Model (Koyck Scheme)
Structural change for the Koyck Distributed Lag Model is analyzed through the Bayesian approach. The posterior distribution of the break point is derived with the use of the normal-gamma prior density and the break point, ν, is estimated by the value that attains the Highest Posterior Probability (HPP). Simulation study is done using R. Given the parameter values ϕ = 0.2 and λ = 0.3, the full detection of the structural change when σ² = 1 is generally attained at ν + 1. The after...
Bemerkungen zur Saisonbereinigung von ökonomischen Zeitreihen
Comparaison de tendance centrale par l'analyse de transferts
La différence de tendance centrale entre deux distributions sur un ensemble fini est représentée par une série de transferts entre les modalités. Un modèle unique est proposé qui permet d'analyser ces différences pour des variables nominales, ordinales ou métriques aussi bien que pour les variables numériques. En particulier on définit un indice de différence entre les distributions qui se ramène à l'indice de distorsion de Gini dans le cas d'une variable nominale et à la différence entre les moyennes...
Comportamiento de los contrastes ADF, PP y KPSS al trabajar con series ajustadas de estacionalidad.
En este trabajo se analiza el comportamiento de los tests de raíces unitarias cuando se utilizan los componentes ciclo-tendencia obtenidos a partir de procedimientos de extracción de señales en lugar de utilizar las series originales. Adicionalmente se intenta detectar las causas finales de los efectos perniciosos observados. Los procedimientos de extracción de señales analizados son el basado en modelos ARIMA y el filtro de líneas aéreas modificado. Un ejercicio de simulación nos permite concluir...
Conditions for the Optimality of Exponential Smoothing Forecast Procedures.
Die asymptotische Verteilung des Prognosefehlers bei Prognosen mit Hilfe eines dynamischen ökonometrischen Modells höherer als erster Ordnung .
Die Nichtkonsistenz der M.-L. Schätzer im Â?Switching Regression" Problem.
Distributions de type paretien et représentation des inégalités
Dreistufige kleinste Quadrate - einige numerische Ergebnisse.
Econometric modeling at mixed frequencies.
Einige Bemerkungen zu einem Beitrag zur Zeitreihenanalyse von - Schips, B.; Stier, W..
Estimating from cross-sectional categorical data subject to misclassification and double sampling: moment-based, maximum likelihood and quasi-likelihood approaches.