Stability Of Regression Models

Business & Finance, Economics, Econometrics
Cover of the book Stability Of Regression Models by Ngoc Luan Ho Trieu, QesInvAcc
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Ngoc Luan Ho Trieu ISBN: 9781642551860
Publisher: QesInvAcc Publication: March 15, 2018
Imprint: Language: English
Author: Ngoc Luan Ho Trieu
ISBN: 9781642551860
Publisher: QesInvAcc
Publication: March 15, 2018
Imprint:
Language: English

This book begins with a discussion of the danger of model instability which has received scant attention in the assessment of regression models; this leads to their frequent unsatisfactory performance when used in forecasting or in prediction. A main reason is a well specified regression model with statistically significant parameter estimates of relevant variables can still suffer from structural instability which comes from two sources: (i) a statistical source due to measurement error and variation in the bias due to unknown or known but unexpected exogenous factors, and (ii) the numerical source due to the ill condition of the data matrix. The two sources can jointly amplify the destabilizing force on the parameter estimates, then the model predictions or forecasts. This book exposes major tests for detecting instability of regression models with sufficient discussion and guidance to help the reader select the appropriate tests and apply them. An illustrative example provides a step by step guidance on how to implement those tests in TROLL, the econometric package produced by the MIT (USA). The book is prepared by Ngoc Luan Ho Trieu who holds a Bachelor of Economics and a Bachelor of Art from the University Of Western Australia; and his post-graduate qualifications include a Graduate Diploma in Economics, a Graduate Diploma in Econometrics, and a Master of Economics of Development (Australian National University).

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

This book begins with a discussion of the danger of model instability which has received scant attention in the assessment of regression models; this leads to their frequent unsatisfactory performance when used in forecasting or in prediction. A main reason is a well specified regression model with statistically significant parameter estimates of relevant variables can still suffer from structural instability which comes from two sources: (i) a statistical source due to measurement error and variation in the bias due to unknown or known but unexpected exogenous factors, and (ii) the numerical source due to the ill condition of the data matrix. The two sources can jointly amplify the destabilizing force on the parameter estimates, then the model predictions or forecasts. This book exposes major tests for detecting instability of regression models with sufficient discussion and guidance to help the reader select the appropriate tests and apply them. An illustrative example provides a step by step guidance on how to implement those tests in TROLL, the econometric package produced by the MIT (USA). The book is prepared by Ngoc Luan Ho Trieu who holds a Bachelor of Economics and a Bachelor of Art from the University Of Western Australia; and his post-graduate qualifications include a Graduate Diploma in Economics, a Graduate Diploma in Econometrics, and a Master of Economics of Development (Australian National University).

More books from Econometrics

Cover of the book Handbook in Monte Carlo Simulation by Ngoc Luan Ho Trieu
Cover of the book Analyzing Financial Data and Implementing Financial Models Using R by Ngoc Luan Ho Trieu
Cover of the book Bayesian Inference in the Social Sciences by Ngoc Luan Ho Trieu
Cover of the book Bayesian Model Comparison by Ngoc Luan Ho Trieu
Cover of the book Intellektuelles Kapital von Personen und Standorten by Ngoc Luan Ho Trieu
Cover of the book Empirical Economic and Financial Research by Ngoc Luan Ho Trieu
Cover of the book Game Theory by Ngoc Luan Ho Trieu
Cover of the book Explaining Games by Ngoc Luan Ho Trieu
Cover of the book Financial Valuation and Econometrics by Ngoc Luan Ho Trieu
Cover of the book Limited-Dependent and Qualitative Variables in Econometrics by Ngoc Luan Ho Trieu
Cover of the book Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration by Ngoc Luan Ho Trieu
Cover of the book Economic Models for Policy Making by Ngoc Luan Ho Trieu
Cover of the book The Richest Man in Babylon by Ngoc Luan Ho Trieu
Cover of the book Innovations in Public Leadership Development by Ngoc Luan Ho Trieu
Cover of the book Multiple Criteria Decision Analysis by Ngoc Luan Ho Trieu
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy