Search Results

Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts,
David Hendry and Michael Clements, from University of Oxford, Department of Economics (2010)
Keywords: Economic forecasting, Location shifts, Mis-specified models, Robust forecasts

Bootstrap inference for misspecified moment condition models,
Mihai Giurcanu and Brett Presnell, in Annals of the Institute of Statistical Mathematics (2018)
Keywords: GMM inference, Standard-bootstrap, Centered-bootstrap, Empirical-likelihood bootstrap, Edgeworth expansions, Misspecified models

Asymptotic behavior of Bayesian learners with misspecified models,
Ignacio Esponda, Demian Pouzo and Yuichi Yamamoto, in Journal of Economic Theory (2021)
Keywords: Bayesian learning; Misspecified models; Asymptotic behavior; Differential inclusion; Berk-Nash equilibrium;

Inconsistency of the misspecified proportional hazards model,
Terence J. O'neill, in Statistics & Probability Letters (1986)
Keywords: misspecified proportional hazards survival data

Active learning with a misspecified prior,
Drew Fudenberg, Gleb Romanyuk and Philipp Strack, in Theoretical Economics (2017)
Keywords: Active learning, learning in games, mis-specified models

Deviance information criterion for latent variable models and misspecified models,
Yong Li, Jun Yu and Tao Zeng, in Journal of Econometrics (2020)
Keywords: AIC; TIC; DIC; Latent variable models; Misspecified models; Markov chain Monte Carlo;

Equilibrium in misspecified Markov decision processes,
Ignacio Esponda and Demian Pouzo, in Theoretical Economics (2021)
Keywords: Misspecified model, Markov decision process, equilibrium

Learning from ambiguous and misspecified models,
Massimo Marinacci and Filippo Massari, in Journal of Mathematical Economics (2019)
Keywords: Ambiguity; Learning; Robust statistical decisions; Misspecified learning;

Stability and Robustness in Misspecified Learning Models,
Mira Frick, Ryota Iijima and Yuhta Ishii, from Cowles Foundation for Research in Economics, Yale University (2020)
Keywords: Misspecified learning, Stability, Robustness, Berk-Nash equilibrium

Misspecified diffusion models with high-frequency observations and an application to neural networks,
Teppei Ogihara, in Stochastic Processes and their Applications (2021)
Keywords: Diffusion processes; High-frequency data; Market microstructure noise; Maximum-likelihood-type estimation; Misspecified model; Neural network;

Selection tests for possibly misspecified hierarchical multinomial marginal models,
Roberto Colombi, in Econometrics and Statistics (2020)
Keywords: Contingency tables; Marginal models for categorical data; Misspecified models; Model selection; Maximum likelihood estimation; Quadratic forms in normal variables;

A multi-agent model of misspecified learning with overconfidence,
Cuimin Ba and Alice Gindin, in Games and Economic Behavior (2023)
Keywords: Overconfidence; Misspecified learning; Multiple agents; Informational externalities;

Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models,
Yuma Uehara, in Stochastic Processes and their Applications (2019)
Keywords: Lévy driven stochastic differential equation; Misspecified model; Gaussian quasi-likelihood estimation; Extended Poisson equation; High-frequency sampling; Stepwise estimation;

Issues in the estimation of mis-specified models of fractionally integrated processes,
Gael M. Martin, K. Nadarajah and Donald Poskitt, in Journal of Econometrics (2020)
Keywords: Long memory models; ARFIMA; Pseudo-true parameter; Frequency domain estimators; Time domain estimators; Mis-specified short memory dynamics;

Likelihood-based tests for a class of misspecified finite mixture models for ordinal categorical data,
Roberto Colombi and Sabrina Giordano, in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research (2019)
Keywords: Misspecified models, Marginal models, Likelihood ratio tests, Weighted sum of Chi-squares

Misspecified Mean Function Regression,
Richard Berk, Lawrence Brown, Andreas Buja, Edward George, Emil Pitkin, Kai Zhang and Linda Zhao, in Sociological Methods & Research (2014)
Keywords: random predictors; linear models; model misspecification; regression models; misspecified mean function regression

Robustness of binary choice models to conditional heteroscedasticity,
Tim Ginker and Offer Lieberman, in Economics Letters (2017)
Keywords: Conditional heteroscedasticity; Misspecified models; Probit;

Sellers with Misspecified Models,
Kristóf Madarász and Andrea Prat, in The Review of Economic Studies (2017)
Keywords: Model uncertainty, Robustness, Complexity, Mechanism design

Sellers with misspecified models,
Kristóf Madarász and Andrea Prat, from London School of Economics and Political Science, LSE Library (2017)
Keywords: model uncertainty; robustness; complexity; mechanism design

Testing for Time-Varying Properties Under Misspecified Conditional Mean and Variance,
Daiki Maki and Yasushi Ota, in Computational Economics (2021)
Keywords: Time-varying properties, Mean, Variance, Misspecified models, Size distortions

Fourier methods for model selection,
M. Jiménez-Gamero, A. Batsidis and M. Alba-Fernández, in Annals of the Institute of Statistical Mathematics (2016)
Keywords: Empirical characteristic function, Model selection , Misspecified models,

WEAK EXOGENEITY IN MISSPECIFIED SEQUENTIAL MODELS,
Mark Steel, from Tilburg - Center for Economic Research (1989)
Keywords: statistical analysis ; econometric models

Forecasting and Signal Extraction with Misspecified Models,
Tommaso Proietti, from University Library of Munich, Germany (2004)
Keywords: Business cycles, Unobserved components models, Cross- validation, Smoothing, Hodrick-Prescott filter, Multistep estimation.

On Bayesian estimators in misspecified change-point problems for Poisson process,
Ali S. Dabye, Christian Farinetto and Yury A. Kutoyants, in Statistics & Probability Letters (2003)
Keywords: Inhomogeneous Poisson process Change-point type problem Parameter estimation Misspecified model Bayesian estimator Consistency Limit distribution

A global consistency result for the two-dimensional Pareto distribution in the presence of misspecified inflation,
Peter Grandits and Grigory Temnov, in Finance and Stochastics (2010)
Keywords: ML estimation, Global consistency, Pareto distribution, Misspecified model, Inflation, 62F12, 91B70, C60,

Persuasion with endogenous misspecified beliefs,
Kfir Eliaz, Ran Spiegler and Heidi C. Thysen, in European Economic Review (2021)
Keywords: Persuasion; Misspecified beliefs; Non-rational expectations;

Persuasion with endogenous misspecified beliefs,
Kfir Eliaz, Ran Spiegler and Heidi C. Thysen, from London School of Economics and Political Science, LSE Library (2021)
Keywords: misspecified beliefs; non-rational expectations; persuasion

LEARNING IN MIS-SPECIFIED MODELS AND THE POSSIBILITY OF CYCLES,
Yaw Nyarko, from C.V. Starr Center for Applied Economics, New York University (1990)
Keywords: economic models ; monopolies ; linear models ; econometrics

Monetary policy analysis with potentially misspecified models,
Marco Del Negro and Frank Schorfheide, from European Central Bank (2005)
Keywords: Bayesian analysis, DSGE models, model misspecification

Learning with Heterogeneous Misspecified Models: Characterization and Robustness,
Aislinn Bohren and Daniel Hauser, from C.E.P.R. Discussion Papers (2017)
Keywords: Model misspecification; Social learning

Some remarks on general linear model with new regressors,
Changli Lu, Shengjun Gan and Yongge Tian, in Statistics & Probability Letters (2015)
Keywords: Linear model; Misspecified model; Parametric functions; New regressors; BLUE;

Estimation of mis-specified long memory models,
Willa Chen and Rohit Deo, from University Library of Munich, Germany (2005)
Keywords: long memory, model mis-specification

Omitted Variables and Misspecified Disturbances in the Logit Model,
Jan Cramer, from Tinbergen Institute (2005)
Keywords: logit model; omitted variables; misspecification

Simple, Efficient Estimators of Treatment Effects in Randomized Trials Using Generalized Linear Models to Leverage Baseline Variables,
Rosenblum Michael and J. van der Laan Mark, in The International Journal of Biostatistics (2010)
Keywords: misspecified model, targeted maximum likelihood, generalized linear model, Poisson regression

TESTING HYPOTHESES ABOUT REGRESSION COEFFICIENTS IN MISSPECIFIED MODELS,
D.K. Bhattacharyya and Jan Kmenta, from Michigan - Center for Research on Economic & Social Theory (1989)
Keywords: regression analysis ; economic models ; independent variables

Multi-Player Bayesian Learning with Misspecified Models,
Takeshi Murooka and Yuichi Yamamoto, from Osaka School of International Public Policy, Osaka University (2021)
Keywords: model misspecification, learning, convergence, overconfidence, bias transmission

Some properties of misspecified additive hazards models,
Satoshi Hattori, in Statistics & Probability Letters (2006)
Keywords: Additive hazards model Covariate adjustment Misspecification Randomized clinical trial

Assessing model adequacy in possibly misspecified quantile regression,
Hohsuk Noh, Anouar El Ghouch and Ingrid Van Keilegom, in Computational Statistics & Data Analysis (2013)
Keywords: Coefficient of determination; Conditional quantiles; Lack-of-fit; Linear model; Prediction quality;

The Bayes estimator in a misspecified linear regression model,
G. Trenkler and L. Wei, in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research (1996)
Keywords: Linear Regression Model, Misspecification, Optimal Bayes Estimator, Admissibility, Prediction,

Monetary policy analysis with potentially misspecified models,
Marco Del Negro and Frank Schorfheide, from Federal Reserve Bank of New York (2008)
Keywords: time series analysis; Econometric models; Monetary policy; Stochastic analysis

ABC-based forecasting in misspecified state space models,
Chaya Weerasinghe, Rubén Loaiza-Maya, Gael M. Martin and David T. Frazier, in International Journal of Forecasting (2025)
Keywords: Approximate Bayesian computation; Auxiliary model; Loss-based prediction; Focused Bayesian prediction; Proper scoring rules; Stochastic volatility model;

Minimum [phi]-divergence estimation in misspecified multinomial models,
M.D. Jiménez-Gamero, R. Pino-Mejías, V. Alba-Fernández and J.L. Moreno-Rebollo, in Computational Statistics & Data Analysis (2011)
Keywords: Minimum phi-divergence estimator Consistency Asymptotic normality Goodness-of-fit Bootstrap distribution estimator Model selection

Creating Misspecified Models in Moment Structure Analysis,
Keke Lai, in Psychometrika (2019)
Keywords: Monte Carlo experiments, model misspecification, moment structure analysis, multiple group analysis

The Impacts of Misspecified Spatial Interaction in Linear Regression Models,
Raymond Florax and Serge Rey, from Springer (1995)
Keywords: Mean Square Error, Ordinary Little Square, Weight Matrix, Spatial Dependence, Linear Regression Model

A Class of Behavioral Models for the Profit-Maximizing Firm,
Philippe Choné and Laurent Linnemer, from CESifo (2022)
Keywords: behavioural model of a firm, misspecified profit function, fixed costs

Data-Driven Model Evaluation: A Test for Revealed Performance,
Jeffrey Racine and Christopher Parmeter, from McMaster University (2012)
Keywords: approximate, misspecified, model selection, predictive accuracy, data mining

In-sample Inference and Forecasting in Misspecified Factor Models,
Barbara Rossi and Marine Carrasco, from C.E.P.R. Discussion Papers (2016)
Keywords: Forecasting; Regularization methods; Factor models; Ridge; Partial least squares; Principal components; Sparsity; Large datasets; Variable selection; Gdp forecasts

In-sample inference and forecasting in misspecified factor models,
Marine Carrasco and Barbara Rossi, from Department of Economics and Business, Universitat Pompeu Fabra (2016)
Keywords: Forecasting, regularization methods, factor models, Ridge, partial least squares, principal components, sparsity, large datasets, variable selection, GDP forecasts, inflation forecasts

Dimension reduction-based adaptive-to-model semi-supervised classification,
Xuehu Zhu, Rongzhu Zhao, Dan Zeng, Qian Zhao and Jun Zhang, in Statistical Papers (2024)
Keywords: Sufficient dimension reduction, Model misspecified, Semi-supervised learning

ON THE IMPACT OF HIDDEN TRENDS FOR A COMPOUND POISSON MODEL WITH PARETO-TYPE CLAIMS,
Peter Grandits, Reinhold Kainhofer and Grigory Temnov, in International Journal of Theoretical and Applied Finance (IJTAF) (2010)
Keywords: ML estimation, consistency, pareto distribution, mis-specified models, trends

Large sample properties of the three-step euclidean likelihood estimators under model misspecification,
Prosper Dovonon, from University Library of Munich, Germany (2010)
Keywords: Misspecified models, Empirical likelihood, Three-step Euclidean likelihood

Belief Convergence under Misspecified Learning: A Martingale Approach,
Mira Frick, Ryota Iijima and Yuhta Ishii, from Cowles Foundation for Research in Economics, Yale University (2022)
Keywords: Misspecified learning, Stability, Robustness, Berk-Nash equilibrium

Belief Convergence under Misspecified Learning: A Martingale Approach,
Mira Frick, Ryota Iijima and Yuhta Ishii, from Cowles Foundation for Research in Economics, Yale University (2021)
Keywords: Misspecified learning, Stability, Robustness, Berk-Nash equilibrium

Belief Convergence under Misspecified Learning: A Martingale Approach,
Mira Frick, Ryota Iijima and Yuhta Ishii, from Cowles Foundation for Research in Economics, Yale University (2021)
Keywords: Misspecified learning, Stability, Robustness, Berk-Nash equilibrium

Large-scale model selection in misspecified generalized linear models,
Emre Demirkaya, Yang Feng, Pallavi Basu and Jinchi Lv, in Biometrika (2022)
Keywords: Bayesian principle, Big data, High dimensionality, Kullback–Leibler divergence, Model misspecification, Model selection, Robustness

How costly is a misspecified credit channel DSGE model in monetary policymaking?,
Takeshi Yagihashi, in Economic Modelling (2018)
Keywords: DSGE model; Financial accelerator model; Credit market friction;

Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models,
Valentina Corradi and Norman Swanson, from Federal Reserve Bank of Philadelphia (2009)
Keywords: Econometric models - Evaluation; Stochastic analysis

On the detectability of different forms of interaction in regression models,
Juxin Liu and Paul Gustafson, in Metrika: International Journal for Theoretical and Applied Statistics (2012)
Keywords: Interaction, Misspecified model, Score function, Wald test-statistic, Pairwise interaction models, Diffuse interaction models,

Some properties of linear sufficiency and the BLUPs in the linear mixed model,
S. J. Haslett, X. Q. Liu, A. Markiewicz and S. Puntanen, in Statistical Papers (2020)
Keywords: Best linear unbiased estimator, Best linear unbiased predictor, Linear mixed model, Linear model, Misspecified model

The Impact of Misspecified Random Effect Distribution in a Weibull Regression Mixed Model,
Freddy Hernández and Viviana Giampaoli, in Stats (2018)
Keywords: misspecification; random effects; mixed models; Weibull regression

Asymptotic analysis of the squared estimation error in misspecified factor models,
Alexei Onatski, in Journal of Econometrics (2015)
Keywords: Misspecification; Factor model; Number of factors; Loss efficiency;

Forecasting the Term Structure of Interest Rates with Potentially Misspecified Models,
Yunjong Eo and Kyu Ho Kang, from University of Sydney, School of Economics (2016)
Keywords: Model combination; Bayesian MCMC method; Markov switching process; Dynamic Nelson-Siegel; Affine term structure model

Bayesian Estimation of a Possibly Mis-Specified Linear Regression Model,
David Giles, from Department of Economics, University of Victoria (2010)
Keywords: Bayes estimator, regression model, linear restrictions, model mis-specification, bias, matrix mean squared error

A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities,
Demian Pouzo, Zacharias Psaradakis and Martin Sola, from Universidad Torcuato Di Tella (2023)
Keywords: Consistency; covariate-dependent transition probabilities; hidden Markov model; mixture model; quasi-maximum-likelihood; misspecified model.

On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities,
Demian Pouzo, Zacharias Psaradakis and Martin Sola, from Universidad Torcuato Di Tella (2024)
Keywords: Consistency; covariate-dependent transition probabilities; hidden Markov model; mixture model; quasi-maximum-likelihood; misspecified model.

A Note on Quasi-Maximum-Likelihood Estimation in Hidden Markov Models with Covariate-Dependent Transition Probabilities,
Demian Pouzo, Zacharias Psaradakis and Martin Sola, from Red Nacional de Investigadores en Economía (RedNIE) (2023)
Keywords: Consistency; covariate-dependent transition probabilities; hidden Markov model; mixture model; quasi-maximum-likelihood; misspecified model

Economic modelling of energy services: Rectifying misspecified energy demand functions,
Lester Hunt and David Ryan, in Energy Economics (2015)
Keywords: Modelling demands for energy services; Energy efficiency; Energy demand function misspecification;

Consistent estimation of drift parameter in diffusion model with misspecified volatility function,
Minsoo Jeong, in Economics Letters (2022)
Keywords: Diffusion model; Drift and diffusion functions; Misspecification; Consistency; Maximum likelihood estimation;

Economic Modelling of Energy Services: Rectifying Misspecified Energy Demand Functions,
Lester Hunt and David Ryan, from Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey (2014)
Keywords: Modelling Energy Services Demand, Energy Efficiency, Energy Demand Function Misspecification.

Is it alpha or beta? Decomposing hedge fund returns when models are misspecified,
David Ardia, Laurent Barras, Patrick Gagliardini and Olivier Scaillet, in Journal of Financial Economics (2024)
Keywords: Hedge fund returns; Alpha; Beta; Model misspecification; Large cross-section;

Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified,
David Ardia, Laurent Barras, Patrick Gagliardini and Olivier Scaillet, from Swiss Finance Institute (2023)
Keywords: Hedge fund returns, alpha, beta, model misspecification, large cross-section

A robust hazard ratio for general modeling of survival-times,
Martínez-Camblor Pablo, MacKenzie Todd A. and O’Malley A. James, in The International Journal of Biostatistics (2022)
Keywords: Cox regression model, hazard ratio, mis-specified model, omitted covariate, robust procedure

Estimation of Parameters in the Presence of Model misspecification and Measurement Error,
P.A.V.B. Swamy, George Tavlas, Stephen Hall and George Hondroyiannis, from Division of Economics, School of Business, University of Leicester (2008)
Keywords: Misspecified model; Correct interpretation of coefficients; Appropriate assumption; Time-varying coefficient model; Coefficient driver

Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification,
Xiaohong Chen and Yanqin Fan, from Vanderbilt University Department of Economics (2004)
Keywords: Multivariate dynamic models; Misspecified copulas; Multiple model selection; Semiparametric inference; Mixture copulas; t copula; Gaussian copula

Quantile estimation under possibly misspecified generalised linear model,
M. Séménou, in Statistics & Probability Letters (1996)
Keywords: Generalised linear model Maximum likelihood estimator Dose-response curves Quantile estimation

Assessing misspecified asset pricing models with empirical likelihood estimators,
Caio Almeida and René Garcia, in Journal of Econometrics (2012)
Keywords: Stochastic discount factor; Euler equations; Generalized minimum contrast estimators; Model misspecification; Cressie–Read discrepancies;

Optimal comparison of misspecified moment restriction models under a chosen measure of fit,
Vadim Marmer and Taisuke Otsu, in Journal of Econometrics (2012)
Keywords: Moment restriction; Model comparison; Misspecification; Generalized Neyman–Pearson optimality; Generalized method of moments;

Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit,
Vadim Marmer and Taisuke Otsu, from Vancouver School of Economics (2011)
Keywords: Moment restriction; Model comparison; Misspecification; Generalized Neyman-Pearson optimality; Empirical likelihood; GMM

Issues in the estimation of mis-specified models of fractionally integrated processes,
Gael Martin, K. Nadarajah and Donald Poskitt, from Monash University, Department of Econometrics and Business Statistics (2018)
Keywords: long memory models, pseudo-true parameter, frequency domain estimators, time domain estimators, Whittle, conditional sum of squares.

Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit,
Vadim Marmer and Taisuke Otsu, from Cowles Foundation for Research in Economics, Yale University (2011)
Keywords: Moment restriction, Model comparison, Misspecification, Generalized Neyman-Pearson optimality, Generalized method of moments

Belief Convergence under Misspecified Learning: A Martingale Approach,
Mira Frick, Ryota Iijima and Yuhta Ishii, in The Review of Economic Studies (2023)
Keywords: Misspecified learning, Belief convergence, Berk–Nash equilibrium, Slow learning

A Test for Comparing Multiple Misspecified Conditional Distributions,
Valentina Corradi and Norman Swanson, from Rutgers University, Department of Economics (2003)
Keywords: block bootstrap; conditional Kolmogorov test; data snooping; misspecified conditional distribution;

Normal versus Noncentral Chi-square Asymptotics of Misspecified Models,
So Yeon Chun and Alexander Shapiro, from University Library of Munich, Germany (2009)
Keywords: Model misspecification; covariance structure analysis; maximum likelihood; generalized least squares; discrepancy function; noncentral chi-square distribution; normal distribution; factor analysis

Model-based likelihood ratio confidence intervals for survival functions,
Sundarraman Subramanian, in Statistics & Probability Letters (2012)
Keywords: Gaussian process; Lagrange multiplier; Maximum likelihood estimate; Misspecified model; Semiparametric random censorship model;

Missing Survey Data in End-Use Energy Models: An Overlooked Problem,
David A. Swanson, in The Energy Journal (1986)
Keywords: End use energy demand models; Missing data; Misspecified models; biased forecasts

Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes,
K. Nadarajah, Gael Martin and Donald Poskitt, from Monash University, Department of Econometrics and Business Statistics (2014)
Keywords: nd phrases: bias, conditional sum of squares, frequency domain, long memory models, maximum likelihood, mean squared error, pseudo true parameter, time domain, Whittle.

AIC, Overfitting Principles, and the Boundedness of Moments of Inverse Matrices for Vector Autotregressions and Related Models,
David F. Findley and Ching-Zong Wei, in Journal of Multivariate Analysis (2002)
Keywords: model selection misspecified models principle of parsimony least squares matrices uniform Lipschitz condition elliptical distributions

Robust inference for the proportional hazards model with two-phase cohort sampling data,
Chanjuan Lin, Ming Zheng, Wen Yu and Mingzhe Wu, in Statistics & Probability Letters (2019)
Keywords: Case-cohort sampling; Cohort study; Inverse probability weighting; Misspecified Cox proportional hazards model;

Adjusting for confounding by cluster using generalized linear mixed models,
Babette A. Brumback, Amy B. Dailey, Lyndia C. Brumback, Melvin D. Livingston and Zhulin He, in Statistics & Probability Letters (2010)
Keywords: Model-based standardization Conditional likelihood Misspecified mixing distribution Prediction of random effects Causal inference

Estimation and model selection of semiparametric multivariate survival functions under general censorship,
Xiaohong Chen, Yanqin Fan, Demian Pouzo and Zhiliang Ying, in Journal of Econometrics (2010)
Keywords: Multivariate survival models Misspecified copulas Penalized pseudo-likelihood ratio Fixed or random censoring Kaplan-Meier estimator