Essays on Model Specification Tests and on Binary Response Models

Download or read book Essays on Model Specification Tests and on Binary Response Models written by Xiangjin Shen and published by . This book was released on 2013 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays evaluating model selection criteria in both sampling theory and Bayesian analysis. In chapter one, I compare the Bayesian model selection criteria (DIC, PDIC and MSEF) and the conditional Kolmogorov test for the spot asset pricing models (Vasicek and CIR models); MCMC and block Bootstrap methods are applied. In chapter two, I compare parametric and semiparametric methods for the binary response models. The comparison is made by model specifications, ROC area, and marginal effects. Monte Carlo simulation, quasi-maximum likelihood and kernel density methods are applied. In chapter three, I compare two bandwidths of the kernel density: the standard bandwidth and computationally optimized bandwidth. The computationally optimized bandwidth is obtained by using the graphic processing unit (GPU) that shortens the computational time.