Essays on Model Specification Tests and on Binary Response Models
Author | : Xiangjin Shen |
Publisher | : |
Total Pages | : 108 |
Release | : 2013 |
ISBN-10 | : OCLC:856979443 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
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.