infonet-economy

Confirmatory factor analysis (CFA) is a data analysis procedure that is widely used in social and behavioral sciences in general and other applied sciences that deal with large quantities of data (variables). The underlying model links a set latent factors, that are supposed to correspond to latent concepts, to a larger set of observed (manifest) variables through linear regression...

The higher–order robustness for M–estimators is introduced and defined. The conditions needed to ensure higher stability of the asymptotic bias are provided by refining the Von Mises bias expansion. Admissible M–estimators featuring second–order robustness are thus introduced. Then, a saddle-point argument is applied in order to approximate the finite sample distribution of second–...

We approach parameter estimation based on power-divergence using Havrda-Charvat generalized entropy. Unlike other robust estimators relying on divergence measures, the procedure is fully parametric and avoids complications related to bandwidth selection. Hence, it allows for the treatment of multivariate distributions. The parameter estimator is indexed by a single constant q,...

We analyze the impacts of alternative submarket definitions when predicting house prices in a mass appraisal context, using both ordinary least squares (OLS) and geostatistical techniques. For this purpose, we use over 13,000 housing transactions for Louisville, Kentucky. We use districts defined by the local property tax assessment office as well as a classification of census tracts...

The existence of changing correlation structures needs to be taken into account when modelling an asset allocation situation. DEVA + (Dynamic Expectation Variance Analysis) is a multiperiod stochastic optimization approach to identify the optimal tactic and strategic asset allocation. The identified allocation strategies are efficient in a multiperiod context, i.e...

This paper shows how a mean variance criterion can be applied to a multi period setting in order to obtain efficient portfolios in an asset and liability context. The optimization model allows for rebalancing activities, transaction costs, stochastic volatilities for both assets and liabilities. Furthermore, a general framework for the projection of pension fund liabilities as well...

This paper compares alternative methods of controlling for the spatial dependence of house prices in a mass appraisal context. Explicit modeling of the error structure is characterized as a relatively fluid approach to defining housing submarkets. This approach allows the relevant submarket to vary from house to house and for transactions involving other dwellings in each submarket...