TOPICS

Econometrics

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/main_gallery/images//p1ashujsbjl351h2fnm058d72mr.jpg
Applied Research

Predicting Full Retirement Attainment of NBA Players

The aim of this analysis is to predict whether an NBA player will be active in the league for at least 10 years so as to be qualified for NBA’s full retirement scheme which allows for the maximum benefit payable by law. We collected per game statistics for players during their second year, drafted during the years 1999 up to 2006, for which information on their career longetivity is known. By feeding these statistics of the sophomore players into statistical and machine learning algorithms we select the important statistics and manage to accomplish a satisfactory predictability performance. Further, we visualize the effect of each of the selected statistics on the estimated probability of staying in the league for more than 10 years

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/662/images//p1b58njelqupajveu9410c417924.jpg
Data Analytics

Testing the Linearity of a Time Series

This letter proposes a simple test for the linearity of a time series. We compare the small and large samples properties of the suggested test via Monte Carlo techniques with well known time domain linearity tests. Our results suggest that the suggested test over performs the power of the other competitive tests in small samples.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/683/images//p1b5gjarlk1ik81uav1bm7pl37he4.jpg
Data Analytics

Temporal Aggregation and Systematic Sampling Effects on Non Linear Granger Causality Tests between Trade Volume and Returns. Some Monte Carlo and Empirical Results from the Athens Stocks Exchange.

In this paper we investigate the effects of temporal aggregation and systematic sampling using some well known linear and nonlinear Granger causality tests.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/682/images//p1b5gir5mimgj1ochnet182jm7v4.jpg
Data Analytics

Temporal Aggregation and the Ramsey's Test for Functional Form: Results from Empirical and Monte Carlo experiment

This short paper demonstrates that the use of temporally aggregated data may affect the power and the size of the well known the Ramsey's (1969) RESET test.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/684/images//p1b5gjqnfo1sai1r1si141e181lvp4.jpg
Data Analytics

Non-Linear Diachronic Interaction Between the Advance/Decline Ratio Index and the Returns of the Market's General Index: Empirical Evidence from the Athens Stock Exchange

This paper examines the existence of a linear or nonlinear interaction between the Advance/Decline ratio index and the returns of the Athens General Index.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/712/images//p1b61gp0g312921mdc1fvt1j491n374.jpg
Applied Research

Evaluation of the Diachronic Performance of the OECD Macroeconomic Forecasts for Greece

A variety of standard forecasting accuracy criteria and one suggestion are applied to evaluate the OECD's macroeconomic forecasts for Greece for the aggregate demand and output, the GDP implicit price deflator, the investment, the imports and the exports of goods and services.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/730/images//p1b76709mb155k2fa1t6q1r5e1oo44.jpg
Data Analytics

Forecasting Mortality Rate Using a Neural Network with Fuzzy Inference System

Various methods have been developed to improve mortality forecasts. The authors proposed a neuro-fuzzy model to forecast the mortality. The forecasting of mortality is curried out by an ANFIS model which uses a first order Sugeno-type FIS.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/747/images//p1b7691vir1tr71ldq1qiu15d1tsu4.jpg
Data Analytics

Forecasting Unemployment Rate Using a Neural Network with Fuzzy Inference System

The paper presents a new technique in the field of unemployment modeling in order to forecast unemployment index. Techniques from the Artificial Neural Networks and from fuzzy logic have been combined to generate a neuro-fuzzy model.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/745/images//p1b76hgordt7g17f64dda6g12s44.jpg
Data Analytics

A Note on Missing Data Effects on the Hausman (1978) Simultaneity Test: Some Monte Carlo Results.

This short paper demonstrates the effects of using missing data on the power of the well-known Hausman (1978) test for simultaneity in structural econometric models.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/746/images//p1b7jakgv210pgig11aiscae87j4.jpg
Data Analytics

Temporal Aggregation Effects in Choosing the Optimal Lag Order in Stable ARMA Models: Some Monte Carlo Results

A crucial aspect of empirical research based on ARIMA(p,q) model is the choice of the appropriate lag order. Several criteria have been used in order to identify the appropriate order of a ARIMA(p,q) process. In this paper we investigate the effects of using a variation of selection criteria under different temporal aggregation levels.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/749/images//p1b7jlt1qsj364h41arp80u1qao4.jpg
Data Analytics

Testing the Linearity of a Time Series. Some Monte-Carlo and Empirical Tests

This letter proposes a simple test for the linearity of a time series. We compare the small and large samples properties of the suggested test via Monte Carlo techniques with well known time domain linearity tests.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/758/images//p1b7m3r8hu1vgc10s1dmo1sqncg64.jpg
Theory

Marginal Comparisons with the Best and the Efficiency Measurment Problem

In this paper we are interested in the problem of comparisons with the best population. One case where comparisons with the best arise naturally is the measurement of productive efficiency.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/759/images//p1b7m5v4q415pq1r191h142km8sk4.jpg
Theory

On the Accuracy of Bootstrap Confidence Intervals for Efficiency Levels in Stochastic Frontier Models with Panel Data

We study the construction of confidence intervals for efficiency levels of individual firms in stochastic frontier models with panel data.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/757/images//p1b7m5hnfb1ume7vjsgr13a6bbk4.jpg
Theory

Panel Data Models with Multiple Time-Varying Individual Effects

We propose a generalized methods of moments procedure by which both the number of factors and the regression coefficients can be consistently estimated. Some important identification issues are also discussed. Our simulation results indicate that the proposed methods produce reliable estimates.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/756/images//p1b9trocso1l121nh2ejk1cvj1m714.jpg
Theory

Backtesting VaR Models: An Expected Shortfall Approach

Our study sheds light on the issue of volatility forecasting under risk management environment and on the evaluation procedure of various risk models.

https://9b9ec758578b3ee0d46b-305404f9eb35eaf4130aa2d106c6a91c.ssl.cf3.rackcdn.com/597/market/publications/785/images//p1b9tsom6c1nk819agvc69fh67e4.jpg
Data Analytics

Conventional Nonlinear Relationships between GDP, Inflation and Stock Market Returns. An Investigation for the Greek Economy

This paper is using simple nonlinearity tests to provide evidence of a positive and significant causal relationship going from stock market development to economic growth in Greece during the last 10 years.

Department Of Economics Website

myEcon Newsletter

Join the notification list of the Department of Economics.