Mahler Flashcards
1
Q
What to do if parameters shifting
A
- Place more credibility on recent data
- Minimize delay in receiving data used to estimate future
2
Q
3 Criteria for Estimates
A
- Least Squared Error (MSE)
- Small Chance of Large Errors
- Meyers-Dorweiler
3
Q
2 Tests for Shifting Risk Parameters
A
- Chi-Sq Test
- Pair Correlation Test
4
Q
Chi-Sq Test
A
Test stat = sum of (A-E)^2/E
DOF = n-1
Critical Value is one-sided
If test stat bigger than crit val then shifting
5
Q
Pair Correlation Test
A
- Pair years by different lags
- Calc correlation for every pair
- Average correlation across pair for each lag
- If decreasing as lag increases then shifting
