G2TT
来源类型Discussion paper
规范类型论文
来源IDDP6959
DP6959 Sovereign Wealth Funds: Their Investment Strategies and Performance
Luc Laeven; Vidhi Chhaochharia
发表日期2008-09-23
出版年2008
语种英语
摘要This paper shows that the R² and the standard error have fatal flaws and are inadequate as accuracy tests for models with heterogeneous agents and aggregate risk. Using data from a Krusell-Smith economy, I show that approximations for the law of motion of aggregate capital for which the true standard deviation of aggregate capital is up to 14% (119%) higher than the implied value (and which are thus clearly inaccurate) can have an R² as high as 0.9999 (0.99). Key in generating a more powerful test is to not update the aggregate law of motion with the aggregated simulated individual data, but to use as the explanatory variable the value predicted by the aggregate law of motion itself.
主题International Macroeconomics
关键词Approximations Numerical solutions Simulations
URLhttps://cepr.org/publications/dp6959
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/535796
推荐引用方式
GB/T 7714
Luc Laeven,Vidhi Chhaochharia. DP6959 Sovereign Wealth Funds: Their Investment Strategies and Performance. 2008.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Luc Laeven]的文章
[Vidhi Chhaochharia]的文章
百度学术
百度学术中相似的文章
[Luc Laeven]的文章
[Vidhi Chhaochharia]的文章
必应学术
必应学术中相似的文章
[Luc Laeven]的文章
[Vidhi Chhaochharia]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。