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Nichtparametrische Regressionsmodelle und deren Schätzung

Nichtparametrische Regressionsmodelle und deren Schätzung


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About the Book

Studienarbeit aus dem Jahr 2014 im Fachbereich VWL - Statistik und Methoden, Note: 1,3, Gottfried Wilhelm Leibniz Universität Hannover (Institut für Statistik), Veranstaltung: Zeitreihenökonometrie in Theorie und Praxis, Sprache: Deutsch, Abstract: Ein wichtiger Faktor in der Zeitreihenanalyse ist die Prognose von zukünftigen Daten. Zukünftige Entwicklungen spielen in der heutigen globalisierten, internationalisierten und stark vom Wettbewerb geprägten Welt eine große Rolle, weil sie Wettbewerbsvorteile verschaffen. In der Ökonometrie gibt es viele verschiedene Verfahren, um zukünftige Beobachtungen von Zeitreihen zu prognostizieren. Ein Bereich ist die nichtparametrische Regressionsschätzung, welche in dieser Arbeit vorgestellt wird. Sehr interessant ist außerdem der generelle Zusammenhang bzw. die Beziehung zwischen zwei Variablen (Härdle, 1990). Das klassische lineare Regressionsmodell wird gerne angewandt, weil es Zusammenhänge zwischen den verschiedensten Begebenheiten erklären kann. Um dieses Modell anwenden zu können, werden einige Annahmen getroffen. Ein Beispiel und gleichzeitig ein Problem sind die Fehlerterme εi, welche als normalverteilt angenommen werden (Greene, 1993). Stimmen alle Annahmen mit der Realität überein, sind die Ergebnisse dieses Modells sehr gut. Werden allerdings Annahmen verletzt, entsteht eine Verzerrung (ein sogenannter Bias), was zu falschen Ergebnissen führt. Besonders in der Vorhersage von zukünftigen Daten ist das ein großes Problem! Die Nichtparametrik möchte diesen Bias so klein wie möglich halten und trifft deshalb keine strukturellen Formannahmen. Nichtparametrische Modelle lassen sich daher gut für eine Prognose nutzen und außerdem für die Beziehung zwischen Variablen. Der wichtigste Parameter ist dabei die Bandweite h, von ihr hängt das Schätzergebnis enorm ab. Die Wahl dieses Parameters nimmt also einen wichtigen Part ein, welcher nicht vernachlässigt werden darf. Leid


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Product Details
  • ISBN-13: 9783668307827
  • Publisher: Grin Publishing
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 2 mm
  • Width: 148 mm
  • ISBN-10: 3668307822
  • Publisher Date: 27 Sep 2016
  • Height: 210 mm
  • No of Pages: 32
  • Series Title: German
  • Weight: 104 gr


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