ESSAYS ON MODEL SPECIFICATION TESTS AND ON BINARY RESPONSE MODELS

Abstract

OF THE DISSERTATION ESSAYS ON MODEL SPECIFICATION TESTS AND ON BINARY RESPONSE MODELS by XIANGJIN SHEN Dissertation Director: Professor Hiroki Tsurumi This dissertation consists of three essays evaluating model selection criteria in both sampling theory and Bayesian analysis. In chapter two, I compare the Bayesian model selection criteria (DIC, PDIC and MSEF) and the conditional Kolmogorov test for the spot asset pricing models (Vasicek and CIR models); MCMC and block Bootstrap methods are applied. In chapter three, I compare parametric and semiparametric methods for the binary response models. The comparison is made by model specifications, ROC area, and marginal effects. Monte Carlo simulation, quasi-maximum likelihood and kernel density methods are applied. In chapter four, I compare two bandwidths of the kernel density: the standard bandwidth and computationally optimized bandwidth. The computationally optimized bandwidth is obtained by using the graphic processing unit (GPU) that shortens the computational time.