4 papers
Targeted Local Projections
Aleksei Nemtyrev, Otilia Boldea
Local projection (LP) and structural vector autoregression (SVAR) are commonly employed to estimate dynamic causal effects of macroeconomic policies at multiple horizons. With enou…
Consistency of Selection Strategies for Fraud Detection
Christos Revelas, Otilia Boldea, Bas J. M. Werker
This paper studies how insurers can chose which claims to investigate for fraud. Given a prediction model, typically only claims with the highest predicted propability of being fra…
Testing for multiple change-points in macroeconometrics: an empirical guide and recent developments
Otilia Boldea, Alastair R. Hall
We review recent developments in detecting and estimating multiple change-points in time series models with exogenous and endogenous regressors, panel data models, and factor model…
When do Random Forests work?
C. Revelas, O. Boldea, B. J. M. Werker
We study the effectiveness of randomizing split-directions in random forests. Prior literature has shown that, on the one hand, randomization can reduce variance through decorrelat…