Prof. Dr. rer. pol. Walter Krämer

Large-scale disasters and the insuranceindustry

We investigate the effect of the 20 largest – in terms of insured losses – man-made or natural disasters on the insurance industry. We show via...

The Power of the KPSS–Test for Cointegration when Residuals are Fractionally Integrated

We show that the power of the KPSS-test against integration, as measured by divergence rates of the test statistic under the alternative, remains the...

How to OverREACH oneself – a Critical View on the EU Commisions’s Estimate of the Health Benefits of ist New Chemical Policy

The European Commision has recently agreed upon and put forward a proposal for a new EU regulatory framework for chemicals. The proposed new system,...

How to confuse with statistics or: The use and misuse of conditional probabilities

The article shows by various examples how consumers of statistical information may be confused when this information is presented in terms of...

The weak Pareto law and regular variation in the tails

We show that the weak Pareto law, as used to characterize the tail behaviour of income distributions, implies regularly varying tail probabilities,...

Statistik

Vom Geburtshelfer zum Bremser der Erkenntins in den Sozialwissenschaften

Die beschreibende und die schließende Statistik tragen unterschiedlich zur Erkenntnis in den Sozialwissenschaften bei. Während in der statistischen...

Evaluating probability forecasts in terms of refinement and strictly proper scoring rules

This note gives an easily verified necessary and sufficient condition for one probability forecaster to empirically outperform another one in terms...

Comparing the accuracy of default predictions in the rating industry

The case of Moody’s vs. S&P

We consider 1927 borrowers from 54 countries who had a credit rating by both Moody’s and S&P as of the end of 1998, and their subsequent default...

On the ordering of probability forecasts

The paper explores the relationship between various orderings among probability forecasts that have been suggested in the literature. It is shown...

Finite Sample Power of Cliff-Ord-Type Tests for Spatial Disturbance Correlation in Linear Regression

The paper considers tests against autocorrelation among the disturbances in linear regression models that can be expressed as ratios of quadratic...

The robustness of the F-test to spatial autocorrelation among regression disturbances

It is shown that the null distribution of the F-test in a linear regression is rather non-robust to spatial autocorrelation among the regression...