We propose a panel data approach to disentangle the impact of “one treatment” from the “other treatment” when the observed outcomes are subject to both treatments. We use the Great Hanshin-Awaji earthquake that took place on January 17, 1995 to illustrate our methodology. We find that...

The derived structural estimates of the system βY=γZ+δU impose identifying restrictions on the reduced form estimates ex post. Some or all of the derived structural estimates are presented as evidence of the model's efficacy. In fact, the reduced form inherits a great deal of information from...

Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test they frequently find double unit roots in the data. The...

This paper shows that a multiple regression with two highly correlated explanatory variables, both of them with a near zero correlation with the dependent variable may correspond to a spurious regression or to a homeostatic model, with estimates highly sensible to outliers. The regression method...

In the context of the liberalized and deregulated electricity markets, price forecasting has become increasingly important for energy company's plans and market strategies. Within the class of the time series models that are used to perform price forecasting, the subclasses of methods based on...

This paper reconsiders the degree to which the sign patterns of hypothesized structural arrays limit the possible outcomes for the sign pattern of the corresponding estimated reduced form. The conditions under which any structural restrictions would apply were believed to be very narrow, rarely...

Chan and Maheu (2002) developed a GARCH-jump mixture model, namely, the GARCH-jump with autoregressive conditional jump intensity (GARJI) model, in which two conditional independent processes, i.e., a diffusion and a compounded Poisson process, are used to describe stock price movements caused...

In this chapter, we present econometric and statistical methods for analyzing randomized experiments. For basic experiments, we stress randomization-based inference as opposed to sampling-based inference. In randomization-based inference, uncertainty in estimates arises naturally from the random...

Credible Granger-causality analysis appears to require post-sample inference, as it is well-known that in-sample fit can be a poor guide to actual forecasting effectiveness. However, post-sample model testing requires an often-consequential a priori partitioning of the data into an "in-sample"...

Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test they frequently find double unit roots in the data. The...