Showing 1 - 10 of 532
This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to a multivariate context. Persistent changes in the innovation variance matrix of a vector autoregressive model lead to size distortions in conventional cointegration tests,...
Persistent link: https://www.econbiz.de/10012026102
Often socio-economic variables are measured on a discrete scale or rounded to protect confidentiality. Nevertheless, when exploring the effect of a relevant covariate on the whole outcome distribution of a discrete response variable, virtually all common quantile regression methods require the...
Persistent link: https://www.econbiz.de/10011382707
We propose a sieve bootstrap framework to conduct pointwise and simultaneous inference for time-varying coefficient regression models based on a nonparametric local linear estimator. The asymptotic validity of the sieve bootstrap in the presence of autocorrelation is established. We find that it...
Persistent link: https://www.econbiz.de/10012795376
In this article we develop an Instrumental Variable estimation procedure that corrects for possible endogeneity of a variable in a duration model. We assume a Generalized Accelerated Failure Time (GAFT) model. This model is based on transforming the durations and assuming a distribution for...
Persistent link: https://www.econbiz.de/10011374410
A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...
Persistent link: https://www.econbiz.de/10010227300
This paper proposes a score-driven model for filtering time-varying causal parameters through the use of instrumental variables. In the presence of suitable instruments, we show that we can uncover dynamic causal relations between variables, even in the presence of regressor endogeneity which...
Persistent link: https://www.econbiz.de/10014496538
We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that...
Persistent link: https://www.econbiz.de/10011377121
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10011377261
Spatial effects are endemic in models based on spatially referenced data. The increased awareness of the relevance of spatial interactions, spatial externalities and networking effects among actors, evoked the area of spatial econometrics. Spatial econometrics focuses on the specification and...
Persistent link: https://www.econbiz.de/10011334352
We extend the results of De Luca et al. (2021) to inference for linear regression models based on weighted-average least squares (WALS), a frequentist model averaging approach with a Bayesian flavor. We concentrate on inference about a single focus parameter, interpreted as the causal effect of...
Persistent link: https://www.econbiz.de/10012510747