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Model validation and DSGE modeling
Poudyal, Niraj; Spanos, Aris - In: Econometrics : open access journal 10 (2022) 2, pp. 1-25
, including statistical misspecification, non-identification of deep parameters, substantive inadequacy, weak forecasting …
Persistent link: https://www.econbiz.de/10013355187
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Consistency in estimation and model selection of dynamic panel data models with fixed effects
Li, Guangjie - In: Econometrics : open access journal 3 (2015) 3, pp. 494-524
We examine the relationship between consistent parameter estimation and model selection for autoregressive panel data models with fixed effects. We find that the transformation of fixed effects proposed by Lancaster (2002) does not necessarily lead to consistent estimation of common parameters...
Persistent link: https://www.econbiz.de/10011297557
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Two-step Lasso estimation of the spatial weights matrix
Ahrens, Achim; Bhattacharjee, Arnab - In: Econometrics : open access journal 3 (2015) 1, pp. 128-155
The vast majority of spatial econometric research relies on the assumption that the spatial network structure is known a priori. This study considers a two-step estimation strategy for estimating the n(n..1) interaction effects in a spatial autoregressive panel model where the spatial dimension...
Persistent link: https://www.econbiz.de/10011290699
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Parallelization experience with four canonical econometric models using ParMitISEM
Baştürk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-20
This paper presents the parallel computing implementation of the MitISEM algorithm, labeled Parallel MitISEM. The basic MitISEM algorithm provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel...
Persistent link: https://www.econbiz.de/10011504818
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Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19
We investigate the direct connection between the uncertainty related to estimated stable ratios of stock prices and risk and return of two pairs trading strategies: a conditional statistical arbitrage method and an implicit arbitrage one. A simulation-based Bayesian procedure is introduced for...
Persistent link: https://www.econbiz.de/10011505854
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Bayesian analysis of bubbles in asset prices
Fulop, Andras; Yu, Jun - In: Econometrics : open access journal 5 (2017) 4, pp. 1-23
We develop a new model where the dynamic structure of the asset price, after the fundamental value is removed, is subject to two different regimes. One regime reflects the normal period where the asset price divided by the dividend is assumed to follow a mean-reverting process around a...
Persistent link: https://www.econbiz.de/10011781855
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Dynamic panel modeling of climate change
Phillips, Peter C. B. - In: Econometrics : open access journal 8 (2020) 3/30, pp. 1-28
We discuss some conceptual and practical issues that arise from the presence of global energy balance effects on station level adjustment mechanisms in dynamic panel regressions with climate data. The paper provides asymptotic analyses, observational data computations, and Monte Carlo...
Persistent link: https://www.econbiz.de/10012265695
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Forecasting industrial production using its aggregated and disaggregated series or a combination of both : evidence from one emerging market economy
Prince, Diogo de; Marçal, Emerson Fernandes; Pereira, … - In: Econometrics : open access journal 10 (2022) 2, pp. 1-34
improves the forecasting of the aggregated series compared to using the aggregated series alone. We used econometric techniques …, such as the weighted lag adaptive least absolute shrinkage and selection operator, and Exponential Triple Smoothing (ETS …-horizon Superior Predictive Ability (uSPA) tests, used to select the best forecasting model by combining different horizons. Our sample …
Persistent link: https://www.econbiz.de/10013355068
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Unit root tests : the role of the univariate models implied by multivariate time series
Cappuccio, Nunzio; Lubian, Diego - In: Econometrics : open access journal 4 (2016) 2, pp. 1-11
In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series. In this note, we point out that this procedure may imply large size distortion of the unit root tests if the DGP is a VAR. It is well-known that univariate models implied by a...
Persistent link: https://www.econbiz.de/10011505987
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A simple test for causality in volatility
Chang, Chia-ling; McAleer, Michael - In: Econometrics : open access journal 5 (2017) 1, pp. 1-5
An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng (1996). A subsequent development was the Lagrange...
Persistent link: https://www.econbiz.de/10011654183