In this paper, we first re-visit the inference problem for interval identified parameters originally studied in Imbens and Manski (2004) and later extended in Stoye (2008). We take the general criterion function approach and establish a new confidence interval that is asymptotically valid under...

In this paper, we study partial identification of the distribution of treatment effects of a binary treatment for ideal randomized experiments, ideal randomized experiments with a known value of a dependence measure, and for data satisfying the selection-on-observables assumption respectively....

Mostly used estimators of Hurst exponent for detection of long-range dependence are biased by presence of short-range dependence in the underlying time series. We present confidence intervals estimates for rescaled range and modified rescaled range. We show that the difference in expected values...

In this paper, we aim at forecasting the stochastic volatility of key financial market variables with the Kalman filter using stochastic models developed by Taylor (1986,1994) and Nelson (1990). First, we compare a stochastic volatility model relying on the Kalman filter to the conditional...

The present state of world economy urges managers to look for new methods, which can help to start the economic growth. To achieve this goal, managers use standard as well as new procedures. The fundamental prerequisite of the efficient decision-making processes are actual and right information....

Evaluating the treatment of missing values by SAS 6.12, the first target group is considered to be an uninitiated person like a physician who is doing his first real research in the frame of his doctoral thesis. Such a physician will easily come to wrong conclusions as the treatment of missing...

Using the HICP (Harmonized Index of Consumer Prices) the author tests the series for the makeup of its dynamic components both before and after the start of stage three of the European Central Bank’s (ECB) monetary policy directive. While it appears ECB is meeting its stated objective, it is...

The capital market is a reflexive dynamical input/output construct whose output (time series) is usually assessed by an index of roughness known as Hurst’s exponent (H). Oddly enough, H has no theoretical foundation, but recently it has been found experimentally to vary from persistence (H ...

The preponderance of the linear approach in the stock market modeling is the result of the Frisch-Slutsky paradigm which implies that the market can only converge to an equilibrium point or diverge, according to a monotonic or oscillatory trajectory. Moreover, this description of reality is...

The formation of the European Union (EU) is the one of the biggest political – economic events of the last 50 years. The aim of this study is to develop EU economy functioning system dynamic model. Main research method is system dynamics. General scheme of EU economy system dynamic model is...