The paper explores probability theory foundations behind evaluation of probabilistic forecasts. The emphasis is on a situation when the forecast examiner possesses only partially the information which was available and was used to produce a forecast. We argue that in such a situation forecasts...

The paper provides an overview of probabilistic forecasting and discusses a theoretical framework for evaluation of probabilistic forecasts which is based on proper scoring rules and moments. An artificial example of predicting second-order autoregression and an example of predicting the RTSI...

This paper considers the maximum generalized empirical likelihood (GEL) estimation and inference on parameters identified by high dimensional moment restrictions with weakly dependent data when the dimensions of the moment restrictions and the parameters diverge along with the sample size. The...

In this paper we analyze the determinants of real wages in Macedonia’s manufacturing sector. We emphasize the macroeconomic aspects involved, and use econometric panel data techniques to model the behaviour of real wages for the period 2005:1-2010:12, using monthly data. In the study we found...

This paper uses the generalized method of moments (GMM) estimation to a panel data error correction model (ECM) in order to measure the asymmetries in the transmission of shocks to input prices and exchange rate onto the wholesale and retail gasoline price respectively. For this purpose, we use...

There is hope for the generalized method of moments (GMM). Lanne and Saikkonen (2011) show that the GMM estimator is inconsistent, when the instruments are lags of noncausal variables. This paper argues that this inconsistency depends on distributional assumptions, that do not always hold. In...

This paper combines two major strands of literature: structural breaks and Taylor rules. At first, I propose a nonstandard t-test statistic for detecting multiple level and trend breaks of I(0) series by supplying theoretical and limit-distribution critical values obtained from Montecarlo...

In this paper I propose a nonstandard t-test statistic for detecting level and trend breaks of I(0) series. Theoretical and limit-distribution critical values obtained from Montecarlo experimentation are supplied. The null hypothesis of anthropogenic versus natural causes of global warming is...

The diagonal GARCH(1,1) model is shown to support identification of the triangular system and is argued as a higher moment analog to traditional exclusion restrictions. Estimators for this result include QML and GMM. For the GMM estimator, only partial parameterization of the conditional...

Supervised Principal Component Analysis (SPCA) and Factor Instrumental Variables (FIV) are competing methods addressed at estimating models affected by regressor collinearity and at detecting a reduced-size instrument set from a large database, possibly dominated by non-exogeneity and weakness....