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...

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...

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....

We consider Generalized Method of Moments (GMM) estimation of a regression model with spatially correlated errors. We propose some new moment conditions, and derive the asymptotic distribution of the GMM based on them. The analysis is supported by a small Monte Carlo exercise.

The capital structure refers to the long-term financing types used by the enterprises (for example, reinvested profit, long-term shares and debts) and the way they are financed by a combination of the own capital and debts. An optimal structure of the capital involves making some important...

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...

The goal of this paper is to empirically test for structural breaks of world mean temperatures that may have ignited at some date the phenomenon known as “Climate Change” or “Global Warming”. Estimation by means of the dynamic Generalized Method of Moments is conducted on a large dataset...