This paper describes a dynamic factor model for the Maltese economy. The model mainly serves as a tool to timely provide the Central Bank of Malta with nowcasts as well as short-term forecasts of the growth rate of the real gross domestic product, which in turn are used as an input in the...

The primary goal of this paper is to describe several models that are currently used at the National Bank of the Republic of Macedonia (NBRM) for short-term forecasting of inflation - Autoregressive integrated moving average models (aggregated and disaggregated approach), three equation...

The purpose of the paper is to introduce the framework for decomposing the forecast of headline inflation, obtained by macroeconomic model of NBRM for monetary policy analysis and medium term projections (MAKPAM), into its components: food, energy and core inflation. The model for inflation...

We develop distress prediction models for non-financial small and medium sized enterprises (SMEs) using a dataset from eight European countries over the period 2000-2009. We examine idiosyncratic and systematic covariates and find that macro conditions and bankruptcy codes add predictive power...

This paper provides a comprehensive early warning system (EWS) that balances the classical signaling approach with the best-realized machine learning (ML) model for predicting fiscal stress episodes. Using accumulated local effects (ALE), we compute a set of thresholds for the most informative...

This paper deals with the identification of treatment effects when the outcome variable is ordered. If outcomes are measured ordinally, previously developed methods to investigate the impact of an endogenous binary regressor on average outcomes cannot be applied as the expectation of an ordered...

As previously argued, the correlation between included and omitted regressors generally causes inconsistency of standard estimators for count data models. Using a specific residual function and suitable instruments, a consistent generalized method of moments estimator can be obtained under...

This paper analyzes the identifying power of weak convexity assumptions in treatment effect models with endogenous selection. The counterfactual distributions are constrained either in terms of the response function, or conditional on the realized treatment, and sharp bounds on the potential...

We study long run carbon emissions-income relationships for advanced countries grouped in policy relevant groups: North America and Oceania, South Europe, North Europe. By relying on recent advances on Generalized Additive Mixed Models (GAMMs) and adopting interaction models, we handle...

Recent advances in the econometric modelling of count data have often been based on the generalized method of moments (GMM). However, the two-step GMM procedure may perform poorly in small samples, and several empirical likelihood-based estimators have been suggested alternatively. In this paper...