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Causal Relations via Econometrics
Zaman, Asad - 2012
dominant approaches to causality in econometrics, and suggest why they fail to give good results. We feel the problem cannot be …
Persistent link: https://www.econbiz.de/10012712312
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Nowcasting Canadian GDP with density combinations
Chernis, Tony; Webley, Taylor - 2022
Assessing the state of the economy in real time is critical for policy-making, and understanding the risks to those assessments is equally important. Policy-makers are typically provided with point forecasts that contain insufficient information about risks. In contrast, predictive densities...
Persistent link: https://www.econbiz.de/10013193292
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Estimating Volatility of German Dax From Econometric and Econophysics Perspectives
Pulickal, Jose Paul - 2020
Investors recently are really concerned about the risk aspects associated with the investment in securities. Volatility calculation, therefore, has become an important aspect in the financial markets. For these reasons time series models are greatly used to forecast volatility. One such model is...
Persistent link: https://www.econbiz.de/10012829626
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A Practical Guide to Endogeneity Correction Using Copulas
Qian, Yi; Koschmann, Anthony; Xie, Hui - National Bureau of Economic Research - 2024
Causal inference is of central interests in many empirical applications yet often challenging because of the presence of endogenous regressors. The classical approach to the problem requires using instrumental variables that must satisfy the stringent condition of exclusion restriction. At the...
Persistent link: https://www.econbiz.de/10014512085
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FINANCIAL VALUATION AND ECONOMETRICS
Lim, Kian Guan - World Scientific Publishing Co. Pte. Ltd.
This book brings together domains in financial asset pricing and valuation, financial investment theory, econometrics … modeling, and the empirical analyses of financial data by applying appropriate econometric techniques. These domains are highly … performing financial forecasts or empirical modeling who will find it refreshing to see how forecasting is not simply running a …
Persistent link: https://www.econbiz.de/10010728951
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A Local Projections Approach to Difference-in-Differences Event Studies
Dube, Arindrajit; Girardi, Daniele; Jordà, Òscar; … - National Bureau of Economic Research - 2023
Many of the challenges in the estimation of dynamic heterogeneous treatment effects can be resolved with local projection (LP) estimators of the sort used in applied macroeconometrics. This approach provides a convenient alternative to the more complicated solutions proposed in the recent...
Persistent link: https://www.econbiz.de/10014250201
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A Retrospective on J. Denis Sargan and His Contributions to Econometrics
Ericsson, Neil R.; Maasoumi, Esfandiar; Mizon, Grayham E. - 2003
econometrics, emphasizing the breadth of his work in both theoretical and applied econometrics. We include a complete bibliography …
Persistent link: https://www.econbiz.de/10014133092
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Chapter 28 The Econometrics of Military Arms Races
Dunne, J. Paul; Smith, Ron P. - In: Handbook of defense economics : volume 2, Defense in a …, (pp. 913-940). 2007
hostile powers. As econometrics involves the synthesis of theory, data and statistical methods, in reviewing the econometrics …
Persistent link: https://www.econbiz.de/10014024401
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Chapter 3. Spatial Methods
Gibbons, Steve; Overman, Henry G.; Patacchini, Eleonora - In: Handbook of regional and urban economics : volume 5, (pp. 115-168). 2015
This chapter is concerned with methods for analyzing spatial data. After initial discussion of the nature of spatial data, including the concept of randomness, we focus most of our attention on linear regression models that involve interactions between agents across space. The introduction of...
Persistent link: https://www.econbiz.de/10014025316
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Linking series generated at different frequencies and its applications
Hyung, Namwon - 1998
Persistent link: https://www.econbiz.de/10001353351