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Measuring nonlinear Granger causality in mean

Song, Xiaojun; Taamouti, Abderrahim - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 321-333

Persistent link: https://www.econbiz.de/10011895015

Chapter 71 Econometric Evaluation of Social Programs, Part II: Using the Marginal Treatment Effect to Organize Alternative Econometric Estimators to Evaluate Social Programs, and t...

Heckman, James J.; Vytlacil, Edward J. - In: Handbook of econometrics : volume 6B, (pp. 4875-5143). 2007

marginal treatment effect. All of the estimation methods used in the applied evaluation literature, such as matching …

Persistent link: https://www.econbiz.de/10014024944

Forecasted treatment effects

Botosaru, Irene; Giacomini, Raffaella; Weidner, Martin - 2023

We consider estimation and inference about the effects of a policy in the absence of a control group. We obtain …

Persistent link: https://www.econbiz.de/10014335601

High-frequency predictability of housing market movements of the United States : the role of economic sentiment

Balcilar, Mehmet; Bouri, Elie; Gupta, Rangan; Kyei, … - In: The journal of behavioral finance : a publication of … 22 (2021) 4, pp. 490-498

Persistent link: https://www.econbiz.de/10012649950

Does happiness forecast implied volatility? : evidence from nonparametric wave-based Granger causality testing

Li, Yue; Goodell, John W.; Shen, Dehua - In: The quarterly review of economics and finance : journal … 81 (2021), pp. 113-122

Persistent link: https://www.econbiz.de/10012656244

Do cay and cayMS predict stock and housing returns? : evidence from a nonparametric causality test

Balcilar, Mehmet; Gupta, Rangan; Sousa, Ricardo M.; … - In: International review of economics & finance : IREF 48 (2017), pp. 269-279

Persistent link: https://www.econbiz.de/10011747274

Predictability of sustainable investments and the role of uncertainty : evidence from a non-parametric causality-in-quantiles test

Antonakakis, Nikolaos; Babalos, Vassilios; Kyei, Clement - In: Applied economics 48 (2016) 46/48, pp. 4655-4665

Persistent link: https://www.econbiz.de/10011640733

Does geopolitical risks predict stock returns and volatility of leading defense companies? : evidence from a nonparametric approach

Apergēs, Nikolaos; Bonato, Matteo; Gupta, Rangan; … - In: Defence and peace economics 29 (2018) 6, pp. 684-696

Persistent link: https://www.econbiz.de/10011957107

Extracting statistical factors when betas are time-varying

Gagliardini, Patrick; Ma, Hao - 2019 - This version: July 2019

This paper deals with identification and inference on the unobservable conditional factor space and its dimension in large unbalanced panels of asset returns. The model specification is nonparametric regarding the way the loadings vary in time as functions of common shocks and individual...

Persistent link: https://www.econbiz.de/10012176811

The role of news-based uncertainty indices in predicting oil markets : a hybrid nonparametric quantile causality method

Balcilar, Mehmet; Bekiros, Stelios; Gupta, Rangan - In: Empirical economics : a journal of the Institute for … 53 (2017) 3, pp. 879-889

Persistent link: https://www.econbiz.de/10011892898

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