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Credible Granger-causality analysis appears to require post-sample inference, as it is well-known that in-sample fit can be a poor guide to actual forecasting effectiveness. However, post-sample model testing requires an often-consequential a priori partitioning of the data into an "in-sample"...
Persistent link: https://www.econbiz.de/10010336194
This paper delves into the well-known phenomenon of shrinking wage elasticities for married women in the US over recent decades. The results of a novel model experimental approach via sample data ordering unveil considerable heterogeneity across different wage groups. Yet, surprisingly constant...
Persistent link: https://www.econbiz.de/10011411317
The constant elasticity of substitution (CES) function is an important function that is widely used in both theoretical analysis and applied economics. We propose a systematic framework to estimate the deep nested CES function using the nonlinear least squares (NLS) method. This method fills the...
Persistent link: https://www.econbiz.de/10012911399
Since the influential paper of Stock and Watson (2002), the dynamic factor model (DFM) has been widely used for forecasting macroeconomic key variables such as GDP. However, the DFM has some weaknesses. For nowcasting, the dynamic factor model is modified by using the mixed data sampling...
Persistent link: https://www.econbiz.de/10012977505
I document large variation in empirical methodology in corporate finance regressions in top finance journals. Although methodological variation allows for customization of empirical tests to fit specific theories, it can also enable excessive reporting of statistically significant results. For...
Persistent link: https://www.econbiz.de/10012850581
A decision maker is averse to not knowing a prior over a set of restricted structured models (ambiguity) and suspects that each structured model is misspecified. The decision maker evaluates intertemporal plans under all of the structured models and, to recognize possible misspecifications,...
Persistent link: https://www.econbiz.de/10012850959
This paper provides practical insights into common statistical measures used to validate a model's discriminatory power for the probability of default (PD), loss liven default (LGD) and exposure at default (EAD). The study has more of an informative value without delivering empirical evidence....
Persistent link: https://www.econbiz.de/10012918288
We investigate a novel database of 10,217 extreme operational losses from the Italian bank UniCredit, covering a period of 10 years and 7 different event types. Our goal is to shed light on the dependence between the severity distribution of these losses and a set of macroeconomic, financial and...
Persistent link: https://www.econbiz.de/10012929497
Given the extreme dependence of agriculture on weather conditions, this paper analyses the effect of climatic variations on this economic sector, by considering both a huge dataset and a flexible spatio-temporal model specification. In particular, we study the response of N-fertilizer...
Persistent link: https://www.econbiz.de/10013249470
The experience of past financial market turmoil suggests that in addition to eroding investor wealth, the severe consequences of rare extreme market events can spillover and impair the broader real economies. In this context, this paper is an evaluation of the methodological and empirical...
Persistent link: https://www.econbiz.de/10013183970