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Researchers seldom find evidence of I(2) in exchange rates, prices, and other macroeconomics time series when they test the order of integration using univariate Dickey-Fuller tests. In contrast, when using the multivariate ML trace test they frequently find double unit roots in the data. The...
Persistent link: https://www.econbiz.de/10010368461
An information matrix of a parametric model being singular at a certain true value of a parameter vector is irregular. The maximum likelihood estimator in the irregular case usually has a rate of convergence slower than the Ín-rate in a regular case. We propose to estimate such models by the...
Persistent link: https://www.econbiz.de/10011995209
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/10014001439
The present article is carried out with the purpose of exposing the reader to the statistical-structural weaknesses that the management indicators or key performance indicators may have -better known as KPIs-, used as measures to quantify the performance of a company or organization, especially...
Persistent link: https://www.econbiz.de/10014494390
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/10010421306
This paper shows that a qualitative analysis, i.e., an assessment of the consistency of a hypothesized sign pattern for structural arrays with the sign pattern of the estimated reduced form, can always provide decisive insight into a model's validity both in general and compared to other models....
Persistent link: https://www.econbiz.de/10011755289
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/10011755301
The paper begins with a figurative representation of the contrast between present-day and formal applied econometrics. An explication of the status of bridge principles in applied econometrics follows. To illustrate the concepts used in the explication, the paper presents a simultaneous-equation...
Persistent link: https://www.econbiz.de/10011755345
Generalized Information Matrix Tests (GIMTs) have recently been used for detecting the presence of misspecification in regression models in both randomized controlled trials and observational studies. In this paper, a unified GIMT framework is developed for the purpose of identifying,...
Persistent link: https://www.econbiz.de/10011755349
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