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Bootstrap tests for overidentification in linear regression models

Davidson, Russell; MacKinnon, James G. - In: Econometrics : open access journal 3 (2015) 4, pp. 825-863

variety of test statistics as functions of eight mutually independent random variables and two nuisance parameters. The … distributions of the statistics are shown to have an ill-defined limit as the parameter that determines the strength of the …

Persistent link: https://www.econbiz.de/10011411381

Indirect inference : which moments to match?

Frazier, David T.; Renault, Eric - In: Econometrics : open access journal 7 (2019) 1/14, pp. 1-17

The standard approach to indirect inference estimation considers that the auxiliary parameters, which carry the identifying information about the structural parameters of interest, are obtained from some recently identified vector of estimating equations. In contrast to this standard...

Persistent link: https://www.econbiz.de/10012025566

A prelude to statistics in Wasserstein metric spaces

Chon Van Le; Uyen Hoang Pham - In: Asian journal of economics and banking : AJEB 8 (2024) 1, pp. 54-66

methodology with non-Euclidean data sets. Specifically, it provides the basis and rationale for statistics in Wasserstein space …

Persistent link: https://www.econbiz.de/10014497027

A silent revolution : how central bank statistics have changed in the last 25 years

De Bonis, Riccardo; Piazza, Matteo - In: PSL quarterly review 74 (2021) 299, pp. 347-371

This work provides a comprehensive overview of the giant leap made by European central bank statistics over the last … quarter century. We illustrate, first, the work that led to a brand-new set of central bank statistics for the implementation … at challenges lying ahead for official statistics, namely, how to deal with digitalization and globalization, and how to …

Persistent link: https://www.econbiz.de/10013175146

Non-parametric statistic for testing cumulative abnormal stock returns

Pynnönen, Seppo - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-13

Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative to parametric tests in financial economics event studies. In rank tests, financial assets’ multiple day cumulative abnormal returns (CARs) are replaced by cumulated ranks. This paper proposes...

Persistent link: https://www.econbiz.de/10013168738

Context and cross-section data improve analyses of wine ratings

Bodington, Jeffrey C. - In: Journal of wine economics 19 (2024) 4, pp. 356-364

Much research shows that the ratings that critics, judges, and consumers assign to wines are heteroscedastic. A rating observed is one draw from a latent distribution that is wine- and judge-specific. Estimating the shape of a rating's distribution by minimizing a sum of cross entropies has been...

Persistent link: https://www.econbiz.de/10015332662

Macro-financial parameters influencing bitcoin prices : evidence from symmetric and asymmetric ARDL models

Srinivasan, Palamalai; Maity, Bipasha; Kumar, K. Krishna - In: Review of Economic Analysis : REA 14 (2022) 1, pp. 143-175

Bitcoins are evolving as a modern class of investment assets and it is crucial for investors to manage their investment risk. This paper examines the impact of macroeconomic-financial indicators on Bitcoin price using symmetric and asymmetric version of autoregressive distributed lag (ARDL)...

Persistent link: https://www.econbiz.de/10012886489

Corruption, environmental sustainability and economic performance in emerging economies : evidence from Nigeria

Iheanachor, Nkemdilim; Ogbechie, Chris Ike; Ozegbe, … - In: International journal of management, economics and … 12 (2023) 1, pp. 52-78

This study was aimed at examining the linkages between corruption, environmental sustainability, and economic performance. It was motivated by the quest to test the validity of the Environmental Kuznets Curve (EKC) hypothesis in Nigerian. The EKC hypothesis explains the nexus between economic...

Persistent link: https://www.econbiz.de/10013550234

Numerical compliance with EU fiscal rules : facts and figures from a new database

Larch, Martin; Malzubris, Janis; Santacroce, Stefano - In: Intereconomics : review of European economic policy 58 (2023) 1, pp. 32-42

EU fiscal rules are meant to keep public finances on a sustainable path. This paper presents a new database that tracks numerical compliance with the four main rules of the Stability and Growth Pact starting in 1998. Our assessment of numerical compliance abstracts from the many exceptions and...

Persistent link: https://www.econbiz.de/10014233317

Economy and creativity multiparametric clustering : regional comparisons and new perspectives for Ukraine

Slava, Svitlana - In: Region : the journal of ERSA 10 (2023) 1, pp. 159-181

This paper suggests a way to cluster Ukrainian regions by using economy and creativity-related multiparametric sets so as to reveal the main roles of players in cross-regional comparisons. Special attention was paid to an analysis of invaded regions since 2014 and 2022. The methodology is based...

Persistent link: https://www.econbiz.de/10014343101