Vector autoregressions (VARs) are economically interpretable only when identified by being transformed into a structural form (the SVAR) in which the contemporaneous variables stand in a well-defined causal order. These identifying transformations are not unique. It is widely believed that...

The Scaled Model of Error has gained considerable popularity during the past ten years as a device for computing probabilistic population forecasts of the cohort-component type. In this report we investigate how sensitive probabilistic population forecasts produced by means of the Scaled Model...

This paper addresses whether and to what extent econometric methods used in experimental studies can be adapted and applied to financial data to detect the best-fitting preference model. To address the research question, we implement a frequently used nonlinear probit model in the style of Hey...

The Scaled Model of Error has gained considerable popularity during the past ten years as a device for computing probabilistic population forecasts of the cohort-component type. In this report we investigate how sensitive probabilistic population forecasts produced by means of the Scaled Model...

In this paper, we present an evolutionary model of industry dynamics yielding endogenous business cycles with 'Keynesian' features. The model describes an economy composed of firms and consumers/workers. Firms belong to two industries. The first one performs R&D and produces heterogeneous...

As the amount of economic and other data generated worldwide increases vastly, a challenge for future generations of econometricians will be to master efficient algorithms for inference in empirical models with large information sets. This Chapter provides a review of popular estimation...

This methodological paper reviews different spectral techniques well suitable to the analysis of economic time series. While econometric time series analysis is generally yielded in the time domain, these techniques propose a complementary approach based on the frequency domain. Spectral...

This paper evaluates if sentiment extracted from social media and options volume anticipates future asset return. Using both textual based data and a particular market data derived call-put ratio, between July 2009 and September 2012, this research shows that: 1) features derived from market...

We examine whether a put-call ratio, derived from a unique set of market data, can be used to predict directional moves in asset prices during various market conditions between March 2005 and December 2012. Our findings show: 1) specific market participant's options trading volume is a...

The Hodrick-Prescott filter is a convenient and therefore widely and routinely applied detrending method in macroeconomics working with empirical data. However, James Hamilton has recently gained attention with his vigorous advice against it and a proposal of a better alternative. Before...