LeSage and Pace (2009) consider the impact of omitted variables in the face of spatial dependence in the disturbance process of a linear regression relationship. Remarkably, they show that this can lead to a spatial regression model specification containing a spatial lag of the dependent and...

I use a set of vector autoregressive models to forecast some of the main macroeconomic variables in a wide range of countries. The goal is to provide some insight about different forecast accuracy measures in a probabilistic forecasting framework. The countries are selected based on their...

We propose a novel systemic risk measurement model based on stochastic processes, correlation networks and conditional probabilities of default.For each country we consider three different economic sectors (sovereigns, corporates, banks) and we model each of them as a linear combination of two...

This paper studies robustness of bootstrap inference methods under moment conditions. In particular, we compare the uniform weight and implied probability bootstraps by analyzing behaviors of the bootstrap quantiles when outliers take arbitrarily large values, and derive the breakdown points for...

This paper extends quantile factor analysis to a probabilistic variant that incorporates regularization and computationally efficient variational approximations. By means of synthetic and real data experiments it is established that the proposed estimator can achieve, in many cases, better...

We characterize the distributions of posterior quantiles under a given prior. Unlike the distributions of posterior means, which are known to be mean-preserving contractions of the prior, the distributions of a posterior quantile coincide with a first-order stochastic dominance interval bounded...

Neyman and Scott (1948) define the incidental parameter problem. In panel data with T observations per individual and unobservable individual-specific effects, the maximum likelihood estimator of the common parameters is in general inconsistent. This paper develops the integrated moment...

This paper develops the minimal asymptotic distributions for estimators of panel data models with incidental parameters

This paper shows how the dynamic linear model with fixed regressors can be efficiently estimated. This dynamic model can be used to distinguish spurious correlation from state dependence and we show that the integrated likelihood estimator is adaptive for any asymptotics with T increasing where...

Job seekers can influence the arrival rate of job offers by the choice of search effort and the search methods they use. In this paper we empirically investigate the contribution of the use of different search methods on the outcome of search. Using unique data on the search behaviour of job...