Results 41 to 50 of about 3,072 (181)
Robust Estimation and Inference for Time‐Varying Unconditional Volatility
Journal of Time Series Analysis, EarlyView.ABSTRACT We derive a general and robust estimator of a large class of parametric specifications of time‐varying unconditional volatility of financial returns, both univariate and multivariate, and establish the Consistency and Asymptotic Normality (CAN) of the estimator.
Adam Lee +2 more
wiley +1 more source
Testing Distributional Granger Causality With Entropic Optimal Transport
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a novel nonparametric test for Granger causality in distribution based on entropic optimal transport. Unlike classical mean‐based approaches, the proposed method directly compares the full conditional distributions of a response variable with and without the history of a candidate predictor.
Tao Wang
wiley +1 more source
Asymptotic and bootstrap inference for inequality and poverty measures [PDF]
A random sample drawn from a population would appear to offer an ideal opportunity to use the bootstrap in order to perform accurate inference, since the observations of the sample are IID.
Russell Davidson, Emmanuel Flachaire
core
Penalized Convex Estimation in Dynamic Location Models
Journal of Time Series Analysis, EarlyView.ABSTRACT This paper studies L1$$ {L}^1 $$‐penalized estimation for location models yt=mt+ϵt$$ {y}_t={m}_t+{\epsilon}_t $$, where mt$$ {m}_t $$ is defined by a possibly non‐Markovian recursion and ϵt$$ {\epsilon}_t $$ is a martingale difference sequence with possibly time‐varying conditional variance.
Reda Alami Chentoufi
wiley +1 more source
Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions [PDF]
This paper is concerned with parameter estimation and inference in a cointegrating regression, where as usual endogenous regressors as well as serially correlated errors are considered.
Vogelsang, Timothy J., Wagner, Martin
core
Education and the Shadow Economy: A Panel Cointegration Analysis
Kyklos, EarlyView.ABSTRACT This study examines the impact of education on the shadow economy across 132 countries over the period 1991–2020. To this end, panel cointegration and panel error‐correction models are employed. The results of the panel cointegration tests indicate a stable long‐term relationship among the selected variables.
Salvatore Ciucci
wiley +1 more source
Nonparametric Identification and Estimation in a Generalized Roy Model [PDF]
This paper considers nonparametric identification and estimation of a generalized Roy model that includes a non-pecuniary component of utility associated with each choice alternative.
Christopher Timmins +2 more
core
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT Since the seminal contributions of Friedman and Schwartz and of Hendry and Ericsson, instability in money demand has remained a central issue in the literature. This study broadens and generalizes the first evidence for the United Kingdom of stable long‐ and short‐run broad money demand extending back to the nineteenth century. Using nonlinear
Álvaro Escribano +2 more
wiley +1 more source
Heteroskedasticity and Spatiotemporal Dependence Robust Inference for Linear Panel Models with Fixed Effects [PDF]
This paper studies robust inference for linear panel models with fixed effects in the presence of heteroskedasticity and spatiotemporal dependence of unknown forms.
Min Seong Kim, Yixiao Sun
core
Threshold Regression for Fixed‐T$$ T $$ Panel Data with Interactive Fixed Effects
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper develops a new toolbox for estimation and inference in panel data threshold regression models with interactive fixed effects and a fixed number of time periods, T$$ T $$. The toolbox is designed to be simple, accurate, and computationally efficient.
Jan Ditzen +2 more
wiley +1 more source