Results 31 to 40 of about 349,349 (377)
Journal of Econometrics 177-1 (2013) pp. 109-115, 2021 We propose a methodology for constructing confidence regions with partially identified models of general form. The region is obtained by inverting a test of internal consistency of the econometric structure. We develop a dilation bootstrap methodology to deal with sampling uncertainty without reference to the hypothesized economic structure.
arxiv +1 more source
Econometrics, 2020 Building on arguments by Joshua Angrist and Jörn-Steffen Pischke arguments for how the teaching of undergraduate econometrics could become more effective, I propose a redesign of graduate econometrics that would better serve most students and help make ...
Jeremy Arkes
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Digitalization and development of the Russian stock market: impact of household consumption
Цифровые модели и решения, 2023 In developed economies the opportunities of the stock market are widely used to solve practical issues of financial security of the economy. The advantage of financial provision of the economy at the expense of the possibilities of the stock market in ...
A. A. Gorbunov, D. P. Turov
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Self-Organized Criticality in Economic Fluctuations: The Age of Maturity
Frontiers in Physics, 2021 Self-Organized Criticality (SOC) has been proposed as a paradigm that may rationalize the emergence of macrofinancial fluctuations. The wave of innovative thinking sparked by this proposal continues to produce interesting contributions in many areas of ...
Claudio Tebaldi
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Econometric Theory, 2004 This paper considers the problems facing decision makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many choices that researchers face in construction of automated systems and discusses some of the possible ways advanced ...
Pesaran, M.H., Timmermann, A.
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SSRN Electronic Journal, 2022 This paper examines the econometric causal model for policy analysis developed by the seminal ideas of Ragnar Frisch and Trygve Haavelmo. We compare the econometric causal model with two popular causal frameworks: Neyman-Holland causal model and the do-calculus.
Heckman, James J., Pinto, Rodrigo
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Time-Varying Volatility in Bitcoin Market and Information Flow at Minute-Level Frequency
Frontiers in Physics, 2021 In this article, we analyze the time series of minute price returns on the Bitcoin market through the statistical models of the generalized autoregressive conditional heteroscedasticity (GARCH) family.
Irena Barjašić, Nino Antulov-Fantulin
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Bias in Estimating Multivariate and Univariate Diffusions [PDF]
, 2010 Published in Journal of Econometrics, 2011, https://doi.org/10.1016/j.jeconom.2010.12 ...
Aït-Sahalia +38 more
core +6 more sources
The Status of Bridge Principles in Applied Econometrics
Econometrics, 2016 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.
Bernt P. Stigum
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Empirica, 1987 AbstractThe methods, approaches, and principles are applied to modelling the transactions demand for money in the UK over 1963–89. Financial innovations affect the opportunity cost of holding money, captured in a learning‐adjusted interest‐rate differential. The data are described by graphs to highlight the main features requiring modelling.
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