Results 21 to 30 of about 628 (47)
Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications
We introduce a simple tool to control for false discoveries and identify individual signals in scenarios involving many tests, dependent test statistics, and potentially sparse signals.
Bouamara, Nabil +2 more
core
Counterfactual Sensitivity and Robustness
Researchers frequently make parametric assumptions about the distribution of unobservables when formulating structural models. Such assumptions are typically motived by computational convenience rather than economic theory and are often untestable ...
Christensen, Timothy, Connault, Benjamin
core +1 more source
Asymptotics for the Generalized Autoregressive Conditional Duration Model
Engle and Russell (1998, Econometrica, 66:1127--1162) apply results from the GARCH literature to prove consistency and asymptotic normality of the (exponential) QMLE for the generalized autoregressive conditional duration (ACD) model, the so-called ACD(1,
Cavaliere, Giuseppe +3 more
core
Money Growth and Inflation: A Quantile Sensitivity Approach
An innovative method is proposed to construct a quantile dependence system for inflation and money growth. By considering all quantiles and leveraging a novel notion of quantile sensitivity, the method allows the assessment of changes in the entire ...
Iacopini, Matteo +3 more
core
A Note on Uncertainty Quantification for Maximum Likelihood Parameters Estimated with Heuristic Based Optimization Algorithms [PDF]
Gradient-based solvers risk convergence to local optima, leading to incorrect researcher inference. Heuristic-based algorithms are able to ``break free" of these local optima to eventually converge to the true global optimum.
Porreca, Zachary
core
Economists often implement TSLS to handle endogeneity. The bias of TSLS is severe when the number of instruments is large. Hence, JIVE has been proposed to reduce bias of over-identified TSLS. However, both methods have critical drawbacks.
Wang, Lei
core
A note on Johansen's rank conditions and the Jordan form of a matrix [PDF]
This note presents insights on the Jordan structure of a matrix which are derived from an extension of the I(1) and I(2) conditions in Johansen (1996). It is first observed that these conditions not only characterize, as it is well known, the size (1 or
massimo franchi
core
Robust Conditional Wald Inference for Over-Identified IV
For the over-identified linear instrumental variables model, researchers commonly report the 2SLS estimate along with the robust standard error and seek to conduct inference with these quantities.
Lee, David S. +4 more
core
Econometrics of Machine Learning Methods in Economic Forecasting
This paper surveys the recent advances in machine learning method for economic forecasting. The survey covers the following topics: nowcasting, textual data, panel and tensor data, high-dimensional Granger causality tests, time series cross-validation ...
Babii, Andrii +2 more
core
Optimization of the Generalized Covariance Estimator in Noncausal Processes [PDF]
This paper investigates the performance of the Generalized Covariance estimator (GCov) in estimating mixed causal and noncausal Vector Autoregressive (VAR) models.
Cubadda, Gianluca +3 more
core +1 more source

