Results 91 to 100 of about 4,276 (212)
A Joint Test of Unconfoundedness and Common Trends
Journal of Applied Econometrics, Volume 41, Issue 5, Page 684-709, August 2026.ABSTRACT We introduce an overidentification test of two alternative assumptions to identify the average treatment effect on the treated in a two‐period panel data setting: unconfoundedness and common trends. Under unconfoundedness, treatment assignment and post‐treatment outcomes are independent, conditional on control variables and pre‐treatment ...
Martin Huber, Eva‐Maria Oeß
wiley +1 more source
Random Structures &Algorithms, Volume 69, Issue 1, August 2026.ABSTRACT We study a random recursive tree model featuring complete redirection called the random friend tree and introduced by Saramäki and Kaski (2004). Vertices are attached sequentially, one by one, by selecting an existing target vertex and connecting to one of its neighbours (or friends), chosen uniformly at random.
Louigi Addario‐Berry +5 more
wiley +1 more source
Miners' Reward Elasticity and Stability of Competing Proof‐of‐Work Cryptocurrencies
International Economic Review, Volume 67, Issue 3, Page 957-976, August 2026.ABSTRACT Proof‐of‐Work cryptocurrencies employ miners to sustain the system through algorithmic reward adjustments. We develop a stochastic model of the multicurrency mining and identify conditions for stable transaction speeds. Bitcoin's algorithm requires hash supply elasticity <$<$1 for stability, while ASERT remains stable for any elasticity and ...
Kohei Kawaguchi +2 more
wiley +1 more source
On Metric Choice in Dimension Reduction for Fréchet Regression
International Statistical Review, Volume 94, Issue 2, Page 325-346, August 2026.Summary Fréchet regression is becoming a mainstay in modern data analysis for analysing non‐traditional data types belonging to general metric spaces. This novel regression method is especially useful in the analysis of complex health data such as continuous monitoring and imaging data.
Abdul‐Nasah Soale +3 more
wiley +1 more source
Minimal Entropy and Entropic Risk Measures: A Unified Framework via Relative Entropy
RisksWe introduce a new coherent risk measure, the minimal-entropy risk measure, which is built on the minimal-entropy σ-martingale measure—a concept inspired by the well-known minimal-entropy martingale measure used in option pricing.
Moritz Sohns
doaj +1 more source
A Comparative Review of Specification Tests for Diffusion Models
International Statistical Review, Volume 94, Issue 2, Page 347-381, August 2026.Summary Diffusion models play an essential role in modelling continuous‐time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations.
A. López‐Pérez +3 more
wiley +1 more source
Inference on the Attractor Space via Functional Approximation
Oxford Bulletin of Economics and Statistics, Volume 88, Issue 4, Page 643-657, August 2026.ABSTRACT This paper discusses semiparametric inference on hypotheses on the cointegration and the attractor spaces for I(1) linear processes with moderately large cross‐sectional dimension. The approach is based on sample canonical correlations and functional approximation of Brownian motions, and it can be applied both to the whole system and or to ...
Massimo Franchi, Paolo Paruolo
wiley +1 more source
Confidence Intervals for Price Discovery
Oxford Bulletin of Economics and Statistics, Volume 88, Issue 4, Page 742-764, August 2026.ABSTRACT This paper discusses asymptotic and bootstrap confidence intervals for multivariate permanent‐transitory decompositions of cointegrated vector autoregressive I(1) systems, with a focus on price discovery. Alternative estimators of the permanent components are compared in terms of efficiency also under separable linear restrictions on the ...
Heino Bohn Nielsen +2 more
wiley +1 more source
Least Trimmed Squares: Cointegration and Outliers
Oxford Bulletin of Economics and Statistics, Volume 88, Issue 4, Page 690-711, August 2026.ABSTRACT When applying the cointegrated autoregressive distributed lag model it is common to include indicator variables for outliers. This is often done in a somewhat ad hoc way. Least Trimmed Squares estimation provides a more systematic approach. This estimator is robust to a large number of outliers of many types.
Vanessa Berenguer‐Rico, Bent Nielsen
wiley +1 more source
Inference on Common Trends in a Cointegrated Nonlinear SVAR
Oxford Bulletin of Economics and Statistics, Volume 88, Issue 4, Page 658-676, August 2026.ABSTRACT We consider the problem of performing inference on the number of common stochastic trends when data is generated by a cointegrated CKSVAR (a two‐regime, piecewise affine SVAR; Mavroeidis, 2021), using a modified version of the Breitung (2002) multivariate variance ratio test that is robust to the presence of nonlinear cointegration (of a known
James A. Duffy, Xiyu Jiao
wiley +1 more source