Results 161 to 170 of about 28,224 (283)
Cointegration in a MIDAS Regression
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT Mixed data sampling (MIDAS) cointegration models are used to analyse variables observed at different frequencies. In this paper, we start from an assumed autoregressive distributed lag (ADL) model for high‐frequency observations, and derive the resulting representation when the dependent variable is only observed at a lower frequency.
H. Peter Boswijk, Philip Hans Franses
wiley +1 more source
SPARCC: Semi-Parametric Robust Estimation in a Right-Censored Covariate Model. [PDF]
J Am Stat AssocLee SH +4 more
europepmc +1 more source
Least Trimmed Squares: Cointegration and Outliers
Oxford Bulletin of Economics and Statistics, EarlyView.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
Causal K-Means Clustering. [PDF]
J R Stat Soc Series B Stat MethodolKim K, Kim J, Kennedy EH.
europepmc +1 more source
Inference on Common Trends in a Cointegrated Nonlinear SVAR
Oxford Bulletin of Economics and Statistics, EarlyView.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
Constructing targeted minimum loss/maximum likelihood estimators: a simple illustration to build intuition. [PDF]
Am J EpidemiolRoss RK +4 more
europepmc +1 more source
Detecting Sparse Cointegration
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT We propose a two‐step procedure for detecting sparse cointegration in high‐dimensional single‐equation models. First, we employ the adaptive lasso to identify the subset of integrated covariates driving the long‐run equilibrium relationship.
Jesús Gonzalo, Jean‐Yves Pitarakis
wiley +1 more source
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
Sea‐Level Rise Adaptation and Collaboration in Polycentric Governance: A Comparison of Three Regions
Public Administration Review, EarlyView.ABSTRACT Adaptation to sea‐level rise confronts coastal communities worldwide with a new set of collective action problems that require collaboration. When does collaboration result in concrete action for adaptation? To address this question, we combine the Ecology of Games and Collaborative Governance frameworks using a comparative analysis of three ...
Francesca Vantaggiato +4 more
wiley +1 more source