Results 61 to 70 of about 777 (154)

The Political U: New Evidence on the Economic Costs of Hybrid Regimes

Economics &Politics, EarlyView.
ABSTRACT Recent research establishes a positive causal effect from democracy to income, although this evidence relies mostly on binary regime classifications. We extend the identification framework of Acemoglu et al. (2019) to a classification that distinguishes democracies, autocracies, and hybrid regimes for about 170 countries over 1960–2024.
Nauro F. Campos, Fabrizio Coricelli, Marco Frigerio   +2 more
wiley   +1 more source

The Asymptotic Variance of Semiparametric Estimators [PDF]

Econometrica, 1994
Summary: The purpose of this paper is the presentation of a general formula for the asymptotic variance of a semiparametric estimator. A particularly important feature of this formula is a way of accounting for the presence of nonparametric estimates of nuisance functions.
openaire   +2 more sources

SEMIPARAMETRIC ESTIMATION WITH GENERATED COVARIATES [PDF]

Econometric Theory, 2011
We study a general class of semiparametric estimators when the infinite-dimensional nuisance parameters include a conditional expectation function that has been estimated nonparametrically using generated covariates. Such estimators are used frequently to e.g., estimate nonlinear models with endogenous covariates when identification is achieved using ...
Mammen, Enno, Rothe, Christoph, Schienle, Melanie   +2 more
openaire   +14 more sources

Demand Shocks, Export Diversification, and Firm Performance During the Great Trade Collapse

Journal of Economics &Management Strategy, EarlyView.
ABSTRACT This paper analyzes the impact of external demand shocks from the 2008 to 2009 Great Trade Collapse on the performance of Chinese exporters and examines how export diversification mitigates these effects. Using Chinese Customs data merged with financial data from all listed Chinese firms, we construct firm‐specific demand shocks based on pre ...
Qianlin Hong, Zeyang Jin, Runjuan Liu, Jiadong Tong   +3 more
wiley   +1 more source

Mixing It Up: Inflation at Risk

Journal of Money, Credit and Banking, EarlyView.
Abstract Understanding how risk factors shape the economic outlook is essential for guiding policy decisions. This paper develops a flexible framework that decomposes distributional risk forecasts of macro‐economic variables into underlying contributions and supports the construction of interpretable risk measures.
MAXIMILIAN SCHRÖDER
wiley   +1 more source

Robust CDF‐Filtering of a Location Parameter

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper introduces a novel framework for designing robust filters associated with signal plus noise models having symmetric observation density. The filters are obtained by a recursion where the innovation term is a transform of the cumulative distribution function of the residuals.
Leopoldo Catania, Andrew C. Harvey, Alessandra Luati   +2 more
wiley   +1 more source

Research on the Value at Risk of Basis for Stock Index Futures Hedging in China Based on Two-State Markov Process and Semiparametric RS-GARCH Model

Discrete Dynamics in Nature and Society, 2019
This article aims to investigate the Value at Risk of basis for stock index futures hedging in China. Since the RS-GARCH model can effectively describe the state transition of variance in VaR and the two-state Markov process can significantly reduce the ...
Liang Wang, Tingjia Xu, Longhao Qin, Chenge Liu   +3 more
doaj   +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

Parametric Time‐Variation in the Unconditional Volatility: Estimation and Inference

Journal of Time Series Analysis, EarlyView.
ABSTRACT We propose modeling time‐variation in the unconditional volatility by augmenting the standard GARCH model by a deterministic time‐varying intercept. The model, called the additive time‐varying (ATV‐)GARCH model, can be interpreted as a reduced form of a model including covariates and can be derived from a multiplicative decomposition of ...
Niklas Ahlgren, Alexander Back, Timo Teräsvirta   +2 more
wiley   +1 more source

Behavioral Charity: Third‐Party Ratings of Nonprofits as Salience and Heuristics

Public Administration Review, EarlyView.
ABSTRACT Financial disclosure through tax returns is the primary regulatory mechanism for holding nonprofits accountable to donors in the USA. The assumption that donors will make rational decisions using disclosed information when giving to nonprofits is central to this regulation. But what if they rely on mental shortcuts instead? This study examines
Ashraf Haque
wiley   +1 more source