Results 151 to 160 of about 28,836 (304)

Indirect inference for stochastic volatility models via the log-squared observations. [PDF]

Model; Models; Stochastic volatility; Volatility;
Dhaene, Geert
core  

Robust Tests of Forecast Accuracy for Factor‐Augmented Regressions With an Application to the Novel EA‐MD‐QD Dataset

Journal of Applied Econometrics, EarlyView.
ABSTRACT We present four novel tests of equal predictive accuracy and encompassing á Pitarakis (2023, 2025) for factor‐augmented regressions. Factors are estimated using cross‐section averages (CAs) of grouped series and our theoretical findings are empirically relevant: asymptotic normality, robustness to an overspecification of the number of factors,
Alessandro Morico, Ovidijus Stauskas
wiley   +1 more source

Technical efficiency of sub-district level hospitals in Bangladesh: a comparative frontier analysis. [PDF]

Health Econ Rev
Hasan MZ, Webb EJ, Nikolova S, Tisha KI, Quayyum Z, Ensor T.   +5 more
europepmc   +1 more source

Bayesian Analysis of the Box-Cox Transformation in Stochastic Volatility Models [PDF]

In the paper, we consider the Box-Cox transformation of financial time series in Stochastic Volatility models. Bayesian approach is applied to make inference about the Box-Cox transformation parameter (l).
Anna Pajor
core  

A Joint Test of Unconfoundedness and Common Trends

Journal of Applied Econometrics, EarlyView.
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

Is health financing converging in the European Union? Nonlinear dynamics and policy implications for non-euro area member states. [PDF]

Front Public Health
Dritsaki M, Dritsaki C, Sarigiannidis P, Genni AG.   +3 more
europepmc   +1 more source

Multipower Variation and Stochastic Volatility [PDF]

In this brief note we review some of our recent results on the use of high frequency financial data to estimate objects like integrated variance in stochastic volatility models.
Neil Shephard, Ole Barndorff-Nielsen
core  

Bayesian Model Averaging in Causal Instrumental Variable Models

Journal of Applied Econometrics, EarlyView.
ABSTRACT Instrumental variables are a popular tool to infer causal effects under unobserved confounding, but choosing suitable instruments is challenging in practice. We propose gIVBMA, a Bayesian model averaging procedure that addresses this challenge by averaging across different sets of instrumental variables and covariates in a structural equation ...
Gregor Steiner, Mark Steel
wiley   +1 more source

Stochastic responses and marginal valuation. [PDF]

Proc Natl Acad Sci U S A
Hansen LP, Souganidis P.
europepmc   +1 more source

Testing for Stochastic Cointegration and Evidence for Present Value Models [PDF]

Using the stochastic integration/cointegration framework of Harris, McCabe and Leybourne (2002) we revisit the problem of assessing the empirical evidence for or against the present value class of models in the bond and stock markets.
Stephen Leybourne, David Harris, Brendan McCabe   +2 more
core