2023 December - 6 articles
This paper presents a new approach to constructing multistep combination forecasts in a nonstationary framework with stochastic and deterministic trends. Existing forecast combination approaches in the stationary setup typically target the in-sample...
Some financial disruptions that started in California, U.S., in March 2023, resulting in the closure of several medium-size U.S. banks, shed new light on the role of liquidity in business cycle dynamics. In the normal path of the business cycle, liqu...
Despite the popularity of factor models with simple loading matrices, little attention has been given to formally address the identifiability of these models beyond standard rotation-based identification such as the positive lower triangular (PLT) co...
We provide new analytical results for the implementation of the Hausman specification test statistic in a standard panel data model, comparing the version based on the estimators computed from the untransformed random effects model specification unde...
In actuarial practice, the modeling of total losses tied to a certain policy is a nontrivial task due to complex distributional features. In the recent literature, the application of the Dirichlet process mixture for insurance loss has been proposed...
We derive a new matrix statistic for the Hausman test for endogeneity in cross-sectional Instrumental Variables estimation, that incorporates heteroskedasticity in a natural way and does not use a generalized inverse. A Monte Carlo study examines the...
