Econometrics, Volume 13, Issue 4

Debate persists over whether classical econometric or modern machine learning (ML) approaches provide superior forecasts for volatile monthly price series. Despite extensive research, no systematic cross-domain comparison exists to guide model select...

In a situation where the number of non-performing loans (NPLs) increases, lenders may raise interest rates to compensate for potential losses, and the amount of credit granted in the market may decrease, leading to credit rationing. Such actions may...

Poverty is a complex global issue, closely linked to economic and social inequalities. It encompasses not only a lack of financial resources but also disparities in access to education, healthcare, employment, and social participation. In alignment w...

We compare three modern Bayesian approaches, Hamiltonian Monte Carlo (HMC), Variational Bayes (VB), and Integrated Nested Laplace Approximation (INLA), for two classic spatial econometric specifications: the spatial lag model and spatial error model....

Financial return distributions often exhibit central asymmetry and heavy-tailed extremes, challenging standard parametric models. We propose a novel composite distribution integrating a skew-normal center with skew-t tails, partitioning the support i...

Accurate estimation of tail dependence is difficult due to model misspecification and data contamination. This paper introduces a class of minimum f-divergence estimators for the tail dependence coefficient that unifies robust estimation with extreme...

This study explores the relationship between government revenue per capita, governance quality, and the supply of teachers—an indicator under Sustainable Development Goal 4 (Target 4.c). Using annual data from 217 countries spanning 1980 to 202...

Previous research on financial contagion has mostly looked at volatility spillovers using static or fixed parameter models. These models don’t always take into account how inter-market links change and depend on frequency during big crises. Thi...

This study investigates whether public education expenditure crowds out or complements health investment in influencing life expectancy across 158 countries from 1990 to 2023. Graphical analysis shows that in high-income countries, health expenditure...

This paper introduces a new econometric framework for modeling fractional outcomes bounded between zero and one. We propose the Fractional Probit with Cross-Sectional Volatility (FPCV), which specifies the conditional mean through a probit link and a...

This article introduces new counterfactual standardization techniques for comparing duration distributions subject to random censoring through counterfactual decompositions. The counterfactual distribution of one population relative to another is com...

This paper introduces a new approach to proving bootstrap consistency based upon the distribution of permutation statistics, using it to derive results covering fundamentally not-identically distributed groups of data, in which average moments do not...

The main aim of this paper is to review recent advances in the multivariate autoregressive index model [MAI] and their applications to economic and financial time series. MAI has recently gained momentum because it can be seen as a link between two p...

The autoregressive distributed lag bounds t-test and F-test for a long-run relationship that allows level variables to be either $I\left(1\right)$ or $I\left(0\right)$ is widely used in the literature. However, a long-run levels relationship cannot be detected when the depend...

Difference in Differences (DiD) is a useful statistical technique employed by researchers to estimate the effects of exogenous events on the outcome of some response variables in random samples of treated units (i.e., units exposed to the event) idea...