Econometrics, Volume 5, Issue 2

The ability to distinguish between sustainable and excessive debt developments is crucial for securing economic stability. By studying US private sector credit loss dynamics, we show that this distinction can be made based on a measure of the incipie...

The Portuguese National Health Line, LS24, is an initiative of the Portuguese Health Ministry which seeks to improve accessibility to health care and to rationalize the use of existing resources by directing users to the most appropriate institutions...

This paper introduces the concept of the realized hierarchical Archimedean copula (rHAC). The proposed approach inherits the ability of the copula to capture the dependencies among financial time series, and combines it with additional information co...

It is well known that inference on the cointegrating relations in a vector autoregression (CVAR) is difficult in the presence of a near unit root. The test for a given cointegration vector can have rejection probabilities under the null, which vary f...

We analyze the interdependence between the government yield spread and stock returns of the banking sector in Italy during the years 2003–2015. In a first step, we find that the Spearman’s rank correlation between the yield spread and the Italian ban...

This special issue deals with problems related to unit roots and structural change, and the interplay between the two.[...]

Factor modeling is a popular strategy to induce sparsity in multivariate models as they scale to higher dimensions. We develop Bayesian inference for a recently proposed latent factor copula model, which utilizes a pair copula construction to couple...

Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula a...

Estimation of the I(2) cointegrated vector autoregressive (CVAR) model is considered. Without further restrictions, estimation of the I(1) model is by reduced-rank regression (Anderson (1951)). Maximum likelihood estimation of I(2) models, on the oth...

The univariate collapsing method (UCM) for portfolio optimization is based on obtaining the predictive mean and a risk measure such as variance or expected shortfall of the univariate pseudo-return series generated from a given set of portfolio weigh...

This is a simulation-based warning note for practitioners who use the $M^{GLS}$ unit root tests in the context of structural change using different selection lag length criteria. With $T=100$ , we find severe oversize problems when usi...

We discuss several multivariate extensions of the Multiplicative Error Model to take into account dynamic interdependence and contemporaneously correlated innovations (vector MEM or vMEM). We suggest copula functions to link Gamma marginals of the in...