2017 September - 16 articles
A new method for determining the lag order of the autoregressive polynomial in regression models with autocorrelated normal disturbances is proposed. It is based on a sequential testing procedure using conditional saddlepoint approximations and permi...
With the goal of encouraging and motivating young researchers in the field of econometrics, last year the journal Econometrics accepted applications and nominations for the 2017 Young Researcher Award.[...]
This paper re-evaluates key past results of unit root tests, emphasizing that the use of a conventional level of significance is not in general optimal due to the test having low power. The decision-based significance levels for popular unit root tes...
Empirical studies of the determinants of cross-country differences in long-run development are characterized by the ingenious nature of the instruments used. However, scepticism remains about their ability to provide a valid basis for causal inferenc...
The primary contribution of this paper is to establish that the long-swings behavior observed in the market price of Danish housing since the 1970s can be understood by studying the interplay between short-term expectation formation and long-run equi...
Economic policy agencies produce forecasts with accompanying narratives, and base policy changes on the resulting anticipated developments in the target variables. Systematic forecast failure, defined as large, persistent deviations of the outturns f...
The wage curve for Turkey revisited considering the spatial spillovers of the regional unemployment rates using individual level data for a period of 2004–2013 at the 26 NUTS-2 level by employing FE-2SLS models. The unemployment elasticity of real wa...
A state space model with an unobserved multivariate random walk and a linear observation equation is studied. The purpose is to find out when the extracted trend cointegrates with its estimator, in the sense that a linear combination is asymptoticall...
We retrieve news stories and earnings announcements of the S&P 100 constituents from two professional news providers, along with ten macroeconomic indicators. We also gather data from Google Trends about these firms’ assets as an index of retail...
This paper considers a linear panel data model with time varying heterogeneity. Bayesian inference techniques organized around Markov chain Monte Carlo (MCMC) are applied to implement new estimators that combine smoothness priors on unobserved hetero...
Copula models have become very popular and well studied among the scientific community.[...]
We appreciate the effort and thoughtfulness of Raunig’s (2017) attempted critique of Swamy et al. (2015).[...]
Swamy et al. (2015) argue that valid instruments cannot exist when a structural model is misspecified. This note shows that this is not true in general. In simple examples valid instruments can exist and can help to estimate parameters of interest.
The long and persistent swings in the real exchange rate have for a long time puzzled economists. Recent models built on imperfect knowledge economics seem to provide a theoretical explanation for this persistence. Empirical results, based on a coint...
A theory-consistent CVAR scenario describes a set of testable regularieties one should expect to see in the data if the basic assumptions of the theoretical model are empirically valid. Using this method, the paper demonstrates that all basic assumpt...
Likelihood ratio tests of over-identifying restrictions on the common trends loading matrices in I(2) VAR systems are discussed. It is shown how hypotheses on the common trends loading matrices can be translated into hypotheses on the cointegration p...
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