December 2017 - 11 articles
Forecasting correlations between stocks and commodities is important for diversification across asset classes and other risk management decisions. Correlation forecasts are affected by model uncertainty, the sources of which can include uncertainty a...
The Fourier Flexible form provides a global approximation to an unknown data generating process. In terms of limiting function specification error, this form is preferable to functional forms based on second-order Taylor series expansions. The Fourie...
We examine properties of permutation tests in the context of synthetic control. Permutation tests are frequently used methods of inference for synthetic control when the number of potential control units is small. We analyze the permutation tests fro...
This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compar...
We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The BTS transac...
On the presumption that poorer people tend to work less, it is often claimed that standard measures of inequality and poverty are overestimates. The paper points to a number of reasons to question this claim. It is shown that, while the labor supplie...
This paper investigates the effect of seasonal adjustment filters on the identification of mixed causal-noncausal autoregressive models. By means of Monte Carlo simulations, we find that standard seasonal filters induce spurious autoregressive dynami...
We develop a new model where the dynamic structure of the asset price, after the fundamental value is removed, is subject to two different regimes. One regime reflects the normal period where the asset price divided by the dividend is assumed to foll...
William(Bill) Barnett is an eminent econometrician andmacroeconomist.[...]
The contribution of this paper is to investigate a particular form of lack of invariance of causality statements to changes in the conditioning information sets. Consider a discrete-time three-dimensional stochastic process z = ( x , y 1 , y...
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