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Econometrics, Volume 6, Issue 1

March 2018 - 14 articles

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Articles (14)

  • Article
  • Open Access
4 Citations
7,802 Views
18 Pages

Conventional wisdom says that the middle classes in many developed countries have recently suffered losses, in terms of both the share of the total population belonging to the middle class, and also their share in total income. Here, distribution-fre...

  • Article
  • Open Access
3 Citations
7,802 Views
21 Pages

Several modified estimation methods of the memory parameter have been introduced in the past years. They aim to decrease the upward bias of the memory parameter in cases of low frequency contaminations or an additive noise component, especially in si...

  • Article
  • Open Access
10 Citations
8,386 Views
17 Pages

Sample selection models attempt to correct for non-randomly selected data in a two-model hierarchy where, on the first level, a binary selection equation determines whether a particular observation will be available for the second level (outcome equa...

  • Article
  • Open Access
2 Citations
7,932 Views
28 Pages

This paper considers the specification and performance of jackknife estimators of the autoregressive coefficient in a model with a near-unit root. The limit distributions of sub-sample estimators that are used in the construction of the jackknife est...

  • Article
  • Open Access
7 Citations
8,171 Views
16 Pages

In economics, rank-size regressions provide popular estimators of tail exponents of heavy-tailed distributions. We discuss the properties of this approach when the tail of the distribution is regularly varying rather than strictly Pareto. The estimat...

  • Article
  • Open Access
4 Citations
8,702 Views
24 Pages

An information matrix of a parametric model being singular at a certain true value of a parameter vector is irregular. The maximum likelihood estimator in the irregular case usually has a rate of convergence slower than the n -rate in a regula...

  • Article
  • Open Access
28 Citations
10,981 Views
15 Pages

Nonlinear estimation of the gravity model with Poisson-type regression methods has become popular for modelling international trade flows, because it permits a better accounting for zero flows and extreme values in the distribution tail. Nevertheless...

  • Article
  • Open Access
1 Citations
8,763 Views
27 Pages

This paper introduces a multivariate kernel based forecasting tool for the prediction of variance-covariance matrices of stock returns. The method introduced allows for the incorporation of macroeconomic variables into the forecasting process of the...

  • Article
  • Open Access
4 Citations
9,237 Views
20 Pages

This paper uses an econometric model and Bayesian estimation to reverse engineer the path of inflation expectations implied by the New Keynesian Phillips Curve and the data. The estimated expectations roughly track the patterns of a number of common...

  • Article
  • Open Access
27 Citations
13,013 Views
19 Pages

Assessing News Contagion in Finance

  • Paola Cerchiello and
  • Giancarlo Nicola

The analysis of news in the financial context has gained a prominent interest in the last years. This is because of the possible predictive power of such content especially in terms of associated sentiment/mood. In this paper, we focus on a specific...

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Econometrics - ISSN 2225-1146Creative Common CC BY license