Previous Issue

Table of Contents

Econometrics, Volume 7, Issue 1 (March 2019)

  • Issues are regarded as officially published after their release is announced to the table of contents alert mailing list.
  • You may sign up for e-mail alerts to receive table of contents of newly released issues.
  • PDF is the official format for papers published in both, html and pdf forms. To view the papers in pdf format, click on the "PDF Full-text" link, and use the free Adobe Readerexternal link to open them.
View options order results:
result details:
Displaying articles 1-7
Export citation of selected articles as:
Open AccessArticle Panel Data Estimation for Correlated Random Coefficients Models
Received: 30 January 2018 / Revised: 13 January 2019 / Accepted: 23 January 2019 / Published: 1 February 2019
Viewed by 364 | PDF Full-text (777 KB) | HTML Full-text | XML Full-text
Abstract
This paper considers methods of estimating a static correlated random coefficient model with panel data. We mainly focus on comparing two approaches of estimating unconditional mean of the coefficients for the correlated random coefficients models, the group mean estimator and the generalized least [...] Read more.
This paper considers methods of estimating a static correlated random coefficient model with panel data. We mainly focus on comparing two approaches of estimating unconditional mean of the coefficients for the correlated random coefficients models, the group mean estimator and the generalized least squares estimator. For the group mean estimator, we show that it achieves Chamberlain (1992) semi-parametric efficiency bound asymptotically. For the generalized least squares estimator, we show that when T is large, a generalized least squares estimator that ignores the correlation between the individual coefficients and regressors is asymptotically equivalent to the group mean estimator. In addition, we give conditions where the standard within estimator of the mean of the coefficients is consistent. Moreover, with additional assumptions on the known correlation pattern, we derive the asymptotic properties of panel least squares estimators. Simulations are used to examine the finite sample performances of different estimators. Full article
(This article belongs to the Special Issue Celebrated Econometricians: Peter Phillips)
Open AccessArticle Asymptotic Theory for Cointegration Analysis When the Cointegration Rank Is Deficient
Received: 3 May 2018 / Revised: 26 September 2018 / Accepted: 8 January 2019 / Published: 18 January 2019
Viewed by 520 | PDF Full-text (391 KB) | HTML Full-text | XML Full-text
Abstract
We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive asymptotic theory for tests for cointegration rank and [...] Read more.
We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions are tabulated. An application to US treasury yields series is given. Full article
(This article belongs to the Special Issue Celebrated Econometricians: Katarina Juselius and Søren Johansen)
Figures

Figure 1

Open AccessArticle Information Flow in Times of Crisis: The Case of the European Banking and Sovereign Sectors
Received: 20 December 2017 / Revised: 10 December 2018 / Accepted: 11 January 2019 / Published: 17 January 2019
Viewed by 397 | PDF Full-text (1521 KB) | HTML Full-text | XML Full-text
Abstract
Crises in the banking and sovereign debt sectors give rise to heightened financial fragility. Of particular concern is the development of self-fulfilling feedback loops where crisis conditions in one sector are transmitted to the other sector and back again. We use time-varying tests [...] Read more.
Crises in the banking and sovereign debt sectors give rise to heightened financial fragility. Of particular concern is the development of self-fulfilling feedback loops where crisis conditions in one sector are transmitted to the other sector and back again. We use time-varying tests of Granger causality to demonstrate how empirical evidence of connectivity between the banking and sovereign sectors can be detected, and provide an application to the Greek, Irish, Italian, Portuguese and Spanish (GIIPS) countries and Germany over the period 2007 to 2016. While the results provide evidence of domestic feedback loops, the most important finding is that financial fragility is an international problem and cannot be dealt with purely on a country-by-country basis. Full article
(This article belongs to the Special Issue Celebrated Econometricians: Peter Phillips)
Figures

Figure 1

Open AccessArticle Gini Regressions and Heteroskedasticity
Received: 20 July 2018 / Revised: 19 November 2018 / Accepted: 4 January 2019 / Published: 14 January 2019
Viewed by 523 | PDF Full-text (331 KB) | HTML Full-text | XML Full-text
Abstract
We propose an Aitken estimator for Gini regression. The suggested A-Gini estimator is proven to be a U-statistics. Monte Carlo simulations are provided to deal with heteroskedasticity and to make some comparisons between the generalized least squares and the Gini regression. [...] Read more.
We propose an Aitken estimator for Gini regression. The suggested A-Gini estimator is proven to be a U-statistics. Monte Carlo simulations are provided to deal with heteroskedasticity and to make some comparisons between the generalized least squares and the Gini regression. A Gini-White test is proposed and shows that a better power is obtained compared with the usual White test when outlying observations contaminate the data. Full article
Figures

Figure 1

Open AccessEditorial Acknowledgement to Reviewers of Econometrics in 2018
Published: 10 January 2019
Viewed by 333 | PDF Full-text (132 KB) | HTML Full-text | XML Full-text
Abstract
Rigorous peer-review is the corner-stone of high-quality academic publishing [...] Full article
Open AccessArticle Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models
Received: 18 September 2018 / Revised: 29 October 2018 / Accepted: 8 January 2019 / Published: 10 January 2019
Viewed by 311 | PDF Full-text (254 KB) | HTML Full-text | XML Full-text
Abstract
A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. [...] Read more.
A multivariate CVAR(1) model for some observed variables and some unobserved variables is analysed using its infinite order CVAR representation of the observations. Cointegration and adjustment coefficients in the infinite order CVAR are found as functions of the parameters in the CVAR(1) model. Conditions for weak exogeneity for the cointegrating vectors in the approximating finite order CVAR are derived. The results are illustrated by two simple examples of relevance for modelling causal graphs. Full article
(This article belongs to the Special Issue Celebrated Econometricians: Katarina Juselius and Søren Johansen)
Open AccessArticle The Specification of Dynamic Discrete-Time Two-State Panel Data Models
Received: 1 November 2018 / Revised: 16 December 2018 / Accepted: 18 December 2018 / Published: 24 December 2018
Viewed by 451 | PDF Full-text (291 KB) | HTML Full-text | XML Full-text
Abstract
This paper compares two approaches to analyzing longitudinal discrete-time binary outcomes. Dynamic binary response models focus on state occupancy and typically specify low-order Markovian state dependence. Multi-spell duration models focus on transitions between states and typically allow for state-specific duration dependence. We show [...] Read more.
This paper compares two approaches to analyzing longitudinal discrete-time binary outcomes. Dynamic binary response models focus on state occupancy and typically specify low-order Markovian state dependence. Multi-spell duration models focus on transitions between states and typically allow for state-specific duration dependence. We show that the former implicitly impose strong and testable restrictions on the transition probabilities. In a case study of poverty transitions, we show that these restrictions are severely rejected against the more flexible multi-spell duration models. Full article
Econometrics EISSN 2225-1146 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top