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Econometrics, Volume 8, Issue 1 (March 2020) – 5 articles

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Open AccessArticle
Testing for Stochastic Dominance up to a Common Relative Poverty Line
Econometrics 2020, 8(1), 5; https://doi.org/10.3390/econometrics8010005 - 11 Feb 2020
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Abstract
Although a wide array of stochastic dominance tests exist for poverty measurement and identification, they assume the income distributions have independent poverty lines or a common absolute (fixed) poverty line. We propose a stochastic dominance test for comparing income distributions up to a [...] Read more.
Although a wide array of stochastic dominance tests exist for poverty measurement and identification, they assume the income distributions have independent poverty lines or a common absolute (fixed) poverty line. We propose a stochastic dominance test for comparing income distributions up to a common relative poverty line (i.e., some fraction of the pooled median). A Monte Carlo study demonstrates its superior performance over existing methods in terms of power. The test is then applied to some Canadian household survey data for illustration. Full article
Open AccessCorrection
Correction: Ardia, D., et al. Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices. Econometrics 2016, 4, 14.
Econometrics 2020, 8(1), 4; https://doi.org/10.3390/econometrics8010004 - 05 Feb 2020
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Abstract
The authors wish to make the following corrections to this paper [...] Full article
Open AccessFeature PaperArticle
Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors
Econometrics 2020, 8(1), 3; https://doi.org/10.3390/econometrics8010003 - 04 Feb 2020
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Abstract
Large-dimensional dynamic factor models and dynamic stochastic general equilibrium models, both widely used in empirical macroeconomics, deal with singular stochastic vectors, i.e., vectors of dimension r which are driven by a q-dimensional white noise, with q < r . The present paper [...] Read more.
Large-dimensional dynamic factor models and dynamic stochastic general equilibrium models, both widely used in empirical macroeconomics, deal with singular stochastic vectors, i.e., vectors of dimension r which are driven by a q-dimensional white noise, with q < r . The present paper studies cointegration and error correction representations for an I ( 1 ) singular stochastic vector y t . It is easily seen that y t is necessarily cointegrated with cointegrating rank c r q . Our contributions are: (i) we generalize Johansen’s proof of the Granger representation theorem to I ( 1 ) singular vectors under the assumption that y t has rational spectral density; (ii) using recent results on singular vectors by Anderson and Deistler, we prove that for generic values of the parameters the autoregressive representation of y t has a finite-degree polynomial. The relationship between the cointegration of the factors and the cointegration of the observable variables in a large-dimensional factor model is also discussed. Full article
(This article belongs to the Special Issue Celebrated Econometricians: Katarina Juselius and Søren Johansen)
Open AccessEditorial
Acknowledgement to Reviewers of Econometrics in 2019
Econometrics 2020, 8(1), 2; https://doi.org/10.3390/econometrics8010002 - 21 Jan 2020
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Abstract
The editorial team greatly appreciates the reviewers who have dedicated their considerable time and expertise to the journal’s rigorous editorial process over the past 12 months, regardless of whether the papers are finally published or not [...] Full article
Open AccessArticle
Representation of Japanese Candlesticks by Oriented Fuzzy Numbers
Econometrics 2020, 8(1), 1; https://doi.org/10.3390/econometrics8010001 - 18 Dec 2019
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Abstract
The Japanese candlesticks’ technique is one of the well-known graphic methods of dynamic analysis of securities. If we apply Japanese candlesticks for the analysis of high-frequency financial data, then we need a numerical representation of any Japanese candlestick. Kacprzak et al. have proposed [...] Read more.
The Japanese candlesticks’ technique is one of the well-known graphic methods of dynamic analysis of securities. If we apply Japanese candlesticks for the analysis of high-frequency financial data, then we need a numerical representation of any Japanese candlestick. Kacprzak et al. have proposed to represent Japanese candlesticks by ordered fuzzy numbers introduced by Kosiński and his cooperators. For some formal reasons, Kosiński’s theory of ordered fuzzy numbers has been revised. The main goal of our paper is to propose a universal method of representation of Japanese candlesticks by revised ordered fuzzy numbers. The discussion also justifies the need for such revision of a numerical model of the Japanese candlesticks. There are considered the following main kinds of Japanese candlestick: White Candle (White Spinning), Black Candle (Black Spinning), Doji Star, Dragonfly Doji, Gravestone Doji, and Four Price Doji. For example, we apply numerical model of Japanese candlesticks for financial portfolio analysis. Full article
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