Econometrics, Volume 9, Issue 1

We provide evidence on the least biased ways to identify causal effects in situations where there are multiple outcomes that all depend on the same endogenous regressor and a reasonable but potentially contaminated instrumental variable that is avail...

It is commonly found that the markets for long-term government bonds of Economic and Monetary Union (EMU) countries were integrated prior to the EMU debt crisis. Contrasting this, we show, based on the interrelation between market integration and fra...

This paper develops residual-based monitoring procedures for cointegrating polynomial regressions (CPRs), i.e., regression models including deterministic variables and integrated processes, as well as integer powers, of integrated processes as regres...

We assess the forecasting performance of the nowcasting model developed at the New York FED. We show that the observation regarding a striking difference in the model’s predictive ability across business cycle phases made earlier in the literature al...

This article considers goodness-of-fit tests for bivariate INAR and bivariate Poisson autoregression models. The test statistics are based on an L2-type distance between two estimators of the probability generating function of the observations: one b...

Econometric studies for global heating have typically used regional or global temperature averages to study its long memory properties. One typical explanation behind the long memory properties of temperature averages is cross-sectional aggregation....

Hospital emergency departments are often overused by patients that do not really need urgent care. These admissions are one of the major factors contributing to hospital costs, which should not be allowed to compromise the response and effectiveness...

The author would like to make the following correction to the article by Kevin D [...]

This study proposes a nonlinear cointegrating regression model based on the well-known energy balance climate model. Specifically, I investigate the nonlinear cointegrating regression of the mean of temperature anomaly distributions on total radiativ...

This survey paper discusses the Cointegrated Vector AutoRegressive (CVAR) methodology and how it has evolved over the past 30 years. It describes major steps in the econometric development, discusses problems to be solved when confronting theory with...