Econometrics, Volume 9, Issue 2

Medicare is one of the largest federal social insurance programs in the United States and the secondary payer for Medicare beneficiaries covered by employer-provided health insurance (EPHI). However, an increasing number of individuals are delaying t...

We analyze the influence of climate change on soybean yields in a multivariate time-series framework for a major soybean producer and exporter—Argentina. Long-run relationships are found in partial systems involving climatic, technological, and econo...

This paper investigates the incentive of credit rating agencies (CRAs) to bias ratings using a semiparametric, ordered-response model. The proposed model explicitly takes conflicts of interest into account and allows the ratings to depend flexibly on...

Following recent econometric developments, we use self-assessed general health on a Likert scale conditioned by several objective determinants to measure health disparity between non-Hispanic Whites and minority groups in the United States. A statist...

This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed...

This paper improves a standard Structural Panel Bayesian Vector Autoregression model in order to jointly deal with issues of endogeneity, because of omitted factors and unobserved heterogeneity, and volatility, because of policy regime shifts and str...

Outliers can be particularly hard to detect, creating bias and inconsistency in the semi-parametric estimates. In this paper, we use Monte Carlo simulations to demonstrate that semi-parametric methods, such as matching, are biased in the presence of...

Much of the algebra that is associated with the Kronecker product of matrices has been rendered in the conventional notation of matrix algebra, which conceals the essential structures of the objects of the analysis. This makes it difficult to establi...

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlin...

This paper studies estimation and inference for linear quantile regression models with generated regressors. We suggest a practical two-step estimation procedure, where the generated regressors are computed in the first step. The asymptotic propertie...