Econometrics, Volume 9, Issue 4

The estimation of the causal effect of an endogenous treatment based on an instrumental variable (IV) is often complicated by the non-observability of the outcome of interest due to attrition, sample selection, or survey non-response. To tackle the l...

The COVID-19 pandemic resulted in the most abrupt changes in U.S. labor force participation and unemployment since the Second World War, with different consequences for men and women. This paper models the U.S. labor market to help to interpret the p...

When it comes to variable interpretation, multicollinearity is among the biggest issues that must be surmounted, especially in this new era of Big Data Analytics. Since even moderate size multicollinearity can prevent proper interpretation, special d...

This paper suggests a new approach to evaluate realized covariance (RCOV) estimators via their predictive power on return density. By jointly modeling returns and RCOV measures under a Bayesian framework, the predictive density of returns and ex-post...

Climate finance is growing popular in addressing challenges of climate change because it controls the funding and resources to emission entities and promotes green manufacturing. In this study, we determined that PM2.5, PM10, SO2, NO2, CO, and O3 are...

Obesity, as a health and social problem with rising prevalence and soaring economic cost, is increasingly drawing scholarly and public policy attention. While many studies have suggested that infant breastfeeding protects against childhood obesity, e...

Many financial and economic time series exhibit nonlinear patterns or relationships. However, most statistical methods for time series analysis are developed for mean-stationary processes that require transformation, such as differencing of the data....

We propose a State-Space Model (SSM) for commodity prices that combines the competitive storage model with a stochastic trend. This approach fits into the economic rationality of storage decisions and adds to previous deterministic trend specificatio...

This paper used cross-sectional aggregation as the inspiration for a model with long-range dependence that arises in actual data. One of the advantages of our model is that it is less brittle than fractionally integrated processes. In particular, we...

One of the main challenges posed by the healthcare crisis generated by COVID-19 is to avoid hospital collapse. The occupation of hospital beds by patients diagnosed by COVID-19 implies the diversion or suspension of their use for other specialities....