Econometrics, Volume 10, Issue 2

In this paper, we address whether using a disaggregated series or combining an aggregated and disaggregated series improves the forecasting of the aggregated series compared to using the aggregated series alone. We used econometric techniques, such a...

In this paper, we investigate the relationship between the RavenPack news-based index associated with coronavirus outbreak (Panic, Sentiment, Infodemic, and Media Coverage) and returns of two commodities—Bitcoin and gold. We utilized the novel...

I use the data on the COVID-19 pandemic maintained by Our Word in Data to estimate a nonstationary dynamic panel exhibiting the dynamics of confirmed deaths, infections and vaccinations per million population in the European Union countries in the pe...

This Special Issue collects contributions related to the advances in the theory and practice of Econometrics induced by the research of Katarina Juselius and Søren Johansen, whom this Special Issue aims to celebrate [...]

A multivariate, non-Bayesian, regression-based, or feasible generalized least squares (GLS)-based approach is proposed to estimate time-varying VAR parameter models. Although it has been known that the Kalman-smoothed estimate can be alternatively es...

Aggregate financial conditions indices (FCIs) are constructed to fulfil two aims: (i) The FCIs should resemble non-model-based composite indices in that their composition is adequately invariant for concatenation during regular updates; (ii) the conc...

This article was prepared for the Special Issue ‘Celebrated Econometricians: Katarina Juselius and Søren Johansen’ of Econometrics. It is based on material recorded on 30–31 October 2018 in Copenhagen. It explores Katarina Juselius’ research, and dis...

This article was prepared for the Special Issue “Celebrated Econometricians: Katarina Juselius and Søren Johansen” of Econometrics. It is based on material recorded on 30 October 2018 in Copenhagen. It explores Søren Johansen’s research, and discusse...

This paper aims to better predict highly skewed auto insurance claims by combining candidate predictions. We analyze a version of the Kangaroo Auto Insurance company data and study the effects of combining different methods using five measures of pre...

The COVID-19 pandemic is a serious threat to all of us. It has caused an unprecedented shock to the world’s economy, and it has interrupted the lives and livelihood of millions of people. In the last two years, a large body of literature has at...

The primary objective of this paper is to revisit DSGE models with a view to bringing out their key weaknesses, including statistical misspecification, non-identification of deep parameters, substantive inadequacy, weak forecasting performance, and p...

A theory-consistent CVAR scenario describes a set of testable regularities capturing basic assumptions of the theoretical model. Using this concept, the paper considers a standard model for exchange rate determination with forward-looking expectation...

Most factor-based forecasting models for the term structure of interest rates depend on a fixed number of factor loading functions that have to be specified in advance. In this study, we relax this assumption by building a yield curve forecasting mod...

We propose a method to explore the causal transmission of an intervention through two endogenous variables of interest. We refer to the intervention as a catalyst variable. The method is based on the reduced-form system formed from the conditional di...

Misclassification of a binary response variable and nonrandom sample selection are data issues frequently encountered by empirical researchers. For cases in which both issues feature simultaneously in a data set, we formulate a sample selection model...