Econometrics, Volume 12, Issue 2

In the study we explore an oligopoly market for equilibrium and stability based on statistical data with the help of response functions rather than payoff maximization. To achieve this, we extend the concept of coupled fixed points to triple fixed po...

The importance of assessing and estimating the impact of the COVID-19 pandemic on financial markets and economic activity has attracted the interest of researchers and practitioners in recent years. The proposed study aims to explore the pandemic&rsq...

Predicting stock market movement direction is a challenging task due to its fuzzy, chaotic, volatile, nonlinear, and complex nature. However, with advancements in artificial intelligence, abundant data availability, and improved computational capabil...

This paper introduces a new modelling approach that incorporates nonlinear, exponential deterministic terms into a fractional integration framework. The proposed model is based on a specific test on fractional integration that is more general than th...

Over the years, oil prices and financial stock markets have always had a complex relationship. This paper analyzes the interactions and co-movements between the oil market (WTI crude oil) and two major stock markets in Europe and the US (the Euro Sto...

Knowledge of causal relationships is fundamental for understanding the dynamic mechanisms of ecological systems. To detect such relationships from multivariate time series, Granger causality, an idea first developed in econometrics, has been formulat...

Air pollution, especially ground-level ozone, poses severe threats to human health and ecosystems. Accurate forecasting of ozone concentrations is essential for reducing its adverse effects. This study aims to use the functional time series approach...

This paper develops a Stein-like combined estimator for large heterogeneous panel data models under common structural breaks. The model allows for cross-sectional dependence through a general multifactor error structure. By utilizing the common corre...

The most common approach to measuring inequality of opportunity in income is to apply the Gini inequality index or the Mean Log Deviation (MLD) index to a smoothed distribution (i.e., a distribution of type mean incomes). We show how this approach ca...

For a panel data linear regression model with both individual and time effects, empirical studies select the two-way random-effects (TWRE) estimator if the Hausman test based on the contrast between the two-way fixed-effects (TWFE) estimator and the...

In a recent study, it was demonstrated that the maximum simulated likelihood (MSL) estimator produces significant biases when applied to the bivariate normal and bivariate Poisson-lognormal models. The study’s conclusion suggests that similar b...