Econometrics, Volume 12, Issue 4

This paper makes a twofold contribution. First, it develops the dynamic factor model of by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup...

We analyze the predictive effect of monthly global, regional, and country-level financial uncertainties on daily gold market volatility using univariate and multivariate GARCH-MIDAS models, with the latter characterized by variable selection. Based o...

This study examines economic policy responses in Brazil during periods of financial stress, with a particular emphasis on the dynamics of both the impulse and rule components of fiscal policy. We offer novel empirical evidence on policy responses und...

This paper proposes the use of Bayesian inference techniques to search for and obtain valid instruments in dynamic panel data models where endogenous variables may exist. The use of Principal Component Analysis (PCA) allows for obtaining a reduced nu...

We explore the application of integrated nested Laplace approximations for the Bayesian estimation of stochastic volatility models characterized by long memory. The logarithmic variance persistence in these models is represented by a Fractional Gauss...

Hybrid production plants harness diverse climatic sources for electricity generation, playing a crucial role in the transition to renewable energies. This study aims to forecast the profitability of a combined wind–photovoltaic energy system. H...

Personal finance research often utilizes Likert-type items and Likert scales as dependent variables, frequently employing standard probit and ordered probit models. If inappropriately modeled, the “neutral” category of discrete dependent...

This paper measures the impact of the number of Halton draws in excess of $\lceil \sqrt{n}\rceil$ on technical efficiency in the generalized true random effects (four-component) stochastic frontier model estimated by simulated maximum likelihood. A substanti...

This study addresses a significant gap in the literature by comparing the effectiveness of traditional statistical methods with artificial intelligence (AI) techniques in predicting bankruptcy among small and medium-sized enterprises (SMEs). Traditio...

A preliminary analysis of the 2018/2019 Austin Travel Survey indicated that most off-campus students in Travis County, TX, tend to use cars rather than more sustainable transportation modes, significantly contributing to traffic congestion and enviro...

Based on the systematization of relevant problems in the agricultural sector of Kazakhstan and other countries, the purpose of the research is to aid in the development and implementation of a methodology for the econometric analysis of sustainabilit...

Demographic aging results in a growing number of older people in need of care in many regions all over the world. Germany has witnessed steady population aging for decades, prompting policymakers and other stakeholders to discuss how to fulfill the r...

This paper proposes an estimator for the endogenous switching regression models with fixed effects. The decision to switch from one regime to the other may depend on unobserved factors, which would cause the state, such as being credit constrained, t...