Econometrics, Volume 7, Issue 4

The usual t test, the t test based on heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators, and the heteroskedasticity and autocorrelation robust (HAR) test are three statistics that are widely used in applied economet...

This paper considers observation driven models with conditional mean and variance dynamics for non-negative valued time series. The motivation is to relax the restriction imposed on the higher order moment dynamics in standard multiplicative error mo...

We propose an econometric procedure based mainly on the generalized random forests method. Not only does this process estimate the quantile treatment effect nonparametrically, but our procedure yields a measure of variable importance in terms of hete...

The serial dependence of categorical data is commonly described using Markovian models. Such models are very flexible, but they can suffer from a huge number of parameters if the state space or the model order becomes large. To address the problem of...

Previous findings indicate that the inclusion of dynamic factors obtained from a large set of predictors can improve macroeconomic forecasts. In this paper, we explore three possible further developments: (i) using automatic criteria for choosing tho...

This paper considers estimation and inference concerning the autoregressive coefficient ( $\rho$ ) in a panel autoregression for which the degree of persistence in the time dimension is unknown. Our main objective is to construct confidence inte...

This paper begins with the observation that the constrained maximisation central to model estimation and hypothesis testing may be interpreted as a kind of profit maximisation. The output of estimation is a model that maximises some measure of model...

For modeling count time series data, one class of models is generalized integer autoregressive of order p based on thinning operators. It is shown how numerical maximum likelihood estimation is possible by inverting the probability generating functio...

This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms. Moving-average representations of the models are given. It is then shown that, under the assumption of martingale difference innovat...