Econometrics最新文献_第6页

Exploring Industry-Distress Effects on Loan Recovery: A Double Machine Learning Approach for Quantiles 探索行业困境对贷款回收的影响：量化的双机器学习方法

IF 1.5

Econometrics Pub Date : 2023-02-14 DOI: 10.3390/econometrics11010006

Hui-Ching Chuang, Jau‐er Chen

引用次数: 0

Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks 建立多元时变平滑过渡相关GARCH模型，并应用于澳洲四大银行

IF 1.5

Econometrics Pub Date : 2023-02-06 DOI: 10.3390/econometrics11010005

A. Hall, Annastiina Silvennoinen, T. Teräsvirta

引用次数: 1

Comparing the Conditional Logit Estimates and True Parameters under Preference Heterogeneity: A Simulated Discrete Choice Experiment 偏好异质性下条件Logit估计与真参数的比较：一个模拟的离散选择实验

IF 1.5

Econometrics Pub Date : 2023-01-25 DOI: 10.3390/econometrics11010004

Maksat Jumamyradov, Benjamin Matthew Craig, Murat K. Munkin, W. Greene

{"title":"Comparing the Conditional Logit Estimates and True Parameters under Preference Heterogeneity: A Simulated Discrete Choice Experiment","authors":"Maksat Jumamyradov, Benjamin Matthew Craig, Murat K. Munkin, W. Greene","doi":"10.3390/econometrics11010004","DOIUrl":"https://doi.org/10.3390/econometrics11010004","url":null,"abstract":"Health preference research (HPR) is the subfield of health economics dedicated to understanding the value of health and health-related objects using observational or experimental methods. In a discrete choice experiment (DCE), the utility of objects in a choice set may differ systematically between persons due to interpersonal heterogeneity (e.g., brand-name medication, generic medication, no medication). To allow for interpersonal heterogeneity, choice probabilities may be described using logit functions with fixed individual-specific parameters. However, in practice, a study team may ignore heterogeneity in health preferences and estimate a conditional logit (CL) model. In this simulation study, we examine the effects of omitted variance and correlations (i.e., omitted heterogeneity) in logit parameters on the estimation of the coefficients, willingness to pay (WTP), and choice predictions. The simulated DCE results show that CL estimates may have been biased depending on the structure of the heterogeneity that we used in the data generation process. We also found that these biases in the coefficients led to a substantial difference in the true and estimated WTP (i.e., up to 20%). We further found that CL and true choice probabilities were similar to each other (i.e., difference was less than 0.08) regardless of the underlying structure. The results imply that, under preference heterogeneity, CL estimates may differ from their true means, and these differences can have substantive effects on the WTP estimates. More specifically, CL WTP estimates may be underestimated due to interpersonal heterogeneity, and a failure to recognize this bias in HPR indirectly underestimates the value of treatment, substantially reducing quality of care. These findings have important implications in health economics because CL remains widely used in practice.","PeriodicalId":11499,"journal":{"name":"Econometrics","volume":" ","pages":""},"PeriodicalIF":1.5,"publicationDate":"2023-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46257938","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Acknowledgment to the Reviewers of Econometrics in 2022 2022年计量经济学审稿人答谢

IF 1.5

Econometrics Pub Date : 2023-01-19 DOI: 10.3390/econometrics11010003

引用次数: 0

Measuring Global Macroeconomic Uncertainty and Cross-Country Uncertainty Spillovers 衡量全球宏观经济不确定性和跨国不确定性溢出效应

IF 1.5

Econometrics Pub Date : 2022-12-28 DOI: 10.3390/econometrics11010002

Graziano Moramarco

引用次数: 0

Maximum Likelihood Inference for Asymmetric Stochastic Volatility Models 非对称随机波动率模型的极大似然推理

IF 1.5

Econometrics Pub Date : 2022-12-23 DOI: 10.3390/econometrics11010001

Omar Abbara, M. Zevallos

引用次数: 0

Manfred Deistler and the General-Dynamic-Factor-Model Approach to the Statistical Analysis of High-Dimensional Time Series Manfred Deistler和高维时间序列统计分析的一般动态因子模型方法

IF 1.5

Econometrics Pub Date : 2022-12-13 DOI: 10.3390/econometrics10040037

M. Hallin

引用次数: 0

Linear System Challenges of Dynamic Factor Models 动态因子模型对线性系统的挑战

IF 1.5

Econometrics Pub Date : 2022-12-06 DOI: 10.3390/econometrics10040035

B. Anderson, M. Deistler, Marco Lippi

引用次数: 2

Impact of the COVID-19 Pandemic on the Situation of Large Families in Poland COVID-19大流行对波兰大家庭状况的影响

IF 1.5

Econometrics Pub Date : 2022-12-01 DOI: 10.15611/eada.2022.4.02

Anna Bebel

{"title":"Impact of the COVID-19 Pandemic on the Situation of Large Families in Poland","authors":"Anna Bebel","doi":"10.15611/eada.2022.4.02","DOIUrl":"https://doi.org/10.15611/eada.2022.4.02","url":null,"abstract":"Abstract The aim of the article is to show the impact of the COVID-19 pandemic on the living situation of large families. The study paid particular attention to the economic and housing problems, as well as the mental condition and challenges related to remote learning. The study was primarily empirical. The article presents the results of quantitative research extended by a catalogue of open questions, together with the results of research conducted by the “Three Plus” Association of Large Families in May 2020. Statistical methods were used to analyse the data. The living conditions (in most of the examined dimensions) of most families with many children deteriorated during the pandemic. The most important problems faced by such families were primarily related to the labour market (employment and running a business), and housing (related to a deterioration of the mental condition of family members). However, the families also indicated closer family relations, caused by forced isolation and slowed-down pace of life (lack of commuting, additional activities, and other activities outside the home). Overall, families with more children, and those living in smaller flats experienced the most difficult situation.","PeriodicalId":11499,"journal":{"name":"Econometrics","volume":"26 1","pages":"17 - 29"},"PeriodicalIF":1.5,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41888063","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Forecasting Models Based on Fuzzy Logic: An Application on International Coffee Prices 基于模糊逻辑的预测模型在国际咖啡价格预测中的应用

IF 1.5

Econometrics Pub Date : 2022-12-01 DOI: 10.15611/eada.2022.4.01

Fatih Chellai

{"title":"Forecasting Models Based on Fuzzy Logic: An Application on International Coffee Prices","authors":"Fatih Chellai","doi":"10.15611/eada.2022.4.01","DOIUrl":"https://doi.org/10.15611/eada.2022.4.01","url":null,"abstract":"Abstract In recent decades, Fuzzy Time Series (FTS) has become a competitive, sometimes complementary, approach to classical time series methods such as that of Box-Jenkins. This study has two different purposes: a theoretical purpose, presenting an overview of the fuzzy logic and fuzzy time series models, and a practical purpose, which is to estimate and forecast monthly international coffee prices during the period 2000-2022. Analysing and forecasting the dynamics of coffee prices is of great interest to producers, consumers, and other market actors in managing and making rational decisions. The findings showed that international coffee prices exhibited significant fluctuations, with large increases and decreases influenced mainly by the level of top-ranked producers. The forecasted results revealed that a decrease in prices during the next six months (Jan 2023 to June 2023) is expected. Based on the results, it is also clear that the FTS models are more flexible and can be applied in forecasting time-series variables. At the same time, volatility and, sometimes, the unexpected swingsin coffee prices continue to draw more criticism and raise different issues regarding the roles of the markets and countries in ensuring food security.","PeriodicalId":11499,"journal":{"name":"Econometrics","volume":"26 1","pages":"1 - 16"},"PeriodicalIF":1.5,"publicationDate":"2022-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49335454","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1