Econometrics and Statistics最新文献

Calibrating with a smile: A Mellin transform approach to volatility surface calibration 微笑校准：一种基于Mellin变换的挥发性面校准方法

IF 2.5

Econometrics and Statistics Pub Date : 2025-10-01 DOI: 10.1016/j.ecosta.2022.05.004

M. Rodrigo , A. Lo

引用次数: 0

GMM Model Averaging Using Higher Order Approximations 使用高阶近似的GMM模型平均

IF 2.5

Econometrics and Statistics Pub Date : 2025-10-01 DOI: 10.1016/j.ecosta.2022.09.004

Luis F. Martins , Vasco J. Gabriel

{"title":"GMM Model Averaging Using Higher Order Approximations","authors":"Luis F. Martins , Vasco J. Gabriel","doi":"10.1016/j.ecosta.2022.09.004","DOIUrl":"10.1016/j.ecosta.2022.09.004","url":null,"abstract":"<div><div><span>Moment conditions model averaging (MA) estimators in the GMM framework are considered. Under finite sample considerations, MA estimators with optimal weights are proposed, in the sense that weights minimize the corresponding higher-order asymptotic mean squared error (AMSE). It is shown that the higher-order AMSE objective function has a closed-form expression, which makes this procedure applicable in practice. In addition, and as an alternative, different averaging schemes based on moment selection criteria are considered, in which weights for averaging across GMM estimates can be obtained by direct smoothing or by numerical minimization of a specific criterion. Asymptotic properties assuming correctly specified models are derived and the performance of the proposed averaging approaches is contrasted with existing model selection alternatives </span><span><math><mrow><mi>i</mi><mo>)</mo></mrow></math></span> analytically, for a simple IV example, and <span><math><mrow><mi>i</mi><mi>i</mi><mo>)</mo></mrow></math></span> by means of Monte Carlo experiments in a nonlinear setting, showing that MA compares favourably in many relevant setups. The usefulness of MA methods is illustrated by studying the effect of institutions on economic performance.</div></div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"36 ","pages":"Pages 37-54"},"PeriodicalIF":2.5,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77529352","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

Nonparametric estimation of copulas and copula densities by orthogonal projections 用正交投影估计联结体和联结体密度的非参数

IF 2.5

Econometrics and Statistics Pub Date : 2025-10-01 DOI: 10.1016/j.ecosta.2023.04.002

Yves I. Ngounou Bakam , Denys Pommeret

引用次数: 0

Nearest neighbor matching: M-out-of-N bootstrapping without bias correction vs. the naive bootstrap 最近邻匹配：无偏差校正的m -of- n自举与朴素自举

IF 2.5

Econometrics and Statistics Pub Date : 2025-10-01 DOI: 10.1016/j.ecosta.2023.04.005

Christopher Walsh , Carsten Jentsch

引用次数: 0

The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight GARCH模型估计中收益和期权的好处。Heston-Nandi GARCH的见解

IF 2.5

Econometrics and Statistics Pub Date : 2025-10-01 DOI: 10.1016/j.ecosta.2022.12.001

Marcos Escobar-Anel , Lars Stentoft , Xize Ye

{"title":"The benefits of returns and options in the estimation of GARCH models. A Heston-Nandi GARCH insight","authors":"Marcos Escobar-Anel , Lars Stentoft , Xize Ye","doi":"10.1016/j.ecosta.2022.12.001","DOIUrl":"10.1016/j.ecosta.2022.12.001","url":null,"abstract":"<div><div>In a controlled, simulated setting, the questions of what the benefits are of including option prices in the estimation of GARCH models<span>, the extent to which options can replace returns, and what the best type of options is for estimation, are addressed. The computational advantages of affine GARCH models for option pricing make these questions numerically tractable, therefore the experiments focus on the Heston-Nandi GARCH model. Three estimation methods, namely, returns-only estimation, options-only calibration and joint returns-options estimation-calibration are compared. The study reveals that, although the benefit is insignificant for the risk premium factor, adding options significantly reduces the standard errors of the GARCH dynamic parameters. This conclusion holds true under both linear and variance-dependent pricing kernels. The results suggest that, in a realistic setting, practitioners can use a large and recent sample of option prices to compensate for the lack of available return data. As a by-product, evidence also shows that out-of-the-money, short-maturity options are the best choice to improve the quality of the estimation.</span></div></div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"36 ","pages":"Pages 1-18"},"PeriodicalIF":2.5,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72408877","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

Technical efficiency and inefficiency: Reliability of standard SFA models and a misspecification problem 技术效率和低效率：标准SFA模型的可靠性和错误规范问题

IF 2.5

Econometrics and Statistics Pub Date : 2025-10-01 DOI: 10.1016/j.ecosta.2021.12.006

Subal C. Kumbhakar , A. Peresetsky , Y. Shchetynin , A. Zaytsev

{"title":"Technical efficiency and inefficiency: Reliability of standard SFA models and a misspecification problem","authors":"Subal C. Kumbhakar , A. Peresetsky , Y. Shchetynin , A. Zaytsev","doi":"10.1016/j.ecosta.2021.12.006","DOIUrl":"10.1016/j.ecosta.2021.12.006","url":null,"abstract":"<div><div>It is formally proven that if inefficiency (<span><math><mi>u</mi></math></span>) is modelled through its variance, considered as a function of exogenous variables <span><math><mi>z</mi></math></span>, then the marginal effects of <span><math><mi>z</mi></math></span> on technical inefficiency (<span><math><mrow><mi>T</mi><mi>I</mi></mrow></math></span>) and technical efficiency (<span><math><mrow><mi>T</mi><mi>E</mi></mrow></math></span>) have opposite signs in the typical setup with a normally distributed random error and an exponentially or half-normally distributed <span><math><mi>u</mi></math></span>. This is true for both conditional and unconditional <span><math><mrow><mi>T</mi><mi>I</mi></mrow></math></span> and <span><math><mrow><mi>T</mi><mi>E</mi></mrow></math></span>. An example is provided to show that the signs of the marginal effects of <span><math><mi>z</mi></math></span> on <span><math><mrow><mi>T</mi><mi>I</mi></mrow></math></span> and <span><math><mrow><mi>T</mi><mi>E</mi></mrow></math></span> may coincide for some ranges of <span><math><mi>z</mi></math></span>. If the real data comes from a bimodal distribution of <span><math><mi>u</mi></math></span>, and a model is estimated with an exponential or half-normal distribution for <span><math><mi>u</mi></math></span>, the estimated efficiency and the marginal effect of <span><math><mi>z</mi></math></span> on <span><math><mrow><mi>T</mi><mi>E</mi></mrow></math></span> could be wrong. Moreover, the rank correlations between the true and the estimated values of <span><math><mrow><mi>T</mi><mi>E</mi></mrow></math></span> could be small and even negative for some subsamples of the data. This is a warning that in the case when the true (real life) distribution of the inefficiency is bimodal, commonly used standard SFA models could lead to wrong policy recommendations. The kernel density plot of the residuals is suggested as a diagnostic plot. The results are illustrated by simulations.</div></div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"36 ","pages":"Pages 55-72"},"PeriodicalIF":2.5,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145223591","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

Approximation of BSDE with hidden forward equation and unknown volatility 隐含前向方程和未知波动率的BSDE逼近

IF 2.5

Econometrics and Statistics Pub Date : 2025-10-01 DOI: 10.1016/j.ecosta.2023.01.002

Oleg V. Chernoyarov , Yury A. Kutoyants

引用次数: 0

Variable Selection in Macroeconomic Forecasting with Many Predictors 多变量宏观经济预测中的变量选择

IF 2.5

Econometrics and Statistics Pub Date : 2025-10-01 DOI: 10.1016/j.ecosta.2023.01.003

Zhenzhong Wang, Zhengyuan Zhu, Cindy Yu

{"title":"Variable Selection in Macroeconomic Forecasting with Many Predictors","authors":"Zhenzhong Wang, Zhengyuan Zhu, Cindy Yu","doi":"10.1016/j.ecosta.2023.01.003","DOIUrl":"10.1016/j.ecosta.2023.01.003","url":null,"abstract":"<div><div><span><span>In the data-rich environment, using many economic predictors to forecast a few key variables has become a new trend in econometrics. The commonly used approach is factor augment (FA) approach. This paper pursues another direction, variable selection (VS) approach, to handle high-dimensional predictors. VS is an active topic in statistics and computer science. However, it does not receive as much attention as FA in economics. This paper introduces several cutting-edge VS methods to </span>economic forecasting, which includes: (1) classical greedy procedures; (2) </span><span><math><msub><mi>l</mi><mn>1</mn></msub></math></span><span><span> regularization; (3) false-discovery-rate control methods, (4) </span>gradient descent<span><span><span> with sparsification and (5) meta-heuristic algorithms. Comprehensive simulation studies are conducted to compare their variable selection accuracy and prediction performance under different scenarios. Among the reviewed methods, a meta-heuristic algorithm called sequential Monte Carlo algorithm performs the best. Surprisingly the classical forward selection is comparable to it and better than other more sophisticated algorithms. In addition, these VS methods are applied on economic forecasting<span> and compared with the popular FA approach. It turns out for employment rate and CPI </span></span>inflation, some VS methods can achieve considerable improvement over FA, and the selected predictors can be well explained by </span>economic theories.</span></span></div></div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"36 ","pages":"Pages 19-36"},"PeriodicalIF":2.5,"publicationDate":"2025-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83123283","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

Joint Hypothesis Testing from Heterogeneous Samples under Cross-dependence 交叉依赖下异质性样本的联合假设检验

IF 2

Econometrics and Statistics Pub Date : 2025-07-01 DOI: 10.1016/j.ecosta.2022.07.004

Uwe Hassler , Mehdi Hosseinkouchack

引用次数: 0

An Automatic Portmanteau Test For Nonlinear Dependence 非线性相关性的自动组合检验

IF 2

Econometrics and Statistics Pub Date : 2025-07-01 DOI: 10.1016/j.ecosta.2022.12.003

Charisios Grivas

引用次数: 0