Econometrics and Statistics最新文献_第3页

Erratum regarding missing Declaration of Competing Interest statements in previously published articles 关于先前发表的文章中缺少竞争利益声明的勘误表

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Econometrics and Statistics Pub Date : 2025-01-01 DOI: 10.1016/j.ecosta.2021.02.005

引用次数: 0

Delayed Monetary Policy Effects in a Multi-Regime Cointegrated VAR(MRCIVAR) 多制度协整VAR（MRCIVAR）下的延迟货币政策效应

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Econometrics and Statistics Pub Date : 2025-01-01 DOI: 10.1016/j.ecosta.2022.03.004

Pu Chen , Willi Semmler , Helmut Maurer

{"title":"Delayed Monetary Policy Effects in a Multi-Regime Cointegrated VAR(MRCIVAR)","authors":"Pu Chen , Willi Semmler , Helmut Maurer","doi":"10.1016/j.ecosta.2022.03.004","DOIUrl":"10.1016/j.ecosta.2022.03.004","url":null,"abstract":"<div><div><span>The effectiveness of monetary policies under delayed policy impacts are explored. Initially, in the context of a </span>differential delay<span> system, the macro-finance link is investigated. The nonlinear macro system with delays gives rise to a time-delayed optimal control<span><span> problem. The optimality conditions are then analyzed, and the control problem is numerically solved by </span>discretization and optimization methods. These solutions suggest that with too much delay, destabilizing financial conditions may emerge, rendering the policy ineffective. Then the possibility of asymmetric adjustments to a long-run steady-state, in a non-stationary environment is explored using a multi-regime cointegrated VAR (MRCIVAR) model for both an interest rate cut, and a non-interest rate cut regime. Though the rate cuts may not perform well with too long of a delay, given diverse shocks, monetary policy still performs better in a rate cut regime. Given the perils of deteriorating financial conditions, the better stabilization properties in a rate cut regime are empirically validated through data for European countries and the US.</span></span></div></div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"33 ","pages":"Pages 105-134"},"PeriodicalIF":2.0,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73411363","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

Risk Estimation With Composite Quantile Regression 基于复合分位数回归的风险估计

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Econometrics and Statistics Pub Date : 2025-01-01 DOI: 10.1016/j.ecosta.2022.04.004

Eliana Christou, Michael Grabchak

引用次数: 0

Erratum regarding missing Declaration of Competing Interest statements in previously published articles 关于先前发表的文章中缺少竞争利益声明的勘误表

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Econometrics and Statistics Pub Date : 2025-01-01 DOI: 10.1016/j.ecosta.2021.02.002

引用次数: 0

Diversifying Trends 多元化的趋势

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Econometrics and Statistics Pub Date : 2025-01-01 DOI: 10.1016/j.ecosta.2021.09.002

Charles Chevalier , Serge Darolles

引用次数: 0

Multiplicative Error Models: 20 years on 乘法误差模型：20年过去了

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Econometrics and Statistics Pub Date : 2025-01-01 DOI: 10.1016/j.ecosta.2022.05.005

Fabrizio Cipollini , Giampiero M. Gallo

引用次数: 0

Panel cointegrating polynomial regression analysis and an illustration with the environmental kuznets curve 面板协整多项式回归分析及环境库兹涅茨曲线图解

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Econometrics and Statistics Pub Date : 2025-01-01 DOI: 10.1016/j.ecosta.2022.03.005

Robert M. de Jong , Martin Wagner

引用次数: 0

Erratum regarding missing Declaration of Competing Interest statements in previously published articles 关于先前发表的文章中缺少竞争利益声明的勘误表

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Econometrics and Statistics Pub Date : 2025-01-01 DOI: 10.1016/j.ecosta.2021.02.001

引用次数: 0

New estimation approaches for graphical models with elastic net penalty 具有弹性网惩罚的图形模型的新估计方法

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Econometrics and Statistics Pub Date : 2025-01-01 DOI: 10.1016/j.ecosta.2022.06.003

Davide Bernardini, Sandra Paterlini, Emanuele Taufer

{"title":"New estimation approaches for graphical models with elastic net penalty","authors":"Davide Bernardini, Sandra Paterlini, Emanuele Taufer","doi":"10.1016/j.ecosta.2022.06.003","DOIUrl":"10.1016/j.ecosta.2022.06.003","url":null,"abstract":"<div><div>In the context of undirected Gaussian graphical models, three estimators based on elastic net penalty for the underlying dependence graph are introduced. The aim is to estimate a sparse precision matrix, from which to retrieve both the underlying conditional dependence graph and the partial correlations. The first estimator is derived from the direct penalization of the precision matrix in the likelihood function, while the second uses penalized regressions to estimate the precision matrix. Finally, the third estimator relies on a two stage procedure that estimates the edge set first and then the precision matrix elements. Through simulations the performances of the proposed methods are investigated on a set of well-known network structures. Results on simulated data show that in high-dimensional situations the second estimator performs relatively well, while in low-dimensional settings the two stage procedure outperforms most estimators as the sample size grows. Nonetheless, there are situations where the first estimator is also a good choice. Mixed results suggest that the elastic net penalty is not always the best choice when compared to the LASSO penalty, i.e. pure <span><math><msub><mi>ℓ</mi><mn>1</mn></msub></math></span><span> penalty, even if elastic net penalty tends to outperform LASSO in presence of highly correlated data from the cluster structure. Finally, using real-world data on U.S. economic sectors, dependencies are estimated and the impact of Covid-19 pandemic on the network strength is studied.</span></div></div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"33 ","pages":"Pages 258-281"},"PeriodicalIF":2.0,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88726912","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

Testing the Predictive Ability of Possibly Persistent Variables under Asymmetric Loss 非对称损失下可能持续变量的预测能力检验

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Econometrics and Statistics Pub Date : 2025-01-01 DOI: 10.1016/j.ecosta.2021.09.004

Matei Demetrescu , Christoph Roling

{"title":"Testing the Predictive Ability of Possibly Persistent Variables under Asymmetric Loss","authors":"Matei Demetrescu , Christoph Roling","doi":"10.1016/j.ecosta.2021.09.004","DOIUrl":"10.1016/j.ecosta.2021.09.004","url":null,"abstract":"<div><div>Tests of no predictability under an asymmetric power loss function are considered. While this task does not pose difficulties for stationary predictors, non-standard limiting distributions may arise for standard inferential tools when the putative predictors are endogenous (i.e. there is contemporaneous dependence between the shocks of the regressor and of the dependent variable) and of high persistence (i.e. the predictor is reverting slowly to its long-run mean, if at all). It is argued that endogeneity should be interpreted in relation to the relevant loss-function; thus, no endogeneity under MSE loss does not imply, and is not implied by, lack of endogeneity under an asymmetric loss function. To deal with other loss functions than the MSE loss, an overidentified instrumental variable-based test is proposed. The test statistic uses an instrument of high persistence, yet exogenous, and a possibly endogenous one, yet less persistent. The statistic follows a limiting null chi-squared distribution irrespective of the actual degree of persistence of the predictor. The proposed methodology is applied with the forward premium puzzle by providing evidence that asymmetric losses are of empirical relevance and by subsequently conducting robust inference of the rational expectations hypothesis.</div></div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"33 ","pages":"Pages 80-104"},"PeriodicalIF":2.0,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88979690","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