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 number of instruments in comparison to the high...

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 Gaussian Noise process, which we approximate as a...

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 environmental impact. This study aims to analyze the...

Purpose - This study aims to find suitable replacements for hypothesis testing and variable-importance measures. Design/methodology/approach - This study explores under-used predictive methods. Findings - The study's hypothesis testing can and should be replaced by predictive methods. It is the...

This paper studies how quantitative easing (QE) affects household welfare across the wealth distribution. I build a Heterogeneous Agent New Keynesian (HANK) model with household portfolio choice, wage and price rigidities, endogenous unemployment, frictional financial intermediation, an...

In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....