It is 50 years since the first Nobel Prize in economics was awarded to Jan Tinbergen and Ragnar Frisch. This article analyzes, based on their correspondence, the cooperation between these pioneers of econometrics which spanned four decades and various subfields in economics. It is demonstrated...

This free software guide for Python with freely downloadable datasets brings the econometric techniques to life, showing readers how to implement the approaches presented in Introductory Econometrics for Finance using this highly popular software package. Designed to be used alongside the main...

Redenomination and default risk are key issues for European sovereign bond markets. Which of the two credit events is more likely? And which is expected to occur first? For Italy, France, Germany and Netherlands we find that redenomination abruptly rises above default risk since February 2017,...

We propose the use of indirect inference estimation to conduct inference in complex locally stationary models. We develop a local indirect inference algorithm and establish the asymptotic properties of the proposed estimator. Due to the nonparametric nature of locally stationary models, the...

Cross-sectional asset pricing tests with GMM can generate spuriously high explanatory power for factor models when the moment conditions are specified such that they allow the estimated factor means to substantially deviate from the observed sample averages. In fact, by shifting the weights on...

We present a new class of methods for identification and inference in dynamic models with serially correlated unobservables, which typically imply that state variables are econometrically endogenous. In the context of Industrial Organization, these state variables often reflect econometrically...

This article compares two asymmetric Gaussian likelihood models and their corresponding estimators. Recently, there has been confusion in the literature regarding these models and: (1) whether they are the same, or (2) whether both of them can be used to estimate expectiles. After the...

Game-theoretic models of learning are hard to study even in the laboratory setting due to econometric and practical concerns (like the limited length of an experimental session).In particular, as the simulations by (Salmon, 2001) show, in a cross-model (or "blind'') testing of several models,...

This paper aims at a critical assessment of the DSGE asset pricing approach. By employing partial indirect inference, we acknowledge that parts of a model are misspecified, while others retain the claim to capture economic reality, namely the ability to price assets traded in real markets....

Investors recently are really concerned about the risk aspects associated with the investment in securities. Volatility calculation, therefore, has become an important aspect in the financial markets. For these reasons time series models are greatly used to forecast volatility. One such model is...