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Gold, oil, and stocks : dynamic correlations

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

Persistent link: https://www.econbiz.de/10010515402

Testing for common cyclical features in var models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short-run dynamics. We distinguish between strong and...

Persistent link: https://www.econbiz.de/10011398127

Variable selection and forecasting in high dimensional linear regressions with structural breaks

Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...

Persistent link: https://www.econbiz.de/10012258549

Global food prices and inflation

Anderl, Christina; Caporale, Guglielmo Maria - 2024

This paper uses the endogenous regime switching model with dynamic feedback and interactions developed by Chang et al. (2023) to estimate global food price mean and volatility indicators, the latter measuring uncertainty and risk in the global food market. Both are then included in structural...

Persistent link: https://www.econbiz.de/10014490903

Estimating dynamic equilibrium models using mixed frequency macro and financial data

Christensen, Bent Jesper; Posch, Olaf; Wel, Michel van der - 2014

We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous-time conveniently accounts for the difference in observation...

Persistent link: https://www.econbiz.de/10010417979

Identification and estimation of heterogeneous agent models : a likelihood approach

Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2017

parameter without compromising the estimation of the remaining parameters of the model. An empirical illustration of our maximum …

Persistent link: https://www.econbiz.de/10011745280

A bias-corrected method of moments approach to estimation of dynamic Short-T panels

Chudik, Alexander; Pesaran, M. Hashem - 2017

searching for instruments that are uncorrelated with the errors, in cases where the correlation between the target variables and … have maximum correlation with the target variables and the problem of weak instrument is thus avoided. The proposed … approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we …

Persistent link: https://www.econbiz.de/10011735967

Identification and estimation of categorical random coefficient models

Gao, Zhan; Pesaran, M. Hashem - 2022

This paper proposes a linear categorical random coefficient model, in which the random coefficients follow parametric categorical distributions. The distributional parameters are identified based on a linear recurrence structure of moments of the random coefficients. A Generalized Method of...

Persistent link: https://www.econbiz.de/10013183733

Analysis of multiple long run relations in panel data models with applications to financial ratio

Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron - 2025

linkages. To our knowledge, no other estimation procedure exists for this setting. We show the PME estimator is consistent and …

Persistent link: https://www.econbiz.de/10015409539

Variable selection in high dimensional linear regressions with parameter instability

Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2023

variable as well as the correlation of the covariates in the active set are allowed to vary over time, without committing to … establish three main theorems on selection, estimation post selection, and in-sample fit. These theorems provide justification …

Persistent link: https://www.econbiz.de/10013494088