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A parametric factor model of the term structure of mortality

Haldrup, Niels; Rosenskjold, Carsten P. T. - In: Econometrics : open access journal 7 (2019) 1/9, pp. 1-22

The prototypical Lee-Carter mortality model is characterized by a single common time factor that loads differently across age groups. In this paper, we propose a parametric factor model for the term structure of mortality where multiple factors are designed to influence the age groups...

Persistent link: https://www.econbiz.de/10012025646

Unit root tests : the role of the univariate models implied by multivariate time series

Cappuccio, Nunzio; Lubian, Diego - In: Econometrics : open access journal 4 (2016) 2, pp. 1-11

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series …

Persistent link: https://www.econbiz.de/10011505987

Nonparametric regression estimation for multivariate null recurrent processes

Cai, Biqing; Tjostheim, Dag - In: Econometrics : open access journal 3 (2015) 2, pp. 265-288

This paper discusses nonparametric kernel regression with the regressor being a d-dimensional ß-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate p n(T)hd, where n(T) is the number of regenerations...

Persistent link: https://www.econbiz.de/10011297654

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …

Persistent link: https://www.econbiz.de/10011505854

Asymptotic theory for cointegration analysis when the cointegration rank is deficient

Bernstein, David H.; Nielsen, Bent - In: Econometrics : open access journal 7 (2019) 1/6, pp. 1-24

We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of … interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive … asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions …

Persistent link: https://www.econbiz.de/10012025653

Likelihood ratio tests of restrictions on common trends loading matrices in I(2) VAR Systems

Boswijk, Herman Peter; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 3, pp. 1-17

cointegration parameters. Algorithms for (constrained) maximum likelihood estimation are presented, and asymptotic properties …

Persistent link: https://www.econbiz.de/10011710948

Formula I(1) and I(2) : race tracks for likelihood maximization algorithms of I(1) and I(2) cointegrated VAR models

Doornik, Jurgen A.; Mosconi, Rocco; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 4, pp. 1-30

This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...

Persistent link: https://www.econbiz.de/10011781891

State-space models on the Stiefel manifold with a new approach to nonlinear filtering

Yang, Yukai; Bauwens, Luc - In: Econometrics : open access journal 6 (2018) 4, pp. 1-22

We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the...

Persistent link: https://www.econbiz.de/10011945700

Jointly modeling male and female labor participation and unemployment

Bernstein, David H.; Martinez, Andrew B. - In: Econometrics : open access journal 9 (2021) 4, pp. 1-14

The COVID-19 pandemic resulted in the most abrupt changes in U.S. labor force participation and unemployment since the Second World War, with different consequences for men and women. This paper models the U.S. labor market to help to interpret the pandemic’s effects. After replicating and...

Persistent link: https://www.econbiz.de/10012697808

Dynamic panel modeling of climate change

Phillips, Peter C. B. - In: Econometrics : open access journal 8 (2020) 3/30, pp. 1-28

standard dynamic panel regression and cointegration techniques that have been used in earlier research. The findings reveal …

Persistent link: https://www.econbiz.de/10012265695