Two-step estimation with large panel data sets generally involves estimating vectors of individual-specific coefficients in a first-stage. In a second-stage estimation a vector of estimated coefficients is used as the dependent variable. Potential problems of heteroskedasticity in the second...

We propose a test for the evaluation of statistical acceptability of a functional constraint which is imposed on parameters in the mixed data sampling regressions. The asymptotic behavior of the test statistic is characterized and a few other extensions are discussed.

We transpose the Generalized Impulse-Response Function (GIRF) developed by Koop et al. (1996) to Markov-Switching structural VARs. As the algorithm displays an exponentially increasing complexity as regards the prediction horizon, we use the collapsing technique to easily obtain simulated...

A new method of assessing the comparative quality of forecasting models is introduced. This method focuses on the quality of forecasting models over a set of series (cf. the traditionally adopted series-by-series approach)–with a forecasting model that produces good forecasts over a series set...

There is a growing literature on the realized volatility (RV) forecasting of asset returns using high-frequency data. We explore the possibility of forecasting RV with factor analysis; once considering the significant jumps. A real high-frequency financial data application suggests that the...

This paper considers Bayesian variable selection in regressions with a large number of possibly highly correlated macroeconomic predictors. I show that acknowledging the correlation structure in the predictors can improve forecasts over existing popular Bayesian variable selection algorithms.

We propose a new semiparametric autoregressive duration (SACD) model, which incorporates the parametric and nonparametric estimators of the conditional duration in a multiplicative way. Asymptotic properties for this combined estimator are presented. The empirical application to the transaction...

The Nelson–Olsen covariance estimator of the simultaneous least squares-probit model is adjusted to accommodate probability based stratified surveys. A simultaneous model of body mass and the propensity to exercise provides an empirical example using stratified survey data.

This paper employs panel methods that address/mitigate heterogeneity and cross-sectional dependence to determine the direction and sign of long-run causality between transport energy consumption per capita and real GDP per capita. Granger-causality was determined to run from GDP to energy.

We proposed a method to estimate extreme conditional quantiles by combining quantile GARCH model of Xiao and Koenker (2009) and extreme value theory (EVT) approach. We first estimate the latent volatility process using the information of intermediate quantiles. We then apply EVT to the tail...