Cause-effect relations are central in economic analysis. Uncovering empirical cause-effect relations is one of the main research activities of empirical economics. In this paper we develop a time series casual model to explore casual relations among economic time series. The time series causal...

Granger causality as a popular concept in time series analysis is widely applied in empirical research. The interpretation of Granger causality tests in a cause-effect context is, however, often unclear or even controversial, so that the causality label has faded away. Textbooks carefully warn...

In this paper we present a grouped factor model that is designed to explore grouped structures in factor models. We develop an econometric theory consisting of a consistent classification rule to assign variables to their respective groups and a class of consistent model selection criteria to...

In this paper we present a grouped factor model that is designed to explore clustering structures in large factor models. We develop a procedure that will endogenously assign variables to groups, determine the number of groups, and estimate common factors for each group. The grouped factor model...

In this paper we present a grouped factor model that is designed to explore grouped structures in factor models. We develop an econometric theory consisting of a consistent classification rule to assign variables to their respective groups and a class of consistent model selection criteria to...

In this paper we study factor models for security returns on financial markets, where some pervasive factors are common across all securities and other pervasive factors prevail only within some groups of securities but not in others. This kind of structured factors allow a more nuanced analysis...

In this paper we study factor models for security returns on financial markets, where some pervasive factors are common across all securities and other pervasive factors prevail only within some groups of securities but not in others. This kind of structured factors allow a more nuanced analysis...

Using a model selection approach, this thesis proposes a constructive data-and-theory-combined procedure to identify model structures in the framework of a linear simultaneous equations system based on observed data. A model structure is characterized by restrictions on the structural...

The paper studies a credit market model with endogenous credit cost and debt constraints in which multiple candidates for steady state equilibria arise. We use dynamic programming (DP) with exible grid size to locate thresholds that separate different domains of attraction. More specifically, we...

We discuss two optimization problems from economics. The first is a model of optimal investment and the second is a model of resource management. In both cases the time horizon is infinite and the optimal control variables are continuous. Typically, in these optimal control problems multiple...