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On uniform asymptotic risk of averaging GMM estimators

Cheng, Xu; Liao, Zhipeng; Shi, Ruoyao - In: Quantitative economics : QE ; journal of the … 10 (2019) 3, pp. 931-979

This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment … conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is … averaging GMM estimator and the conservative GMM estimator. Under some sufficient conditions, we show that the asymptotic lower …

Persistent link: https://www.econbiz.de/10012049321

A new approach to estimating private returns to R&D

Cappelen, Ådne; Mohnen, Pierre A.; Raknerud, Arvid; … - 2023

This paper revisits the estimation of private returns to R&D. In an extension of the standard approach, we allow for endogeneity of production decisions, heterogeneity of R&D elasticities, and asymmetric treatment of intramural and extramural R&D. Our empirical analyses are based on an extended...

Persistent link: https://www.econbiz.de/10014335229

Challenging the Empirical Evidence from Present Value Models of the Current Account

Mercereau, Benoît - 2006

Under near-singularity conditions typically generated by persistence in current account data the predictions of present value models become extremely sensitive to small sample estimation error. Moreover, traditional Wald tests will distort the likelihood that the model is true. Using OECD data...

Persistent link: https://www.econbiz.de/10012783079

Assessing Global Economic Activity Linkages : An Empirical Exercise Based on Global Autoregressive Regression

Marçal, Emerson Fernandes - 2018

Economic performance increasingly relies on global economic environment due to the growing importance of international trade and financial links among countries. Literature on growth spillovers shows various gains obtained by this interaction. In this context, this work aims to analyze the...

Persistent link: https://www.econbiz.de/10012936156

A simple instrument for proxy vector autoregressive analysis

Boer, Lukas; Lütkepohl, Helmut - 2020

A major challenge for proxy vector autoregressive analysis is the construction of a suitable instrument variable for identifying a shock of interest. We propose a simple proxy that can be constructed whenever the dating and sign of particular shocks are known. It is shown that the proxy can lead...

Persistent link: https://www.econbiz.de/10012301348

Qualitative versus quantitative external information for proxy vector autoregressive analysis

Boer, Lukas; Lütkepohl, Helmut - 2021

A major challenge for proxy vector autoregressive analysis is the construction of a suitable external instrument variable or proxy for identifying a shock of interest. Some authors construct sophisticated proxies that account for the dating and size of the shock while other authors consider...

Persistent link: https://www.econbiz.de/10012498418

Joint Bayesian Inference About Impulse Responses in VAR Models

Inoue, Atsushi; Kilian, Lutz - 2020

Structural VAR models are routinely estimated by Bayesian methods. Several recent studies have voiced concerns about the common use of posterior median (or mean) response functions in applied VAR analysis. In this paper, we show that these response functions can be misleading because in...

Persistent link: https://www.econbiz.de/10014048816

Maximum Likelihood in the Frequency Domain : A Time to Build Example

Christiano, Lawrence J.; Vigfusson, Robert J. - 1999

A well known result is that the Gaussian log-likelihood can be expressed as the sum over different frequency components. This implies that the likelihood ratio statistic has a similar linear decomposition. We exploit these observations to devise diagnostic methods that are useful for...

Persistent link: https://www.econbiz.de/10014197599

Path Forecast Evaluation

Jordà, Òscar; Marcellino, Massimiliano - 2014

A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given confidence level requires construction of simultaneous confidence regions that adjust for any covariance between the elements...

Persistent link: https://www.econbiz.de/10014216513

NETS : Network Estimation for Time Series

Barigozzi, Matteo; Brownlees, Christian - 2018

We model a large panel of time series as a VAR where the autoregressive matrices and the inverse covariance matrix of the system innovations are assumed to be sparse. The system has a network representation in terms of a directed graph representing predictive Granger relations and an undirected...

Persistent link: https://www.econbiz.de/10014158917