In this paper we reconsider large Bayesian Vector Autoregressions (BVAR) from the point of view of Bayesian Compressed Regression (BCR). First, we show that there are substantial gains in terms of out-of-sample forecasting by treating the problem as an error-in-variables formulation and...

In this paper we exploit properties of the likelihood function of the stochastic volatility model to show that it can be approximated accurately and efficiently using a response surface methodology. The approximation is across the plausible range of parameter values and all possible data and is...

In this paper we develop and apply a stochastic multistage dynamic cooperative game for managing transboundary water resources, within the water-food-energy nexus framework, under climate uncertainty. The mathematical model is solved for the non-cooperative and cooperative (Stackelberg...

In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i) we provide approximations by finite location-scale mixtures and (ii) versions of approximate...

We develop a novel unified econometric methodology for the formal examination of the market power -- cost efficiency nexus. Our approach can meaningfully accommodate a mutually dependent relationship between the firm's cost efficiency and marker power (as measured by the Lerner index) by...

This paper employs a vector autoregressive (VAR) model that nests neural networks and uses Mixed Data Sampling (MIDAS) techniques. We use data information related to COVID-19, financial markets, and household finances. In this paper, we investigate whether COVID-19 impacts household finances,...

In this paper, we consider the stochastic ray production function that has been revived recently by Henningsen et al. (2017). We use a profit-maximizing framework to resolve endogeneity problems that are likely to arise, as in all distance functions, and we derive the system of equations after...

Purpose: This paper aims to foster a new discussion on endogeneity in hospitality and tourism research. Design/methodology/approach: This paper elaborates on some of the common sources of endogeneity and the methods available to address them. Findings: The authors present a variety of methods...

Purpose: This paper aims to focus on addressing endogeneity using instrument-free methods. The authors discuss some extensions to well-known techniques. Design/methodology/approach: This paper discusses some attractive methods to address endogeneity without the need for instruments. The methods...