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Journal of econometrics
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2014
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2014 v.182 no.1
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- Author:
- Granziera, Eleonora; Hubrich, Kirstin; Moon, Hyungsik Roger
- Source:
- Journal of econometrics 2014 v.182 no.1 pp. 174-185
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; inflation; nesting; prediction; statistics; United States
- Abstract:
- ... We introduce quasi-likelihood ratio tests for one sided multivariate hypotheses to evaluate the null that a parsimonious model performs equally well as a small number of models which nest the benchmark. The limiting distributions of the test statistics are non-standard. For critical values we consider: (i) bootstrapping and (ii) simulations assuming normality of the mean square prediction error di ...
- DOI:
- 10.1016/j.jeconom.2014.04.016
- http://dx.doi.org/10.1016/j.jeconom.2014.04.016

- Author:
- Kaido, Hiroaki; White, Halbert
- Source:
- Journal of econometrics 2014 v.182 no.1 pp. 5-13
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory
- Abstract:
- ... This paper studies a two-stage procedure for estimating partially identified models, based on Chernozhukov, Hong, and Tamer’s (2007) theory of set estimation and inference. We consider the case where a sub-vector of parameters or their identified set can be estimated separately from the rest, possibly subject to a priori restrictions. Our procedure constructs the second-stage set estimator and con ...
- DOI:
- 10.1016/j.jeconom.2014.04.004
- http://dx.doi.org/10.1016/j.jeconom.2014.04.004

- Author:
- Gonçalves, Sílvia; Perron, Benoit
- Source:
- Journal of econometrics 2014 v.182 no.1 pp. 156-173
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; regression analysis; time series analysis
- Abstract:
- ... This paper proposes and theoretically justifies bootstrap methods for regressions where some of the regressors are factors estimated from a large panel of data. We derive our results under the assumption that T/N→c, where 0≤c<∞ (N and T are the cross-sectional and the time series dimensions, respectively), thus allowing for the possibility that the factor estimation error enters the limiting distr ...
- DOI:
- 10.1016/j.jeconom.2014.04.015
- http://dx.doi.org/10.1016/j.jeconom.2014.04.015

- Author:
- White, Halbert; Xu, Haiqing; Chalak, Karim
- Source:
- Journal of econometrics 2014 v.182 no.1 pp. 45-58
- ISSN:
- 0304-4076
- Subject:
- auctions; econometric models; economic analysis; economic theory; prices; topology
- Abstract:
- ... Notions of cause and effect are fundamental to economic explanation. Although concepts such as price effects are intuitive, rigorous foundations justifying causal discourse in the wide range of economic settings remain lacking. We illustrate this deficiency using an N-bidder private-value auction, posing causal questions that cannot be addressed within existing frameworks. We extend the frameworks ...
- DOI:
- 10.1016/j.jeconom.2014.04.007
- http://dx.doi.org/10.1016/j.jeconom.2014.04.007

- Author:
- Antoine, Bertille; Lavergne, Pascal
- Source:
- Journal of econometrics 2014 v.182 no.1 pp. 59-69
- ISSN:
- 0304-4076
- Subject:
- confidence interval; econometric models; economic analysis; economic theory
- Abstract:
- ... We consider conditional moment models under semi-strong identification. Identification strength is directly defined through the conditional moments that flatten as the sample size increases. Our new minimum distance estimator is consistent, asymptotically normal, robust to semi-strong identification, and does not rely on the choice of a user-chosen parameter, such as the number of instruments or s ...
- DOI:
- 10.1016/j.jeconom.2014.04.008
- http://dx.doi.org/10.1016/j.jeconom.2014.04.008

- Author:
- Chen, Xiaohong; Ponomareva, Maria; Tamer, Elie
- Source:
- Journal of econometrics 2014 v.182 no.1 pp. 87-99
- ISSN:
- 0304-4076
- Subject:
- Monte Carlo method; confidence interval; econometric models; economic analysis; economic theory; mixing
- Abstract:
- ... Parametric mixture models are commonly used in applied work, especially empirical economics, where these models are often employed to learn for example about the proportions of various types in a given population. This paper examines the inference question on the proportions (mixing probability) in a simple mixture model in the presence of nuisance parameters when sample size is large. It is well ...
- DOI:
- 10.1016/j.jeconom.2014.04.010
- http://dx.doi.org/10.1016/j.jeconom.2014.04.010

- Author:
- Lee, Tae-Hwy; Tu, Yundong; Ullah, Aman
- Source:
- Journal of econometrics 2014 v.182 no.1 pp. 196-210
- ISSN:
- 0304-4076
- Subject:
- Monte Carlo method; econometric models; economic analysis; economic theory; prediction; regression analysis
- Abstract:
- ... This paper considers nonparametric and semiparametric regression models subject to monotonicity constraint. We use bagging as an alternative approach to Hall and Huang (2001). Asymptotic properties of our proposed estimators and forecasts are established. Monte Carlo simulation is conducted to show their finite sample performance. An application to predicting equity premium is taken for illustrati ...
- DOI:
- 10.1016/j.jeconom.2014.04.018
- http://dx.doi.org/10.1016/j.jeconom.2014.04.018

### 8. On the network topology of variance decompositions: Measuring the connectedness of financial firms

- Author:
- Diebold, Francis X.; Yılmaz, Kamil
- Source:
- Journal of econometrics 2014 v.182 no.1 pp. 119-134
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic crises; economic theory; financial institutions; variance; United States
- Abstract:
- ... We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness. We also show that variance decompositions define weighted, directed networks, so that our connectedness measures are intimately related to key measures of connectedness used in the network literature. Building on these insights, we ...
- DOI:
- 10.1016/j.jeconom.2014.04.012
- http://dx.doi.org/10.1016/j.jeconom.2014.04.012

- Author:
- Engle, Robert; Mistry, Abhishek
- Source:
- Journal of econometrics 2014 v.182 no.1 pp. 135-144
- ISSN:
- 0304-4076
- Subject:
- costs and returns; credit; econometric models; economic theory; markets; momentum; prediction; risk factors; statistical analysis; time series analysis
- Abstract:
- ... We investigate the sources of skewness in aggregate risk factors and the cross section of stock returns. In an ICAPM setting with conditional volatility, we find theoretical time series predictions on the relationships among volatility, returns, and skewness for priced risk factors. Market returns resemble these predictions; however, size, book-to-market, and momentum factor returns are not always ...
- DOI:
- 10.1016/j.jeconom.2014.04.013
- http://dx.doi.org/10.1016/j.jeconom.2014.04.013

- Author:
- Wooldridge, Jeffrey M.
- Source:
- Journal of econometrics 2014 v.182 no.1 pp. 226-234
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; nonlinear models; statistical analysis
- Abstract:
- ... I propose a quasi-maximum likelihood framework for estimating nonlinear models with continuous or discrete endogenous explanatory variables. Joint and two-step estimation procedures are considered. The joint procedure is a quasi-limited information maximum likelihood procedure, as one or both of the log likelihoods may be misspecified. The two-step control function approach is computationally simp ...
- DOI:
- 10.1016/j.jeconom.2014.04.020
- http://dx.doi.org/10.1016/j.jeconom.2014.04.020

- Author:
- Chen, Xiaohong; Liao, Zhipeng
- Source:
- Journal of econometrics 2014 v.182 no.1 pp. 70-86
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; variance
- Abstract:
- ... This paper presents sieve inferences on possibly irregular (i.e., slower than root-n estimable) functionals of semi-nonparametric models with i.i.d. data. We provide a simple consistent variance estimator of the plug-in sieve M estimator of a possibly irregular functional, and the asymptotic standard normality of the sieve t statistic. We show that, for hypothesis testing of irregular functionals, ...
- DOI:
- 10.1016/j.jeconom.2014.04.009
- http://dx.doi.org/10.1016/j.jeconom.2014.04.009

- Author:
- McElroy, Tucker S.; Politis, Dimitris N.
- Source:
- Journal of econometrics 2014 v.182 no.1 pp. 211-225
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; time series analysis
- Abstract:
- ... This paper studies taper-based estimates of the spectral density utilizing a fixed bandwidth ratio asymptotic framework, and makes several theoretical contributions: (i) we treat multiple frequencies jointly, (ii) we allow for long-range dependence or anti-persistence at differing frequencies, (iii) we allow for tapers that are only piecewise smooth or discontinuous, including flat-top and truncat ...
- DOI:
- 10.1016/j.jeconom.2014.04.019
- http://dx.doi.org/10.1016/j.jeconom.2014.04.019

- Author:
- Su, Liangjun; White, Halbert
- Source:
- Journal of econometrics 2014 v.182 no.1 pp. 27-44
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; statistics; time series analysis
- Abstract:
- ... We construct two classes of smoothed empirical likelihood ratio tests for the conditional independence hypothesis by writing the null hypothesis as an infinite collection of conditional moment restrictions indexed by a nuisance parameter. One class is based on the CDF; another is based on smoother functions. We show that the test statistics are asymptotically normal under the null hypothesis and a ...
- DOI:
- 10.1016/j.jeconom.2014.04.006
- http://dx.doi.org/10.1016/j.jeconom.2014.04.006

- Author:
- Lu, Xun; White, Halbert
- Source:
- Journal of econometrics 2014 v.182 no.1 pp. 14-26
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; education; elasticities; equations; loans
- Abstract:
- ... Separability is an important feature of structural equations, as it implies the absence of unobservable heterogeneity of effects and has significant implications for identification and efficiency of estimation. This paper provides a nonparametric test for separability in structural equations. The test is based on a conditional independence test recently developed by Huang et al. (2013), building o ...
- DOI:
- 10.1016/j.jeconom.2014.04.005
- http://dx.doi.org/10.1016/j.jeconom.2014.04.005

- Author:
- Corradi, Valentina; Swanson, Norman R.
- Source:
- Journal of econometrics 2014 v.182 no.1 pp. 100-118
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; macroeconomics; regression analysis; United States
- Abstract:
- ... Mild factor loading instability, particularly if sufficiently independent across the different constituent variables, does not affect the estimation of the number of factors, nor subsequent estimation of the factors themselves (see e.g. Stock and Watson (2009)). This result does not hold in the presence of large common breaks in the factor loadings, however. In this case, information criteria over ...
- DOI:
- 10.1016/j.jeconom.2014.04.011
- http://dx.doi.org/10.1016/j.jeconom.2014.04.011

- Author:
- Giacomini, Raffaella; Ragusa, Giuseppe
- Source:
- Journal of econometrics 2014 v.182 no.1 pp. 145-155
- ISSN:
- 0304-4076
- Subject:
- Bayesian theory; econometric models; economic analysis; economic theory; uncertainty
- Abstract:
- ... We consider a method for producing multivariate density forecasts that satisfy moment restrictions implied by economic theory, such as Euler conditions. The method starts from a base forecast that might not satisfy the theoretical restrictions and forces it to satisfy the moment conditions using exponential tilting. Although exponential tilting has been considered before in a Bayesian context (Rob ...
- DOI:
- 10.1016/j.jeconom.2014.04.014
- http://dx.doi.org/10.1016/j.jeconom.2014.04.014

- Author:
- Hendry, David F.; Mizon, Grayham E.
- Source:
- Journal of econometrics 2014 v.182 no.1 pp. 186-195
- ISSN:
- 0304-4076
- Subject:
- econometric models; economic analysis; economic theory; markets
- Abstract:
- ... Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions. We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated information sets. The implications of unanticipated shifts for forecasting, economic analyses of efficient m ...
- DOI:
- 10.1016/j.jeconom.2014.04.017
- http://dx.doi.org/10.1016/j.jeconom.2014.04.017