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Found 10 papers, 0 papers with code
GCov-Based Portmanteau Test
We examine finite sample performance of the Generalized Covariance (GCov) residual-based specification test for semiparametric models with i. i. d.
Optimization of the Generalized Covariance Estimator in Noncausal Processes
When the number and type of nonlinear autocovariances included in the objective function of a GCov estimator is insufficient/inadequate, or the error density is too close to the Gaussian, identification issues can arise.
Penalized Likelihood Inference with Survey Data
This paper extends three Lasso inferential methods, Debiased Lasso, $C(\alpha)$ and Selective Inference to a survey environment.
Digital Divide: Empirical Study of CIUS 2020
Canada and other major countries are investigating the implementation of ``digital money'' or Central Bank Digital Currencies, necessitating answers to key questions about how demographic and geographic factors influence the population's digital literacy.
Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether
This paper examines the dynamics of Tether, the stablecoin with the largest market capitalization.
Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood
We introduce a new Identifying Maximum Likelihood (IML) method for consistent estimation of the identified set of admissible NMF's and derive its asymptotic distribution.
Nonlinear Fore(Back)casting and Innovation Filtering for Causal-Noncausal VAR Models
We introduce closed-form formulas of out-of-sample predictive densities for forecasting and backcasting of mixed causal-noncausal (Structural) Vector Autoregressive VAR models.
Long Run Risk in Stationary Structural Vector Autoregressive Models
This process represents the stationary long run component in an unobserved short- and long-run components model involving different time scales.
Composite Likelihood for Stochastic Migration Model with Unobserved Factor
We introduce the conditional Maximum Composite Likelihood (MCL) estimation method for the stochastic factor ordered Probit model of credit rating transitions of firms.
Generalized Covariance Estimator
This class of processes includes the standard Vector Autoregressive (VAR) model, the nonfundamental structural VAR, the mixed causal-noncausal models, as well as nonlinear dynamic models such as the (multivariate) ARCH-M model.
