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Order‐invariant tests for proper calibration of multivariate density forecast...
Established tests for proper calibration of multivariate density forecasts based on Rosenblatt probability integral transforms can be manipulated by changing the order of... -
Comparing predictive accuracy in small samples using fixed‐smoothing asymptot...
We consider fixed-smoothing asymptotics for the Diebold and Mariano (Journal of Business and Economic Statistics, 1995, 13(3), 253-263) test of predictive accuracy. We show that... -
Exchange rate predictability and dynamic Bayesian learning (replication data)
We consider how an investor in the foreign exchange market can exploit predictive information by means of flexible Bayesian inference. Using a variety of vector autoregressive... -
Estimation of average treatment effects using panel data when treatment effec...
This paper proposes a new panel data approach to identify and estimate the time-varying average treatment effect (ATE). The approach allows for treatment effect heterogeneity... -
Mixed causal–noncausal autoregressions with exogenous regressors (replication...
Mixed causal-noncausal autoregressive (MAR) models have been proposed to model time series exhibiting nonlinear dynamics. Possible exogenous regressors are typically substituted... -
Common correlated effects estimation of heterogeneous dynamic panel quantile ...
This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common... -
Comovements in the real activity of developed and emerging economies: A test ...
Although globalization has shaped the world economy in recent decades, emerging economies have experienced impressive growth compared to developed economies, suggesting specific... -
Assessing international commonality in macroeconomic uncertainty and its effe...
This paper uses a large vector autoregression to measure international macroeconomic uncertainty and its effects on major economies. We provide evidence of significant... -
The shale revolution and shifting crude dynamics (replication data)
Oil price fluctuates in response to both demand and supply shocks. This paper proposes a new methodology that allows for timely identification of the shifting contribution from... -
Regional output growth in the United Kingdom: More timely and higher frequenc...
Output growth estimates for regions of the UK are currently published at an annual frequency only, released with a long delay, and offer limited historical coverage. To improve... -
Two are better than one: Volatility forecasting using multiplicative componen...
We examine the properties and forecast performance of multiplicative volatility specifications that belong to the class of generalized autoregressive conditional...
