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Efficient minimum distance estimation of Pareto exponent from top income shar...
We propose an efficient estimation method for the income Pareto exponent when only certain top income shares are observable. Our estimator is based on the asymptotic theory of... -
Differencing versus nondifferencing in factor‐based forecasting (replication ...
This paper studies performance of factor-based forecasts using differenced and nondifferenced data. Approximate variances of forecasting errors from the two forecasts are... -
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... -
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...
