Related papers: The Australian Phillips curve and more
In this paper we compare two regression curves by measuring their difference by the area between the two curves, represented by their $L^1$-distance. We develop asymptotic confidence intervals for this measure and statistical tests to…
A factor copula model is proposed in which factors are either simulable or estimable from exogenous information. Point estimation and inference are based on a simulated methods of moments (SMM) approach with non-overlapping simulation…
Multilevel or hierarchical data structures can occur in many areas of research, including economics, psychology, sociology, agriculture, medicine, and public health. Over the last 25 years, there has been increasing interest in developing…
Assessing the contribution of various risk factors to future inflation risks was crucial for guiding monetary policy during the recent high inflation period. However, existing methodologies often provide limited insights by focusing solely…
Copula-based methods provide a flexible approach to build missing data imputation models of multivariate data of mixed types. However, the choice of copula function is an open question. We consider a Bayesian nonparametric approach by using…
Copulas, generalized estimating equations, and generalized linear mixed models promote the analysis of grouped data where non-normal responses are correlated. Unfortunately, parameter estimation remains challenging in these three…
We consider an additive partially linear framework for modelling massive heterogeneous data. The major goal is to extract multiple common features simultaneously across all sub-populations while exploring heterogeneity of each…
During the last decades particular effort has been directed towards understanding and predicting the relevant state of the business cycle with the objective of decomposing permanent shocks from those having only a transitory impact on real…
Curve fitting is a fundamental technique in engineering and scientific research, serving as a critical tool for extracting insights from data. This study explores the application of various statistical equations to estimate outcomes in…
A society or country with income equally distributed among its people is truly a fiction! The phenomena of socioeconomic inequalities have been plaguing mankind from times immemorial. We are interested in gaining an insight about the…
This paper addresses estimation in a longitudinal regression model for association between a scalar outcome and a set of longitudinally-collected functional covariates or predictor curves. The framework consists of estimating a time-varying…
The presence of significant cross-correlations between the synchronous time evolution of a pair of equity returns is a well-known empirical fact. The Pearson correlation is commonly used to indicate the level of similarity in the price…
We consider a finite mixture model with varying mixing probabilities. Linear regression models are assumed for observed variables with coefficients depending on the mixture component the observed subject belongs to. A modification of the…
We propose an iterative estimating equations procedure for analysis of longitudinal data. We show that, under very mild conditions, the probability that the procedure converges at an exponential rate tends to one as the sample size…
This paper introduces an approach to gas-like models, from the concept of entropy, using the money stock data of two economic agents, in this case of two countries, which carry out market actions (trading) in two theoretical scenarios: in…
An extension of the latent class model is presented for clustering categorical data by relaxing the classical "class conditional independence assumption" of variables. This model consists in grouping the variables into inter-independent and…
Several studies have established the predictive power of the yield curve in terms of real economic activity. In this paper we use data for a variety of E.U. countries: both EMU (Germany, France, Italy) and non-EMU members (Sweden and the…
Sector specific multifactor CES elasticity of substitution and the corresponding productivity growths are jointly measured by regressing the growths of factor-wise cost shares against the growths of factor prices. We use linked input-output…
The extremes of a stationary time series typically occur in clusters. A primary measure for this phenomenon is the extremal index, representing the reciprocal of the expected cluster size. Both a disjoint and a sliding blocks estimator for…
Exchangeable arrays are natural tools to model common forms of dependence between units of a sample. Jointly exchangeable arrays are well suited to dyadic data, where observed random variables are indexed by two units from the same…