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We model the rate of inflation and unemployment in Austria since the early 1960s within the Phillips/Fisher framework. The change in labour force is the driving force representing economic activity in the Phillips curve. For Austria, this…
Dynamic stochastic general equilibrium (DSGE) models have been an ubiquitous, and controversial, part of macroeconomics for decades. In this paper, we approach DSGEs purely as statstical models. We do this by applying two common model…
Stress testing poses a causal question: how would portfolio credit losses change if the macroeconomy followed an adverse counterfactual path? Yet standard practice remains predictive and might be therefore vulnerable to omitted-variable…
This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive specification with drifting coefficients and factor stochastic volatility in the errors to model six…
Social contexts -- such as families, schools, and neighborhoods -- shape life outcomes. The key question is not simply whether they matter, but rather for whom and under what conditions. Here, we argue that prediction gaps -- differences in…
The correctness of Harrods model in the differential form is studied. The inadequacy of exponential growth of economy is shown; an alternative result is obtained. By example of Phillips model, an approach to correction of macroeconomic…
Empirical economists are often deterred from the application of fixed effects binary choice models mainly for two reasons: the incidental parameter problem and the computational challenge even in moderately large panels. Using the example…
Difference-in-differences is one of the most used identification strategies in empirical work in economics. This chapter reviews a number of important, recent developments related to difference-in-differences. First, this chapter reviews…
In the previous paper an adaptive filtering based on a reference recursive recipe was developed and tested on a simulated dynamics of a spring, mass, and damper with a weak nonlinear spring. In this paper the above recipe is applied to a…
The problem addressed in this article is the bias to income and expenditure elasticities estimated on pseudo-panel data caused by measurement error and unobserved heterogeneity. We gauge empirically these biases by comparing…
The discrepancy between realized volatility and the market's view of volatility has been known to predict individual equity options at the monthly horizon. It is not clear how this predictability depends on a forecast's ability to predict…
Politicians world-wide frequently promise a better life for their citizens. We find that the probability that a country will increase its {\it per capita} GDP ({\it gdp}) rank within a decade follows an exponential distribution with decay…
Income inequality estimators are biased in small samples, leading generally to an underestimation. This aspect deserves particular attention when estimating inequality in small domains and performing small area estimation at the area level.…
When mathematical biology models are used to make quantitative predictions for clinical or industrial use, it is important that these predictions come with a reliable estimate of their accuracy (uncertainty quantification). Because models…
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…
Estimating linear regression using least squares and reporting robust standard errors is very common in financial economics, and indeed, much of the social sciences and elsewhere. For thick tailed predictors under heteroskedasticity this…
Variations in the low- and high-frequency components of temperature may have distinct impacts on economic outcomes. Parametric and non-parametric estimates from three panels of data all find significant heterogeneity in the relative…
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…
Forecasts for key macroeconomic variables are almost always made simultaneously by the same organizations, presented together, and used together in policy analyses and decision-makings. It is therefore important to know whether the…