Cointegration analysis has led to equilibrium-correction econometric systems being ubiquitous. But in a non-stationary world subject to structural breaks, where model and mechanism differ, equilibrium-correction models are a risky device from which to forecast. Equilibrium shifts entail systematic forecast failure, as forecasts will tend to move in the opposite direction to data. We explain the...

In a Bayesian analysis, different models can be compared on the basis of the expected or marginal likelihood they attain. Many methods have been devised to compute the marginal likelihood, but simplicity is not the strongest point of most methods. At the same time, the precision of methods is often questionable. In this paper several methods are presented in a common framework. The explanation ...

This paper develops optimal tests for model selection between two nested models in the presence of underlying parameter instability. These are joint tests for both parameter instability and a null hypothesis on a subset of the parameters. They modify the existing tests for parameter instability to allow the parameter vector to be unknown. These tests statistics are useful if one is interested i...

The article examines the spillover effect of transition to renewable energy on different financial markets: specifically, stock market. research paper analyzes prices and dynamics oil-related assets funds, as well reviews literature topic in order evaluate most important factors development these industries. utilizes methods correlation analysis, analysis variance, regression standards deviatio...

Abstract In a factor timing context, academic research has focused on identifying set of predictors that can explain the dynamics portfolios. We propose an alternative approach for portfolio returns by exploiting information from their characteristics. Different combinations dimension reduction techniques are employed to independently reduce number both and portfolios predict. Characteristic-ba...

In Brodeur, Cook, and Heyes (2020) we present evidence that instrumental variable (and to a lesser extent difference-in-difference) articles are more p-hacked than randomized controlled trial regression discontinuity design articles. We also find no (i) published in the top five journals different; (ii) “revise resubmit” process mitigates problem; (iii) things improving through time. Kranz Pütz...

abstract this study investigates the impact of housing and non- housing investment on the iran's gross domestic production (gdp) using quarterly data from 1370-1 to 1386-4. considering that iran has an open economy and that the net export plays an important role in gdp fluctuations, this research focuses on the difference between the effects of residential and non-residential investment in open...

this paper estimates the determinants of inflation in iran using a linear and non- linear regression model over the period 1959-2008. in the model specification, the conventional variables (liquidity, production and exchange rate) as well as positive and negative oil revenue shocks, monetary disequilibrium, and demand gap are considered. the results show that nonlinear time series regression mo...