In this note we study the conditions under which leading models for underreported counts are identified. In particular, we highlight a peculiar identification problem that afflicts two of the most popular models in this class. JEL classification code: C13, C25.

inflation forecasting has been one of the requirements for the implementation of monetary policy in countries which their monetary authorities are pursuing inflation targeting regime. however, owing to central bank independence in one hand and as well as the lagged effects of monetary policies on inflation in the other, the monetary authorities should have the sound perspective about the future...

A decision maker tests whether the gradient of loss function evaluated at a judgmental is zero. If test does not reject, action decision. rejects, sets equal to boundary rejection region. This statistical rule admissible and conditions on sample realization. The confidence level reflects maker’s aversion uncertainty. applied problem asset allocation. JEL Classification: C1, C11, C12, C13, D81

This Paper describes a procedure for constructing theory restricted prior distributions for BVAR models. The Bayes Factor, which is obtained without any additional computational effort, can be used to assess the plausibility of the restrictions imposed on the VAR parameter vector by competing DSGE models. In other words, it is possible to rank the amount of abstraction implied by each DSGE mode...

The paper suggests a CUSUM-type test for time-varying parameters in a recently proposed spatial autoregressive model for stock returns and derives its asymptotic null distribution as well as local power properties. As can be seen from Euro Stoxx 50 returns, a combination of spatial modelling and change point tests allows for superior risk forecasts in portfolio management. JEL Classification: C...

We develop a selective entry model for first-price auctions that nests several models earlier proposed in the literature, and features a pro-competitive selection effect. The selection effect is shown to be nonparametrically identifiable, and a nonparametric test for its presence is proposed. In the empirical application to highway procurement, we find that the selection effect overwhelms the a...

A least squares estimation approach for the estimation of a GARCH (1,1) model is developed. The asymptotic properties of the estimator are studied given mild regularity conditions, which require only that the error term has a conditional moment of some order. We establish the consistency, asymptotic normality and the law of iterated logarithm for our estimate. The finite sample properties are a...

Theil, Basmann, and Sargan are often credited with the development of the two-stage least squares (TSLS) estimator of the coefficients of one structural equation in a simultaneous equations model. However, Anderson and Rubin had earlier derived the asymptotic distribution of the limited information maximum likelihood (LIML) estimator by finding the asymptotic distribution of what is essentially...

This paper proposes a new unit root test in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distribution of the test statistic is derived and simulation results are provided to suggest that it performs very well in small s...

abstract: decentralization is a process in which local affairs are administrated by local authorities outside of activities of the central government. today, decentralization policy is considered as one of the ways that most countries adopted to improve public sector performance. in this paper using geometric analysis, innovation that this paper represents, an econometric model is considered to...