Blar i Publikasjoner fra CRIStin - BI på tidsskrift "Journal of Econometrics"
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A flexible predictive density combination for large financial data sets in regular and crisis periods
(Journal article; Peer reviewed, 2023)A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive ... -
Instrumental variable estimation of dynamic linear panel data models with defactored regressors and a multifactor error structure
(Journal article; Peer reviewed, 2021)This paper develops two instrumental variable (IV) estimators for dynamic panel data models with exogenous covariates and a multifactor error structure when both the cross-sectional and time series dimensions, and respectively, ... -
Locally robust inference for non-Gaussian linear simultaneous equations models
(Journal article; Peer reviewed, 2024)All parameters in linear simultaneous equations models can be identified (up to permutation and sign) if the underlying structural shocks are independent and at most one of them is Gaussian. Unfortunately, existing inference ... -
Measurement error in multiple equations: Tobin’s q and corporate investment, saving, and debt
(Journal article; Peer reviewed, 2019)We characterize the sharp identification regions for the coefficients in a system of linear equations that share an explanatory variable measured with classical error. We demonstrate the identification gain from analyzing ...