Blar i Scientific articles på tidsskrift "Journal of business & economic statistics"
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A Linear Estimator for Factor-Augmented Fixed-T Panels With Endogenous Regressors
(Peer reviewed; Journal article, 2022)A novel method-of-moments approach is proposed for the estimation of factor-augmented panel data models with endogenous regressors when T is fixed. The underlying methodology involves approximating the unobserved common ... -
Measurement Error Without the Proxy Exclusion Restriction
(Journal article; Peer reviewed, 2019)This article studies the identification of the coefficients in a linear equation when data on the outcome, covariates, and an error-laden proxy for a latent variable are available. We maintain that the measurement error ... -
Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions
(Peer reviewed; Journal article, 2022)This article proposes a novel asymmetric continuous probabilistic score (ACPS) for evaluating and comparing density forecasts. It generalizes the proposed score and defines a weighted version, which emphasizes regions of ... -
Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
(Peer reviewed; Journal article, 2022)We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier ...