Empirical Economic and Financial Research: Theory, Methods and Practice (Advanced Studies in Theoretical and Applied Econometrics Book 48)

The purpose of this book is to establish a connection between the traditional field of empirical economic research and the emerging area of empirical financial research, and to build a bridge between theoretical developments in these areas and their application in practice. Accordingly, it covers broad topics in the theory and application of both empirical economic and financial research, including analysis of time series and the business cycle; different forecasting methods; new models for volatility, correlation and of high-frequency financial data; and new approaches to panel regression, as well as a number of case studies. Most of the contributions reflect the state-of-art on the respective subject. The book offers a valuable reference work for researchers, university instructors, practitioners, government officials, and graduate and post-graduate students, as well as an important resource for advanced seminars in empirical economic and financial research Front Matter....Pages i-xviii Introduction....Pages 1-6 Front Matter....Pages 7-7 Decomposition of Time Series Using the Generalised Berlin Method (VBV)....Pages 9-43 Time Series Segmentation Procedures to Detect, Locate and Estimate Change-Points....Pages 45-59 Regularization Methods in Economic Forecasting....Pages 61-80 Investigating Bavarian Beer Consumption....Pages 81-88 The Algebraic Structure of Transformed Time Series....Pages 89-104 Reliability of the Automatic Identification of ARIMA Models in Program TRAMO....Pages 105-122 Panel Model with Multiplicative Measurement Errors....Pages 123-143 A Modified Gauss Test for Correlated Samples with Application to Combining Dependent Tests or P -Values....Pages 145-157 Panel Research on the Demand of Organic Food in Germany: Challenges and Practical Solutions....Pages 159-172 The Elasticity of Demand for Gasoline: A Semi-parametric Analysis....Pages 173-193 The Pitfalls of Ignoring Outliers in Instrumental Variables Estimations: An Application to the Deep Determinants of Development....Pages 195-213 Evaluation of Job Centre Schemes: Ideal Types Versus Statistical Twins....Pages 215-222 The Precision of Binary Measurement Methods....Pages 223-235 Front Matter....Pages 237-237 On EFARIMA and ESEMIFAR Models....Pages 239-253 Prediction Intervals in Linear and Nonlinear Time Series with Sieve Bootstrap Methodology....Pages 255-273 Do Industrial Metals Prices Exhibit Bubble Behavior?....Pages 275-286 Forecasting Unpredictable Variables....Pages 287-304 Dynamic Modeling of the Correlation Smile....Pages 305-325 Findings of the Signal Approach: A Case Study for Kazakhstan....Pages 327-340 Front Matter....Pages 237-237 Double Conditional Smoothing of High-Frequency Volatility Surface Under a Spatial Model....Pages 341-356 Zillmer’s Population Model: Theory and Application....Pages 357-369 Front Matter....Pages 371-371 Adaptive Estimation of Regression Parameters for the Gaussian Scale Mixture Model....Pages 373-378 The Structure of Generalized Linear Dynamic Factor Models....Pages 379-400 Forecasting Under Structural Change....Pages 401-419 Distribution of the Durbin–Watson Statistic in Near Integrated Processes....Pages 421-436 Testing for Cointegration in a Double-LSTR Framework....Pages 437-450 Fitting Constrained Vector Autoregression Models....Pages 451-470 Minimax Versions of the Two-Step Two-Sample-Gauß- and t -Test....Pages 471-486 Dimensionality Reduction Models in Density Estimation and Classification....Pages 487-495 On a Craig–Sakamoto Theorem for Orthogonal Projectors....Pages 497-502 Back Matter....Pages 503-503