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Estimation and testing of forecast rationality under flexible loss

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G Elliott, I Komunjer… - Review of Economic …, 2005 - Wiley Online Library
In situations where a sequence of forecasts is observed, a common strategy is to examine
„rationality” conditional on a given loss function. We examine this from a different
perspective—supposing that we have a family of loss functions indexed by unknown ...
Cited by 95 - Related articles - BL Direct - All 31 versions

[PDF] Evaluation and combination of conditional quantile forecasts

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R Giacomini… - Journal of Business and Economic Statistics, 2005 - ASA
We propose an encompassing test for comparing conditional quantile forecasts in an out-of-
sample framework. Our test provides a basis for forecast combination when encompassing
is rejected. Its central features are (1) use of the “tick” loss function,(2) a conditional ...
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Biases in macroeconomic forecasts: irrationality or asymmetric loss?

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G Elliott, I Komunjer… - Journal of the European …, 2008 - Wiley Online Library
Abstract Empirical studies using survey data on expectations have frequently observed that
forecasts are biased and have concluded that agents are not rational. We establish that
existing rationality tests are not robust to even small deviations from symmetric loss and ...
Cited by 88 - Related articles - BL Direct - All 34 versions

Quasi-maximum likelihood estimation for conditional quantiles

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I Komunjer - Journal of Econometrics, 2005 - Elsevier
In this paper, we construct a new class of estimators for conditional quantiles in possibly
misspecified nonlinear models with time series data. Proposed estimators belong to the
family of quasi-maximum likelihood estimators (QMLEs) and are based on a new family of ...
Cited by 60 - Related articles - All 19 versions

Asymmetric power distribution: Theory and applications to risk measurement

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I Komunjer - Journal of Applied Econometrics, 2007 - Wiley Online Library
Theoretical literature in finance has shown that the risk of financial time series can be well
quantified by their expected shortfall, also known as the tail value-at-risk. In this paper, I
construct a parametric estimator for the expected shortfall based on a flexible family of ...
Cited by 36 - Related articles - BL Direct - All 15 versions

[PDF] Dynamic identification of DSGE models

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I Komunjer… - Unpublished manuscript, 2009 - economics.ucr.edu
Abstract A DSGE model is identifiable when perturbing the parameters characterizing the
forward looking optimizing model induces a distinguishable solution to the model. This
paper studies identification of the parameters of a DSGE model using all the second ...
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What goods do countries trade? A quantitative exploration of Ricardo's ideas

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A Costinot, D Donaldson… - 2010 - nber.org
The Ricardian model predicts that countries should produce and export relatively more in
industries in which they are relatively more productive. Though one of the most celebrated
insights in the theory of international trade, this prediction has received virtually no ...
Cited by 27 - Related articles - Library Search - All 10 versions

What goods do countries trade? New Ricardian predictions

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A Costinot… - 2007 - nber.org
Though one of the pillars of the theory of international trade, the extreme predictions of the
Ricardian model have made it unsuitable for empirical purposes. A seminal contribution of
Eaton and Kortum (2002) is to demonstrate that random productivity shocks are sufficient ...
Cited by 19 - Related articles - Library Search - BL Direct - All 19 versions

Testing models with multiple equilibria by quantile methods

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F Echenique… - Econometrica, 2009 - Wiley Online Library
This paper proposes a method for testing complementarities between explanatory and
dependent variables in a large class of economic models. The proposed test is based on the
monotone comparative statics (MCS) property of equilibria. Our main result is that MCS ...
Cited by 15 - Related articles - All 13 versions

[PDF] Efficientt conditional quantile estimation: the time series case

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I Komunjer… - 2006 - escholarship.org
Abstract: In this paper we consider the problem of efficient estimation in conditional quantile
models with time series data. Our first result is to derive the semiparametric efficiency bound
in time series models of conditional quantiles; this is a nontrivial extension of a large body ...
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[CITATION] On the nonparametric identification of multiple choice models

PA Chiappori… - Manuscript, Columbia University, 2009
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[CITATION] What Goods Do Countries Trade? A Structural Ricardian Model

A Costinot… - 2008 - mimeo MIT
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Learning from a piece of pie

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PA Chiappori, O Donni… - The Review of …, 2012 - restud.oxfordjournals.org
Abstract We investigate the empirical content of the Nash solution to two-player bargaining
games. The bargaining environment is described by a set of variables that may affect agents'
preferences over the agreement sharing, the status quo outcome, or both. The outcomes ( ...
Cited by 7 - Related articles - All 12 versions

Efficient estimation in dynamic conditional quantile models

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I Komunjer… - Journal of Econometrics, 2010 - Elsevier
In this paper we consider the problem of semiparametric efficient estimation in conditional
quantile models with time series data. We construct an M-estimator which achieves the
semiparametric efficiency bound recently derived by Komunjer and Vuong (forthcoming). ...
Cited by 6 - Related articles - All 5 versions

Multivariate forecast evaluation and rationality testing

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I Komunjer… - The Review of Economics and Statistics, 2007 - MIT Press
Abstract In this paper, we propose a new family of multivariate loss functions to test the
rationality of vector forecasts without assuming independence across variables. When only
one variable is of interest, the loss function reduces to the flexible asymmetric family ...
Cited by 5 - Related articles - Get it from MIT Libraries - Library Search - All 27 versions

Semi‐parametric estimation of non‐separable models: a minimum distance from independence approach

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I Komunjer… - The Econometrics Journal, 2010 - Wiley Online Library
Summary This paper studies non-separable structural models that are of the form inline
image with U uniform on inline image in which inline image is a known real function
parametrized by a structural parameter inline image. We study the case in which inline ...
Cited by 5 - Related articles - All 15 versions

[PDF] Global identification in nonlinear models with moment restrictions

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I Komunjer - 2008 - econ.ucsd.edu
Abstract. This paper derives sufficient conditions for global identification in nonlinear models
characterized by a finite number of unconditional moment restrictions. The main contribution
of this paper is to provide a set of assumptions that are alternative to those of Gale-Nikaidô ...
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Consistent estimation for aggregated GARCH processes

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I Komunjer - 2001 - papers.ssrn.com
Abstract: We study the properties of a quasi-maximum likelihood (QML) for the parameters of
a" weak" GARCH process obtained by contemporaneous aggregation of two independent"
strong" GARCH processes. The inconsistency of the Gaussian quasi-likelihood estimator ( ...
Cited by 6 - Related articles - All 13 versions

[CITATION] VWhat Goods Do Countries Trade? New Ricardian PredictionsV

C Arnaud… - NBER working paper, 2007
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[PDF] Semiparametric efficiency bound and M-estimation in time-series models for conditional quantiles

[PDF] from psu.edu
I Komunjer… - … of California, San Diego Department of …, 2007 - capcp.psu.edu
University of California, San Diego and Penn State University Abstract: In this paper we
derive the semiparametric efficiency bound in time series models of conditional quantiles
under a sole strong mixing assumption. We moreover provide an expression of Stein's ( ...
Cited by 4 - Related articles - View as HTML - All 5 versions

Semiparametric Efficiency Bound in Time-Series Models for Conditional Quantiles

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I Komunjer… - Econometric Theory, 2010 - Cambridge Univ Press
Abstract We derive the semiparametric efficiency bound in dynamic models of conditional
quantiles under a sole strong mixing assumption. We also provide an expression of Stein's
(1956) least favorable parametric submodel. Our approach is as follows: First, we ...
Cited by 3 - Related articles - All 6 versions

[PDF] Nonparametric identification and estimation of transformation models

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PA Chiappori, I Komunjer… - 2010 - econ.ucsd.edu
Abstract. This paper derives sufficient conditions for nonparametric transformation models to
be identified and develops estimators of the identified components. Our nonparametric
identification result is global, and is derived under conditions that are substantially weaker ...
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A test for monotone comparative statics

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F Echenique… - 2007 - authors.library.caltech.edu
In this paper we design an econometric test for monotone comparative statics (MCS) often
found in models with multiple equilibria. Our test exploits the observable implications of the
MCS prediction: that the extreme (high and low) conditional quantiles of the dependent ...
Cited by 2 - Related articles - All 19 versions

[PDF] Conditional Quantile Estimation—A Quasi-Maximum Likelihood Approach

[PDF] from ucr.edu
I Komunjer - 2003 - economics.ucr.edu
Abstract This paper gives the asymptotic distribution of a new class of quasi-maximum
likelihood estimators (QMLEs) based on a tick-exponential family of densities. Analogously
to the linear-exponential family, the tick-exponential assumption is a necessary and ...
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[CITATION] Asymmetric Power Distribution: Theory and Applications to Risk Measurement,(September 2003), revised (May 2004)

I Komunjer
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[PDF] Global identification in nonlinear semiparametric models

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I Komunjer - 2008 - escholarship.org
Abstract: This paper derives primitive conditions for global identification in nonlinear
simultaneous equations systems. Identification is semiparametric in the sense tht it is based
on a set of unconditional moment restrictions. Our contribution to the literature is twofold. ...
Cited by 2 - Related articles - View as HTML - All 31 versions

[PDF] Efficient conditional quantile estimation and specification testing

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I Komunjer - 2003 - eea-esem.com
Abstract The purpose of this paper is to address the issues of efficient conditional quantile
estimation and specification testing. Despite a rapidly growing body of applied literature
using quantile regression there are, to the best of our knowledge, no result on the first of ...
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[PDF] Measurement Errors in Dynamic Models

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I Komunjer… - 2011 - columbia.edu
Abstract Static models that are not identifiable in the presence of white noise measurement
errors are known to be potentially identifiable when the model has dynamics. However, few
results are available for the plausible case of serially correlated measurement errors. This ...
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[CITATION] The Alpha-Quantile Distribution Function and its Applications to Financial Modeling

I Komunjer - Computing in Economics and Finance 2002, 2002 - econpapers.repec.org
... Please update your bookmarks. The Alpha-Quantile Distribution Function and its
Applications to Financial Modeling. Ivana Komunjer. No 288, Computing in Economics
and Finance 2002 from Society for Computational Economics. ...
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Existence and Uniqueness of Semiparametric Projections

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I Komunjer… - 2009 - eprints.luiss.it.onion.to
In this paper we propose primitive conditions under which a projection of a conditional
density onto a set defined by conditional moment restrictions exists and is unique. Moreover,
we provide an analytic expression of the obtained projection. Our first result is to show the ...
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Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?

A Timmermann, G Elliott… - Econometric Society 2004 …, 2004 - ideas.repec.org
Survey data on expectations frequently find evidence that forecasts are biased, rejecting the
joint hypothesis of rational expectations and symmetric loss. While the literature has
attempted to explain this bias through forecasters' strategic behavior, we propose a ...
Cited by 1 - Related articles - Cached - All 4 versions

Global identification of the semiparametric Box–Cox model

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I Komunjer - Economics Letters, 2009 - Elsevier
We show identifiability of the Box–Cox model under restrictions that do not require the
disturbance U to be independent or mean independent of the explanatory variable X. Our
restrictions are on the support of the distribution of U given X.
Cited by 1 - Related articles - All 9 versions

[PDF] Indirect Estimation of Panel Models With Time Varying Latent Components

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I Komunjer… - 2010 - econ.ucsd.edu
Abstract This paper considers an indirect inference approach that exploits the biases in an
auxiliary model to identify the parameters of interests. The proposed augmented indirect
inference estimator (IDEA) is non-standard because (i) the covariates cannot be held fixed ...
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[PDF] ADDENDUM TO: WHAT GOODS DO COUNTRIES TRADE? A QUANTITATIVE EXPLORATION OF RICARDO'S IDEAS

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A COSTINOT, D DONALDSON… - 2011 - econ.ucsd.edu
ADDENDUM TO: WHAT GOODS DO COUNTRIES TRADE? A QUANTITATIVE EXPLORATION
OF RICARDO'S IDEAS ARNAUD COSTINOT, DAVE DONALDSON, AND IVANA KOMUNJER
Abstract. This addendum provides the proofs of Lemma 1, Theorem 1, Lemma 2, and ...
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[PDF] A Test For Monotone Comparative Statics

[PDF] from escholarship.org
I Komunjer… - 2007 - escholarship.org
Abstract. In this paper we design an econometric test for monotone comparative statics
(MCS) often found in models with multiple equilibria. Our test exploits the observable
implications of the MCS prediction: that the extreme (high and low) conditional quantiles of ...
Related articles - View as HTML - All 8 versions

[CITATION] Evaluation and Combination of Conditional Value-at-Risk Forecasts

R Giacomini…
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[PDF] SEMIPARAMETRIC EFFICIENT ESTIMATION IN STRUCTURAL TIME SERIES CROSS SECTION MODELS

[PDF] from sfu.ca
I KOMUNJER… - sfu.ca
Abstract. In this paper we study a question of semiparametric efficiency bounds for finite
dimensional parameters of structural time series cross section models. When the models
exhibit both temporal and spatial dependence, and heterogeneity among variables, little is ...
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[PDF] Semiparametric Efficient Estimation in Dynamic Structural Models: A Least Favorable Submodel Approach

[PDF] from univ-tlse1.fr
I Komunjer… - www-gremaq.univ-tlse1.fr
Abstract. In this paper we are concerned with semiparametric efficient estimation in the
context of dynamic structural models relating endogenous variables, exogenous variables,
and latent disturbances, through a system of dynamic structural equations. The model is ...
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[PDF] ONLINE APPENDIX: MULTIVARIATE FORECAST EVALUATION AND RATIONALITY TESTING

[PDF] from stlouisfed.org
I KOMUNJER… - research.stlouisfed.org
This online appendix consists of three parts. Section 1 of the appendix contains additional
information on the forecast data used in the empirical application (Section 6 of the paper).
Section 2 of the appendix gives detailed proofs of Theorems 2 and 3 stated in the main ...
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Dynamic Identification of Dynamic Stochastic General Equilibrium Models

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I Komunjer… - Econometrica, 2011 - Wiley Online Library
This paper studies dynamic identification of parameters of a dynamic stochastic general
equilibrium model from the first and second moments of the data. Classical results for
dynamic simultaneous equations do not apply because the state space solution of the ...
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[PDF] SOCIAL SCIENCE WORKING PAPER 1244R

[PDF] from caltech.edu
F Echenique… - 2005 - wordsmatter.caltech.edu
Abstract This paper proposes a method for testing complementarities between explanatory
and dependent variables in a large class of economic models. The proposed test is based
on the monotone comparative statics (MCS) property of equilibria. Our main result is that ...
Related articles - View as HTML - All 6 versions

[CITATION] Trois essais d'économétrie financière

I Komunjer - 2002 - ANRT, Université Pierre Mendes …
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[CITATION] Trois essais d'économie financière

I Komunjer - 2002

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