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 ...
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 ...
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 ...
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 ...
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 ...
I Komunjer… - Unpublished manuscript, 2009 - economics.ucr.edu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 ...
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 ...
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 ...
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 ...
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 ...
[CITATION] On the nonparametric identification of multiple choice models
PA Chiappori… - Manuscript, Columbia University, 2009
[CITATION] What Goods Do Countries Trade? A Structural Ricardian Model
A Costinot… - 2008 - mimeo MIT
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 ( ...
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). ...
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 ...
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 ...
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 ...
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 ( ...
[CITATION] VWhat Goods Do Countries Trade? New Ricardian PredictionsV
C Arnaud… - NBER working paper, 2007
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 ( ...
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 ...
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 ...
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 ...
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 ...
[CITATION] Asymmetric Power Distribution: Theory and Applications to Risk Measurement,(September 2003), revised (May 2004)
I Komunjer
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. ...
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 ...
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 ...
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. ...
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 ...
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 ...
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.
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 ...
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 ...
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 ...
[CITATION] Evaluation and Combination of Conditional Value-at-Risk Forecasts
R Giacomini…
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 ...
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 ...
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 ...
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 ...
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 ...
[CITATION] Trois essais d'économétrie financière
I Komunjer - 2002 - ANRT, Université Pierre Mendes …
[CITATION] Trois essais d'économie financière
I Komunjer - 2002
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