# Questions tagged [econometrics]

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### Question on the use of a limit in a proof

I ran into a step in an argument that I can't quite figure out. It's basically how they use a limit that I don't seem to understand. The context is local-to-unity asymptotics in vector autoregressions,...
83 views

### Cash flows regression on macroeconomic data

I'm looking into a research project and am struggling to find any existing work on this or whether I'm asking the right question. My question is to test the relationship between macroeconomic ...
106 views

### Why is Banque de France using BVAR with different orders of integration?

Don't all the variables used have to be of the same order of integration in VAR models ? In this paper Bayesian VAR Forecasts, Survey Information and Structural Change in the Euro Area Gergely Ganics ...
189 views

### Average Return Differential Calculation - Newey West t-Statistic

I am reading Table II on page 28 in Bali et al. (2007), Value at Risk and the Cross-Section of Hedge Fund Returns: Please can anyone explain the calculation of t-statistic and Newey West t-statistic ...
80 views

### Monte Carlo approach and methods for generating random returns

Recently I found myself reading more about Monte Carlo approach in m.v. portfolio optimization framework. I already discuss the topic on this forum (if interested please consider the following links - ...
51 views

### Can you approximate stochastic volatility processes using GARCH processes?

Let me specific. Suppose that you have the following process: \begin{align} z_t &= \sigma_t \epsilon_t \\ \sigma_t &= \sigma \exp \left( \frac{v_t}{2} \right) \end{align} where $v_t$...
69 views

### Is it legitimate to assess the resilience of industries and sectors through the stock market?

I would like to assess the resilience of some sectors in Europe but I honestly lack data, and it seemed to me the simplest solution to be able to implement univariate (arima etc) and multivariate (...
69 views

### What is the R code for estimating copula parameters of BB1 with dim=2? And what's the code for gof test of BB1?

Kindly assist with R code for BB1 copula. Text books and research articles provide codes for clayton, gumbel, frank, normal and t copulas. However, I can't find code for BB1. For example, this is ...
157 views

### evaluating garch models

I used ugarchroll to backtest my garch model on S&P returns this is my code ...
12 views

### A simple question about the dummies of structural variance (ICSS) breaks on GARCH

The question related to How to implement dummy variables into GARCH(1,1) model from structural breaks (ICSS) I have a simple question about that. Suppose my series have two breaks on t=2 and t=5 for ...