Confidence Intervals for Bubble Onset and Recovery Dates
Eiji Kurozumi and Anton Skrobotov have published an article titled "Confidence Sets for the Emergence, Collapse, and Recovery Dates of a Bubble" in the journal Econometric Reviews. The paper proposes, for the first time, a method for constructing statistically justified confidence sets for the dates of financial bubble emergence, collapse, and recovery. The authors employ test inversion procedures for breakpoint location, which allows for controlled coverage rates with reasonable interval lengths. The effectiveness of the approach is demonstrated using Japanese Nikkei 225 index data.
Professor Marco Barassi at the Centre for Big Data in Economics and Finance at HSE University
The Centre for Big Data in Economics and Finance at HSE University hosted Professor Marco Barassi of the University of Birmingham. During his visit he delivered a plenary talk at a special session of the 8th Applied Econometrics conference and also presented a paper at the International Research Seminar of the Faculty of Economic Sciences.
Bayesian Adaptive Sparse Copula: Tackling the Curse of Dimensionality in Multivariate Data
Martin Burda and Artem Prokhorov have published the article «Bayesian Adaptive Sparse Copula» in the Journal of Computational and Graphical Statistics. The paper introduces a new approach to Bayesian nonparametric estimation of multivariate densities. The authors propose a random Bernstein polynomial prior augmented with a spike-and-slab shrinkage structure, which preserves the advantages of multiscale decision tree methods while alleviating the curse of dimensionality.
Study Reveals Critical Flaws in Standard Methods for Assessing Firm Efficiency
An international research team including Subal C. Kumbhakar, A. Peresetsky, Y. Shchetynin, and A. Zaytsev has published a paper “Technical efficiency and inefficiency: Reliability of standard SFA models and a misspecification problem.” The study uncovers a fundamental issue in Stochastic Frontier Analysis (SFA) models used to evaluate the performance of firms and industries.