Search Results - "Komunjer, Ivana"

Asymmetric power distribution: Theory and applications to risk measurement by Komunjer, Ivana

“…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…”
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BIASES IN MACROECONOMIC FORECASTS: IRRATIONALITY OR ASYMMETRIC LOSS? by Elliott, Graham, Komunjer, Ivana, Timmermann, Allan

“…Empirical studies using survey data on expectations have frequently observed that forecasts are biased and have concluded that agents are not rational. We…”
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Estimation and Testing of Forecast Rationality under Flexible Loss by Elliott, Graham, Timmermann, Allan, Komunjer, Ivana

“…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…”
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Efficient estimation in dynamic conditional quantile models by Komunjer, Ivana, Vuong, Quang

“…In this paper we consider the problem of semiparametric efficient estimation in conditional quantile models with time series data. We construct an M-estimator…”
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SEMIPARAMETRIC EFFICIENCY BOUND IN TIME-SERIES MODELS FOR CONDITIONAL QUANTILES by Komunjer, Ivana, Vuong, Quang

“…We derive the semiparametric efficiency bound in dynamic models of conditional quantiles under a sole strong mixing assumption. We also provide an expression…”
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Likelihood ratio testing in linear state space models: An application to dynamic stochastic general equilibrium models by Komunjer, Ivana, Zhu, Yinchu

“…This paper considers the problem of hypothesis testing in linear Gaussian state space models. We consider two hypotheses of interest: a simple null and a…”
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Dynamic Identification of Dynamic Stochastic General Equilibrium Models by Komunjer, Ivana, Ng, Serena

“…This paper studies dynamic identification of parameters of a dynamic stochastic general equilibrium model from the first and second moments of the data…”
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GLOBAL IDENTIFICATION IN NONLINEAR MODELS WITH MOMENT RESTRICTIONS by Komunjer, Ivana

“…This paper derives sufficient conditions for global identification in nonlinear models characterized by a finite number of unconditional moment restrictions…”
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EXISTENCE AND CHARACTERIZATION OF CONDITIONAL DENSITY PROJECTIONS by Komunjer, Ivana, Ragusa, Giuseppe

“…In this paper we propose primitive conditions under which a projection of a conditional density onto a set defined by conditional moment restrictions exists…”
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What Goods Do Countries Trade? A Quantitative Exploration of Ricardo's Ideas by COSTINOT, ARNAUD, DONALDSON, DAVE, KOMUNJER, IVANA

“…The Ricardian model predicts that countries should produce and export relatively more in industries in which they are relatively more productive. Though one of…”
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Evaluation and Combination of Conditional Quantile Forecasts by Giacomini, Raffaella, Komunjer, Ivana

“…We propose an encompassing test for comparing conditional quantile forecasts in an out-of-sample framework. Our test provides a basis for forecast combination…”
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Quasi-maximum likelihood estimation for conditional quantiles by Komunjer, Ivana

“…In this paper, we construct a new class of estimators for conditional quantiles in possibly misspecified nonlinear models with time series data. Proposed…”
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Simulated minimum distance estimation of dynamic models with errors-in-variables by Gospodinov, Nikolay, Komunjer, Ivana, Ng, Serena

“…Empirical analysis often involves using inexact measures of the predictors suggested by economic theory. The bias created by the correlation between the…”
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Testing Models With Multiple Equilibria by Quantile Methods by Echenique, Federico, Komunjer, Ivana

“…This paper proposes a method for testing complementarities between explanatory and dependent variables in a large class of economic models. The proposed test…”
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MULTIVARIATE FORECAST EVALUATION AND RATIONALITY TESTING by Komunjer, Ivana, Owyang, Michael T.

“…In this paper, we propose a new family of multivariate loss functions to test the rationality of vector forecasts without assuming independence across…”
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MEASUREMENT ERRORS IN DYNAMIC MODELS by Komunjer, Ivana, Ng, Serena

“…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…”
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Nonparametric identification and estimation of transformation models by Chiappori, Pierre-André, Komunjer, Ivana, Kristensen, Dennis

“…This paper derives sufficient conditions for nonparametric transformation models to be identified and develops estimators of the identified components. Our…”
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Asymmetry, Complementarities, and State Dependence in Federal Reserve Forecasts by CAUNEDO, JULIETA, DICECIO, RICCARDO, KOMUNJER, IVANA, OWYANG, MICHAEL T.

“…Forecasts are a central component of policymaking; the Federal Reserve's forecasts are published in a document called the Greenbook. Previous studies of the…”
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Global identification of the semiparametric Box–Cox model by Komunjer, Ivana

“…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…”
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Semi-parametric estimation of non-separable models: a minimum distance from independence approach by Komunjer, Ivana, Santos, Andres

“…This paper studies non-separable structural models that are of the form [graphic removed] with U uniform on [graphic removed] in which [graphic removed] is a…”
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