Adrian Pagan
Biographic Data
| ID | 1083299 |
|---|---|
| NAME | Adrian Pagan |
| GIVEN NAMES | Adrian |
| FAMILY NAME | Pagan |
| SIGNATURE | PAGAN A |
| AFFILIATIONS | Australian National University |
| ORCID | 0000-0001-8427-6212 |
| VERIFIED | Yes |
| TOTAL WORKS | 11 |
| TOTAL CITATIONS | 51 |
| AUTHOR COUNT | 11 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1984 |
| LATEST PUBLICATION YEAR | 2024 |
| H-INDEX | 1 |
Getting the ROC into Sync
Judging the conformity of binary events in macroeconomics and finance has often been done with indices that measure synchronization. In recent years, the use of Receiver Operating Characteristic (ROC) curve has become popular for this task. This article shows that the ROC and synchronization approaches are closely related, and each can be derived from a decision-making framework. Furthermore, the resulting global measures of the degree of conform…
Three Basic Issues that Arise when Using Informational Restrictions in SVARs
When sign or other informational restrictions are used in SVARs, impulse responses are only set identified. Three issues need to be addressed when finding such sets. One is that the restrictions must be sufficient to separate the shocks. Failure to do so can result in unacceptable structural equations, for example two supply curves in the SVAR. Another is the need to adjust the identified set so that the responses are to the same size shock. Othe…
An Examination of Covid-19-Related Stressors among Parents
The circumstances of the COVID-19 pandemic have taken a psychological toll on parents. Thus, understanding the impact of these contextual stressors on parents is important to help inform the development of family-based health promotion interventions. The present study examined parents’ perception of various sources of stress resulting from the COVID-19 pandemic. Participants (N = 294) completed an open-ended question about their primary source of…
An Econometric Analysis of Some Models for Constructed Binary Time Series
Macroeconometric and financial researchers often use binary data constructed in a way that creates serial dependence. We show that this dependence can be allowed for if the binary states are treated as Markov processes. In addition, the methods of construction ensure that certain sequences are never observed in the constructed data. Together these features make it difficult to utilize static and dynamic Probit models. We develop modeling methods …
Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W. J. Granger
Clive Granger is a seminal figure in modern econometrics. His name is inextricably bound up with advances in our knowledge of forecasting methods, causality, integration and co‐integration, specification testing and nonlinear models, but this is not an exhaustive list of the areas he has influenced; he has often written papers in applied econometrics and statistics that pertain to many of the key areas of today's research e.g. the nature of ARCH …
Dissecting the cycle: A Methodological Investigation
Estimating the Density Tail Index for Financial Time Series
The tail index of a density has been widely used as an indicator of the probability of getting a large deviation in a random variable. Most of the theory underlying popular estimators of it assume that the data are independently and identically distributed (i.i.d.). However, many recent applications of the estimator have been to financial data, and such data tend to exhibit long-range dependence. We show, via Monte Carlo simulations, that convent…
Estimation, Inference and Specification Analysis
The Limits of Econometrics
Journal Article The Limits of Econometrics Get access The Limits of Econometrics. By ADRIAN DARNELL and J. LYNNE EVANS. (Aldershot: Edward Elgar, 1990. Pp. xvi+173. à £32.50 hardback. ISBN 1 852780487). Adrian Pagan Adrian Pagan University of Rochester Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 101, Issue 406, 1 May 1991, Pages 636–638, https://doi.org/10.2307/2233569 Published: 01 May 19…
Structural Sensitivity in Econometric Models
Essentials of Model Structure Procedures for Model Understanding Some Properties of the MQEM Preliminary Complete Model Dynamics Multiplier and Parameter Perturbations in the MQEM Reduced Models and the MQEM Bibliography Index
Econometric Issues in the Analysis of Regressions with Generated Regressors
Econometric Issues in the Analysis of Regressions with Generated Regressors
Structural Sensitivity in Econometric Models
Essentials of Model Structure Procedures for Model Understanding Some Properties of the MQEM Preliminary Complete Model Dynamics Multiplier and Parameter Perturbations in the MQEM Reduced Models and the MQEM Bibliography Index
The Limits of Econometrics
Journal Article The Limits of Econometrics Get access The Limits of Econometrics. By ADRIAN DARNELL and J. LYNNE EVANS. (Aldershot: Edward Elgar, 1990. Pp. xvi+173. à £32.50 hardback. ISBN 1 852780487). Adrian Pagan Adrian Pagan University of Rochester Search for other works by this author on: Oxford Academic Google Scholar The Economic Journal, Volume 101, Issue 406, 1 May 1991, Pages 636–638, https://doi.org/10.2307/2233569 Published: 01 May 19…
Estimation, Inference and Specification Analysis
Estimating the Density Tail Index for Financial Time Series
The tail index of a density has been widely used as an indicator of the probability of getting a large deviation in a random variable. Most of the theory underlying popular estimators of it assume that the data are independently and identically distributed (i.i.d.). However, many recent applications of the estimator have been to financial data, and such data tend to exhibit long-range dependence. We show, via Monte Carlo simulations, that convent…
Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W. J. Granger
Clive Granger is a seminal figure in modern econometrics. His name is inextricably bound up with advances in our knowledge of forecasting methods, causality, integration and co‐integration, specification testing and nonlinear models, but this is not an exhaustive list of the areas he has influenced; he has often written papers in applied econometrics and statistics that pertain to many of the key areas of today's research e.g. the nature of ARCH …
Dissecting the cycle: A Methodological Investigation
An Econometric Analysis of Some Models for Constructed Binary Time Series
Macroeconometric and financial researchers often use binary data constructed in a way that creates serial dependence. We show that this dependence can be allowed for if the binary states are treated as Markov processes. In addition, the methods of construction ensure that certain sequences are never observed in the constructed data. Together these features make it difficult to utilize static and dynamic Probit models. We develop modeling methods …
An Examination of Covid-19-Related Stressors among Parents
The circumstances of the COVID-19 pandemic have taken a psychological toll on parents. Thus, understanding the impact of these contextual stressors on parents is important to help inform the development of family-based health promotion interventions. The present study examined parents’ perception of various sources of stress resulting from the COVID-19 pandemic. Participants (N = 294) completed an open-ended question about their primary source of…
Three Basic Issues that Arise when Using Informational Restrictions in SVARs
When sign or other informational restrictions are used in SVARs, impulse responses are only set identified. Three issues need to be addressed when finding such sets. One is that the restrictions must be sufficient to separate the shocks. Failure to do so can result in unacceptable structural equations, for example two supply curves in the SVAR. Another is the need to adjust the identified set so that the responses are to the same size shock. Othe…
Getting the ROC into Sync
Judging the conformity of binary events in macroeconomics and finance has often been done with indices that measure synchronization. In recent years, the use of Receiver Operating Characteristic (ROC) curve has become popular for this task. This article shows that the ROC and synchronization approaches are closely related, and each can be derived from a decision-making framework. Furthermore, the resulting global measures of the degree of conform…
Econometrics (9 works) · Economics (8 works) · Mathematics (7 works) · Monetary Policy and Economic Impact (7 works) · Computer Science (6 works) · Statistics (6 works) · Engineering (3 works) · Market Dynamics and Volatility (3 works) · Artificial Intelligence (2 works) · Artificial Intelligence (2 works)