Econometrics

From Outliers to Inliers: Robust Non-Parametric Regression with Median-of-Means

Regression analysis is a widely used statistical tool for predicting a continuous dependent variable based on one or more independent variables. However, traditional regression methods, such as linear and polynomial regression, can be sensitive to outliers and make incorrect predictions if the assumptions of normality and homoscedasticity are violated. To address these limitations, researchers have …

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Assessing Sovereign Risk in the Age of Deep Learning

Introduction Sovereign risk assessment is a critical component of modern finance, as it helps investors, analysts, and policy makers understand the potential risks and returns of investing in a particular country. In the past, sovereign risk assessment has been based on traditional methods such as credit ratings, macroeconomic indicators, and political risk analysis. However, with …

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Dynamic Factor Analysis vs Traditional Methods: Comparing the Accuracy of Inflation Forecasting

Introduction Inflation forecasting is a crucial task for policymakers and central banks as it helps in determining the appropriate monetary policy. The accuracy of inflation forecasting is of paramount importance, as it directly impacts the economy. In this blog post, we will compare the accuracy of dynamic factor analysis (DFA) and traditional methods in forecasting …

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