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This paper investigates the dynamic causal link between exports and economic growth using both linear and nonlinear … we turn to the nonlinear methods to evaluate Granger causality between exports and GDP. First, we use Hiemstra and Jones … (1994) nonlinear Granger causality test and find a unidirectional causality from GDP to exports. However, using a more …
Persistent link: https://www.econbiz.de/10011213291
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market, and such a phenomenon is considered as an adverse influence. Nonlinear Granger causality and Bayesian factor analysis … nonlinear relationship between ADR and LD by employing Bayesian factor analysis, which has never been employed in the related … are employed to investigate the nonlinear relationship between ADR and LD. The results indicate the existence of a …
Persistent link: https://www.econbiz.de/10010573282
Nonlinear pricing is prevalent in industries such as health care, public utilities, and telecommunications. However …, this pricing scheme introduces bias into estimating elasticities for welfare analysis or policy changes. I develop a local … elasticity estimation method that uses nonlinear price schedules to isolate consumers' expenditure choices from selection and …
Persistent link: https://www.econbiz.de/10011117291
Many statistical applications require the forecast of a random variable of interest over several periods into the future. The sequence of individual forecasts, one period at a time, is called a path forecast, where the term path refers to the sequence of individual future realizations of the...
Persistent link: https://www.econbiz.de/10009748762
We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...
Persistent link: https://www.econbiz.de/10010256970
I expose the risk of false discoveries in the context of multiple treatment effects. A false discovery is a nonexistent effect that is falsely labeled as statistically significant by its individual t-value. Labeling nonexistent effects as statistically significant has wide-ranging academic and...
Persistent link: https://www.econbiz.de/10009740949
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Often researchers find parametric models restrictive and sensitive to deviations from the parametric specifications; semi-nonparametric models are more flexible and robust, but lead to other complications such as introducing infinite-dimensional parameter spaces that may not be compact and the...
Persistent link: https://www.econbiz.de/10014024939
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