Similar Search Results

Modelling Energy Demand and Household Welfare Using Micro-Data

Baker, Paul; Blundell, Richard William; Micklewright, John - C.E.P.R. Discussion Papers - 1987

The paper is concerned with the empirical modelling of domestic demand for energy in the United Kingdom at the level of …-stage budgeting model of the household's demand for energy conditional on its ownership of durables. Preferences at both stages of the … data has not been fully exploited in the analysis of energy demand to date. Unrestricted reduced-form estimates are …

Persistent link: https://www.econbiz.de/10005497752

Energy and Climate Change in China

Carraro, Carlo; Massetti, Emanuele - C.E.P.R. Discussion Papers - 2012

This paper examines future energy and emissions scenarios in China generated by the Integrated Assessment Model WITCH …

Persistent link: https://www.econbiz.de/10011084331

Galton's Fallacy and Tests of the Convergence Hypothesis

Quah, Danny - C.E.P.R. Discussion Papers - 1993

Recent tests for the convergence hypothesis derive from regressing average growth rates on initial levels: a negative initial level coefficient is interpreted as convergence. These tests turn out to be plagued by Francis Galton's classical fallacy of regression towards the mean. Using a dynamic...

Persistent link: https://www.econbiz.de/10005791236

Structural FECM: Cointegration in large-scale structural FAVAR models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2014

Starting from the dynamic factor model for non-stationary data we derive the factor-augmented error correction model (FECM) and, by generalizing the Granger representation theorem, its moving-average representation. The latter is used for the identification of structural shocks and their...

Persistent link: https://www.econbiz.de/10011083358

Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2008

This paper brings together several important strands of the econometrics literature: error-correction, cointegration and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the factors estimated from a large set of variables in levels are jointly...

Persistent link: https://www.econbiz.de/10005136642

Forecasting with Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2010

As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction Model (FECM). The FECM combines error-correction, cointegration and dynamic factor models, and has several conceptual...

Persistent link: https://www.econbiz.de/10008468646

Residual-based Rank Specification Tests for AR-GARCH type models

Andreou, Elena; Werker, Bas J M - C.E.P.R. Discussion Papers - 2013

This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR-GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. For...

Persistent link: https://www.econbiz.de/10011084012

Nonparametric Predictive Regression

Andreou, Elena; Kasparis, Ioannis; Phillips, Peter C. B. - C.E.P.R. Discussion Papers - 2013

A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The test statistics are related to those of Kasparis and Phillips...

Persistent link: https://www.econbiz.de/10011084643

When Anti-Dumping Measures Lead to Increased Market Power: A Case Study of the European Salmon Market

Asche, Frank; Steen, Frode - C.E.P.R. Discussion Papers - 2006

In this paper we apply the Bresnahan-Lau (1982) model to test for market power in the European distribution of salmon. In this particular setting, the model also incorporates a test of whether dumping takes place over time. Utilising data at the import level, derived demand equations are...

Persistent link: https://www.econbiz.de/10005791849

Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?

Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010

Inflation is a far from homogeneous phenomenon, a fact often neglected in modelling consumer price inflation. This study, the first of its kind for an emerging market country, investigates gains to inflation forecast accuracy by aggregating weighted forecasts of the sub-component price indices,...

Persistent link: https://www.econbiz.de/10008553067