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Content Horizons for Forecasts of Economic Time Series

Galbraith, John - Centre Interuniversitaire de Recherche en Analyse des … - 1999

the growth rate of GDP, in U.S. and Canadian data. Nous considérons la détermination de l'horizon après lequel les …

Persistent link: https://www.econbiz.de/10005100645

Forecasting Some Low-Predictability Time Series Using Diffusion Indices

Brisson, Marc; Campbell, Bryan; Galbraith, John - Centre Interuniversitaire de Recherche en Analyse des … - 2001

The growth rates of real output and real investment are two macroeconomic time series which are particularly difficult to forecast. This paper considers the application of diffusion index forecasting models to this problem. We begin by characterizing the performance of standard forecasts, via...

Persistent link: https://www.econbiz.de/10005100998

Public Ownership and Trade Policy

Long, Ngo Van; Staehler, Frank - Centre Interuniversitaire de Recherche en Analyse des … - 2007

the government chooses optimal trade policy instruments. Second, in the case of rivalry between domestic export firms, the … optimal export tax is independent of the degree of public ownership. Third, in the case of rivalry in the home market, the … export subsidy is an increasing function of the public ownership share, while in the case of Bertrand rivalry with …

Persistent link: https://www.econbiz.de/10005100665

Regulation, Market Structure and Service Trade Liberalization

Konan, Denise Eby; Assche, Ari Van - Centre Interuniversitaire de Recherche en Analyse des … - 2006

In this paper, we develop a method to quantify the importance of regulation and market structure on the success of trade liberalization. For this purpose, we incorporate a single imperfectly competitive service sector that can take on various market structures into a standard computational...

Persistent link: https://www.econbiz.de/10005100794

Pollution, Pigouvian Taxes, and Asymmetric International Oligopoly

Long, Ngo Van; Soubeyran, Antoine - Centre Interuniversitaire de Recherche en Analyse des … - 1998

We derive emission tax rules that take into account (i) the rent-shifting argument, (ii) the need to mitigate transboundary pollution, (iii) correction for restrictive oligopoly output, and (iv) correction for domestic coordination of outputs. We show that trade liberalization does not...

Persistent link: https://www.econbiz.de/10005100900

Protection, Lobbying, and Market Structure

Hillman, Arye; Long, Ngo Van; Soubeyran, Antoine - Centre Interuniversitaire de Recherche en Analyse des … - 2000

We analyze a model of lobbying by oligopolists who allocate resources between lobbying and internal cost-reducing activities. We ask the following questions: (i) if firms differ with respect to comparative advantage in lobbying, what is the equilibrium allocation of resources between lobbying...

Persistent link: https://www.econbiz.de/10005101083

Marginal Likelihood for Markov-Switching and Change-Point Garch Models

Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen - Centre Interuniversitaire de Recherche en Analyse des … - 2011

GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC methods due to the path dependence problem. An unsolved...

Persistent link: https://www.econbiz.de/10009395940

An Analysis of the Real Interest Rate Under Regime Shifts

Garcia, René; Perron, Pierre - Centre Interuniversitaire de Recherche en Analyse des … - 1995

This study considers the time series behavior of the U.S. real interest rate from 1961 to 1986. We provide a statistical characterization of the series using the methodology of Hamilton (1989), by allowing three possible regimes affecting both the mean and variance of the series. The results...

Persistent link: https://www.econbiz.de/10005838749

Multivariate Option Pricing With Time Varying Volatility and Correlations

Rombouts, Jeroen; Stentoft, Lars Peter - Centre Interuniversitaire de Recherche en Analyse des … - 2010

In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes to option pricing. Specifically, we derive the risk...

Persistent link: https://www.econbiz.de/10008506122

Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?

Ghysels, Eric; Granger, Clive W.J.; Siklos, Pierre L. - Centre Interuniversitaire de Recherche en Analyse des … - 1995

In this paper, we investigate whether seasonal adjustment procedures are, at least approximately, linear data transformations. This question is important with respect to many issues including estimation of regression models with seasonally adjusted data. We focus on the X-11 program and first...

Persistent link: https://www.econbiz.de/10005100511