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Some Results on the Identification and Estimation of Vector ARMAX Processes

Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2004

selection criteria. A detailed analysis of the statistical properties of the estimation and identification procedures is given …

Persistent link: https://www.econbiz.de/10005581137

Who Gets Money First? Monetary Expansion, Ownership Structure and Wage Inequality in China

Cheng, Wenli; Bai, Peiwen - Department of Econometrics and Business Statistics, … - 2014

With the help of a simple model this paper formulates a hypothesis that a monetary expansion in the Chinese context of a segmented labor market has the effect of widening the wage gap between state and non-state workers. We argue that the reason for the increase in wage differential is that SOEs...

Persistent link: https://www.econbiz.de/10010861704

The Cantillon Effect of Money Injection through Deficit Spending

Cheng, Wenli; Angus, Simon D. - Department of Econometrics and Business Statistics, … - 2012

This paper develops a simple dynamic model to study some of the implications of Cantillon’s insight that new money enters an economy at a specific point and that it takes time for the new money to permeate the economy. It applies a process analysis and uses numerical simulations to map out how...

Persistent link: https://www.econbiz.de/10010580336

Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation

Dong, Chaohua; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2011

Two types of Brownian motion functionals, both time-homogeneous and time-inhomogeneous, are expanded in terms of orthonormal bases in respective Hilbert spaces. Meanwhile, different time horizons are treated from the applicability point of view. Moreover, the degrees of approximation of...

Persistent link: https://www.econbiz.de/10009318811

Testing for co-jumps in high-frequency financial data: an approach based on first-high-low-last prices

Liao, Yin; Anderson, Heather M. - Department of Econometrics and Business Statistics, … - 2011

This paper proposes a new test for simultaneous intraday jumps in a panel of high frequency financial data. We utilize intraday first-high-low-last values of asset prices to construct estimates for the cross-variation of returns in a large panel of high frequency financial data, and then employ...

Persistent link: https://www.econbiz.de/10009275516

Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations

Athanasopoulos, George; Poskitt, D.S.; Vahid, Farshid; … - Department of Econometrics and Business Statistics, … - 2014

This article studies a simple, coherent approach for identifying and estimating error correcting vector autoregressive moving average (EC-VARMA) models. Canonical correlation analysis is implemented for both determining the cointegrating rank, using a strongly consistent method, and identifying...

Persistent link: https://www.econbiz.de/10011085533

High Dimensional Correlation Matrices: CLT and Its Applications

Gao, Jiti; Han, Xiao; Pan, Guangming; Yang, Yanrong - Department of Econometrics and Business Statistics, … - 2014

Statistical inferences for sample correlation matrices are important in high dimensional data analysis. Motivated by this, this paper establishes a new central limit theorem (CLT) for a linear spectral statistic (LSS) of high dimensional sample correlation matrices for the case where the...

Persistent link: https://www.econbiz.de/10011093869

VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors

Poskitt, D.S.; Yao, Wenying - Department of Econometrics and Business Statistics, … - 2012

basic components, an estimation error that stems from the difference between the parameter estimates and their population … characterize, so called, truncation effects. Our theoretical analysis indicates that the magnitude of the estimation error exceeds … in practice the approximation error approaches its asymptotic position far more slowly than does the estimation error …

Persistent link: https://www.econbiz.de/10010543599

Fast computation of reconciled forecasts for hierarchical and grouped time series

Hyndman, Rob J; Lee, Alan; Wang, Earo - Department of Econometrics and Business Statistics, … - 2014

We describe some fast algorithms for reconciling large collections of time series forecasts with aggregation constraints. The constraints arise due to the need for forecasts of collections of time series with hierarchical or grouped structures to add up in the same manner as the observed time...

Persistent link: https://www.econbiz.de/10010958941

Estimation for Single-index and Partially Linear Single-index Nonstationary Time Series Models

Dong, Chaohua; Gao, Jiti; Tjostheim, Dag - Department of Econometrics and Business Statistics, … - 2014

Estimation in two classes of popular models, single-index models and partially linear single-index models, is studied … and real interest rate in the United States between 1960:1-2009:3 furnishes an application of the proposed estimation …

Persistent link: https://www.econbiz.de/10010958956