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Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures

Silvapulle, Param; Zhang, Xibin - Department of Econometrics and Business Statistics, … - 2006

This paper investigates whether or not there are significant changes in the dependence between the Thai equity market … dependence between the Thai market and these six markets have changed. We employ the chi-plot proposed by Fisher and Switzer … (2001) and the Kendall plot proposed by Genest and Boies (2003) to examine the dependence in these six markets for the pre …

Persistent link: https://www.econbiz.de/10005087582

Dumrongrittikul, Taya - Department of Econometrics and Business Statistics, … - 2011

We examine the response of real exchange rates to shocks in real exchange rate determinants, a monetary policy shock, and a fiscal policy shock in 30 countries over the period 1970-2008. The country set is divided into 4 groups - European, developed-country, Asian developing-country, and non...

Persistent link: https://www.econbiz.de/10009364601

Canadian Monetary Policy Analysis using a Structural VARMA Model

Raghavan, Mala; Athanasopoulos, George; Silvapulle, Param - Department of Econometrics and Business Statistics, … - 2013

literature mainly due to difficulties associated with the identification and estimation of such a model. Using the scalar …

Persistent link: https://www.econbiz.de/10010687959

VARMA models for Malaysian Monetary Policy Analysis

Raghavan, Mala; Athanasopoulos, George; Silvapulle, Param - Department of Econometrics and Business Statistics, … - 2009

This paper establishes vector autoregressive moving average (VARMA) models for Malaysian monetary policy analysis by efficiently identifying and simultaneously estimating the model parameters using full information maximum likelihood. The monetary literature is largely dominated by vector...

Persistent link: https://www.econbiz.de/10005003386

Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form

Athanasopoulos, George; Poskitt, D.S.; Vahid, Farshid - Department of Econometrics and Business Statistics, … - 2007

In this paper we study two methodologies which identify and specify canonical form VARMA models. The two methodologies are: (i) an extension of the scalar component methodology which specifies canonical VARMA models by identifying scalar components through canonical correlations analysis and...

Persistent link: https://www.econbiz.de/10005009857

On the Bimodality of the Exact Distribution of the TSLS Estimator

Forchini, Giovanni - Department of Econometrics and Business Statistics, … - 2005

Nelson and Startz (Econometrica, 58, 1990), Maddala and Jong (Econometrica, 60, 1992) and Wolgrom (Econometrica, 69, 2001) have shown that the density of the two-stage least squares estimator may be bimodal in a just identified structural equation. This paper further investigates the conditions...

Persistent link: https://www.econbiz.de/10005427636

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

A Complete VARMA Modelling Methodology Based on Scalar Components

Athanasopoulos, George; Vahid, Farshid - Department of Econometrics and Business Statistics, … - 2006

This paper proposes an extension to scalar component methodology for the identification and estimation of VARMA models …

Persistent link: https://www.econbiz.de/10005581158

VARMA versus VAR for Macroeconomic Forecasting

Athanasopoulos, George; Vahid, Farshid - Department of Econometrics and Business Statistics, … - 2006

In this paper, we argue that there is no compelling reason for restricting the class of multivariate models considered for macroeconomic forecasting to VARs given the recent advances in VARMA modelling methodology and improvements in computing power. To support this claim, we use real...

Persistent link: https://www.econbiz.de/10005087575

Some Properties of Tests for Possibly Unidentified Parameters

Forchini, G. - Department of Econometrics and Business Statistics, … - 2005

It is well known that confidence intervals for weakly identified parameters are unbounded with positive probability (e.g. Dufour, Econometrica 65, pp. 1365-1387 and Staiger and Stock, Econometrica 65, pp. 557-586), and that the asymptotic risk of their estimators is unbounded (Pötscher,...

Persistent link: https://www.econbiz.de/10005087614