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Industrial Coal Demand in China: A Provincial Analysis

Manera, Matteo; Cattaneo, Cristina; Scarpa, Elisa - Fondazione ENI Enrico Mattei (FEEM) - 2008

The general concern on the environmental implications of the rising demand for coal registered in China during the last few years has induced considerable research effort to produce accurate forecasts of China’s energy requirements. Nevertheless, no previous study has modelled the coal demand...

Persistent link: https://www.econbiz.de/10004965192

Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model

Chen, Huigang; Mirestean, Alin; Tsangarides, Charalambos G. - International Monetary Fund (IMF) - 2011

This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Model Averaging (LIBMA) methodology and then test it using simulated data. Simulation...

Persistent link: https://www.econbiz.de/10009327870

Binary Choice with Binary Endogenous Regressors in Panel Data: Estimating the Effect of Fertility on Female Labour Participation

Carrasco, Raquel - Fondazione ENI Enrico Mattei (FEEM) - 1999

This paper considers the estimation of binary choice panel data models with discrete endogenous regressors. We present a switching probit model which accounts for selectivity bias as well as for other forms of time invariant unobserved heterogeneity. Individual effects are allowed to be...

Persistent link: https://www.econbiz.de/10005385429

Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment

Wang, Mu-Chun - Deutsche Bundesbank - 2008

represent nicely the two opposing forecasting philosophies. The DSGE model on the one hand has a strong theoretical economic …-horizon forecasting and structural models should be used in long-horizon forecasting. Our paper compareds both state-of-the art data …

Persistent link: https://www.econbiz.de/10005083198

Oil Price Forecast Evaluation with Flexible Loss Functions

Bastianin, Andrea; Manera, Matteo; Markandya, Anil; … - Fondazione ENI Enrico Mattei (FEEM) - 2011

The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that … frequencies on a common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using …

Persistent link: https://www.econbiz.de/10009421234

Classical time-varying FAVAR models - estimation, forecasting and structural analysis

Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - Deutsche Bundesbank - 2011

We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation in the factor loadings, in the factor dynamics, and in the variance-covariance matrix of innovations. When the time-varying FAVAR is estimated using a large quarterly dataset of...

Persistent link: https://www.econbiz.de/10009493746

Biofuels and Food Prices: Searching for the Causal Link

Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - Fondazione ENI Enrico Mattei (FEEM) - 2013

We analyze the relationship between the prices of ethanol, agricultural commodities and livestock in Nebraska, the U.S. second largest ethanol producer. The paper focuses on long-run relations and Granger causality linkages between ethanol and the other commodities.The analysis takes possible...

Persistent link: https://www.econbiz.de/10010633230

Modelling Asymmetric Dependence Using Copula Functions: An application to Value-at-Risk in the Energy Sector

Bastianin, Andrea - Fondazione ENI Enrico Mattei (FEEM) - 2009

that asymmetries show up in their unconditional distribution, as well as in their unconditional copula. The VaR forecasting …

Persistent link: https://www.econbiz.de/10005012145

Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting

Manera, Matteo; Longo, Chiara; Markandya, Anil; Scarpa, … - Fondazione ENI Enrico Mattei (FEEM) - 2007

different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic …). The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should … common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using static and …

Persistent link: https://www.econbiz.de/10005423181

CDS spreads and systemic risk: A spatial econometric approach

Keiler, Sebastian; Eder, Armin - Deutsche Bundesbank - 2013

This study applies a novel way of measuring, quantifying and modelling the systemic risk within the financial system. The magnitude of risk spill over effects is gauged by introducing a specific weighting scheme. This approach originally stems from spatial econometrics. The methodology allows...

Persistent link: https://www.econbiz.de/10010957156

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