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Globalization and Knowledge Spillover: International Direct Investment, Exports and Patents

Chang, Chia-Lin; McAleer, Michael; Chang, Chang, S.P. - Faculteit der Economische Wetenschappen, Erasmus … - 2010

This paper examines the impact of the three main channels of international trade on domestic innovation, namely outward direct investment, inward direct investment (IDI) and exports. The number of Triadic patents serves as a proxy for innovation. The data set contains 37 countries that are...

Persistent link: https://www.econbiz.de/10010732631

Comparison of the Anderson-Rubin test for overidentification and the Johansen test for cointegration

van Dijk, Herman K.; Hoogerheide, Hoogerheide, L.F. - Faculteit der Economische Wetenschappen, Erasmus … - 2001

Equations Model and the Johansen test for cointegration in a Vector Autoregressive model. The similar structure of the two …

Persistent link: https://www.econbiz.de/10010731700

Cointegration in a historical perspective

Franses, Philip Hans; van Dijk, Dick - Faculteit der Economische Wetenschappen, Erasmus … - 2009

We analyse the impact of the Engle and Granger (1987) article by its citations over time, and find evidence of a second life starting in the new millennium. Next, we propose a possible explanation of the success of this citation classic. We argue that the conditions for its success were just...

Persistent link: https://www.econbiz.de/10010731703

Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan

Strachan, Rodney; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2007

A Bayesian model averaging procedure is presented within the class of vector autoregressive (VAR) processes and applied to two empirical issues. First, stability of the "Great Ratios" in U.S. macro-economic time series is investigated, together with the presence and e¤ects of permanent shocks....

Persistent link: https://www.econbiz.de/10010731708

Modeling regional house prices

Franses, Philip Hans; Paap, Richard; van Dijk, Dick; … - Faculteit der Economische Wetenschappen, Erasmus … - 2007

time series dimension is large. The model allows for stochastic trends, cointegration, cross-equation correlations and …

Persistent link: https://www.econbiz.de/10010731783

Generalized Reduced Rank Tests using the Singular Value Decomposition

Kleibergen, Frank; Paap, Richard - Faculteit der Economische Wetenschappen, Erasmus … - 2003

rank statistic. In the non-stationary cointegration case, the limiting distribution of the rank statistic is identical to …

Persistent link: https://www.econbiz.de/10010731839

Bayes estimates of Markov trends in possibly cointegrated series: an application to US consumption and income

Paap, Richard; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2002

periods. Since a linear combination of such series does not have to be a constant mean process, standard cointegration … Monte Carlo methods. The empirical results suggest the existence of a cointegration relation between US per capita …

Persistent link: https://www.econbiz.de/10010731841

Model uncertainty and Bayesian model averaging in vector autoregressive processes

Strachan, Rodney; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2006

Economic forecasts and policy decisions are often informed by empirical analysis based on econometric models. However, inference based upon a single model, when several viable models exist, limits its usefulness. Taking account of model uncertainty, a Bayesian model averaging procedure is...

Persistent link: https://www.econbiz.de/10010731910

Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analyses of Cointegration

Kleibergen, Frank; Paap, Richard - Faculteit der Economische Wetenschappen, Erasmus … - 1996

Using the standard linear model as a base, a unified theory of Bayesian Analyses of Cointegration Models is constructed … cointegration model. Using these priors, posterior results for the cointegration model are obtained using a Metropolis …-Hasting sampler. To compare the cointegration models mutually and with the vector autoregressive model under stationarity, we use two …

Persistent link: https://www.econbiz.de/10010837753

Valuing structure, model uncertainty and model averaging in vector autoregressive processes

Strachan, Rodney; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2004

uniform priors on subspaces defined by particular structural features of VARs. The features considered are cointegration …

Persistent link: https://www.econbiz.de/10010837836