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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

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

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

Modeling the Dynamics of EU Economic Sentiment Indicators: An Interaction-Based Approach

Ghonghadze, Jaba; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2009

-of-sample forecasting capacity relative to univariate time series models of the ARMA(p; q) and ARFIMA(p; d; q) varieties. These tests speak …

Persistent link: https://www.econbiz.de/10005700525

Predicting Inflation in Euroland ; The Pstar Approach

Scheide, Joachim; Trabandt, Mathias - Institut für Weltwirtschaft (IfW) - 2000

Inflation is a monetary phenomenon. While this statement is widely accepted in terms of a long-run relationship, the quantity theory has been made operational also for the short-run dynamics of inflation by so-called Pstar models. An error correction model with quarterly data for the Euro Area...

Persistent link: https://www.econbiz.de/10005700619

Impact of national financial regulation on macroeconomic and fiscal performance after the 2007 financial shock: Econometric analyses based on cross-country data

Hagen, Tobias - Institut für Weltwirtschaft (IfW) - 2013

Using cross-country data, this paper estimates the impact of the 2007 financial shock on countries' macroeconomic developments conditional on national financial regulations before the crisis. For this purpose, the financial reform index developed by Abiad et al. (A New Database of Financial...

Persistent link: https://www.econbiz.de/10010956118

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