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The consumption of ordinary wines in France : the effect of administered prices

SALIES, Evens - EconWPA - 2004

Since 1970 nearly all-Mediterranean countries of the EC had undertaken measures to regulate their domestic market for ordinary wines, in the context of constant fall in domestic demand for that product. This paper provides an empirical modelling framework for understanding the effect on the...

Persistent link: https://www.econbiz.de/10005556313

Non-causality due to included variables

Triacca, Umberto - In: Econometrics 5 (2017) 4, pp. 1-4

The contribution of this paper is to investigate a particular form of lack of invariance of causality statements to changes in the conditioning information sets. Consider a discrete-time three-dimensional stochastic process z = (x, y1, y2)0. We want to study causality relationships between the...

Persistent link: https://www.econbiz.de/10011995194

Bayesian analysis of bubbles in asset prices

Fulop, Andras; Yu, Jun - In: Econometrics 5 (2017) 4, pp. 1-23

We develop a new model where the dynamic structure of the asset price, after the fundamental value is removed, is subject to two different regimes. One regime reflects the normal period where the asset price divided by the dividend is assumed to follow a mean-reverting process around a...

Persistent link: https://www.econbiz.de/10011995195

Formula I(1) and I(2): Race tracks for likelihood maximization algorithms of I(1) and I(2) cointegrated VAR models

Doornik, Jurgen A.; Mosconi, Rocco; Paruolo, Paolo - In: Econometrics 5 (2017) 4, pp. 1-30

This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...

Persistent link: https://www.econbiz.de/10011995197

The relation between monetary policy and the stock market in Europe

Lütkepohl, Helmut; Netšunajev, Aleksei - In: Econometrics 6 (2018) 3, pp. 1-14

restrictions for the structural shocks and also used (conditional) heteroscedasticity in the residuals for identification purposes … policy shocks which is consistent with the second-order moment structure of the variables. The model indicates that … contractionary monetary policy shocks lead to a long-lasting downturn of real stock prices. …

Persistent link: https://www.econbiz.de/10011995225

Financial big data solutions for state space panel regression in interest rate dynamics

Toczydlowska, Dorota; Peters, Gareth W. - In: Econometrics 6 (2018) 3, pp. 1-45

A novel class of dimension reduction methods is combined with a stochastic multi-factor panel regression-based state-space model in order to model the dynamics of yield curves whilst incorporating regression factors. This is achieved via Probabilistic Principal Component Analysis (PPCA) in which...

Persistent link: https://www.econbiz.de/10011995227

State-space models on the Stiefel manifold with a new approach to nonlinear filtering

Yang, Yukai; Bauwens, Luc - In: Econometrics 6 (2018) 4, pp. 1-22

We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the...

Persistent link: https://www.econbiz.de/10011995230

Likelihood ratio tests of restrictions on common trends loading matrices in I(2) VAR Systems

Boswijk, H. Peter; Paruolo, Paolo - In: Econometrics 5 (2017) 3, pp. 1-17

Persistent link: https://www.econbiz.de/10011995238

Modeling real exchange rate persistence in Chile

Salazar, Leonardo - In: Econometrics 5 (2017) 3, pp. 1-21

The long and persistent swings in the real exchange rate have for a long time puzzled economists. Recent models built on imperfect knowledge economics seem to provide a theoretical explanation for this persistence. Empirical results, based on a cointegrated vector autoregressive (CVAR) model,...

Persistent link: https://www.econbiz.de/10011995239

Cointegration between trends and their estimators in state space models and cointegrated vector autoregressive models

Johansen, Søren; Tabor, Morten Nyboe - In: Econometrics 5 (2017) 3, pp. 1-46

A state space model with an unobserved multivariate random walk and a linear observation equation is studied. The purpose is to find out when the extracted trend cointegrates with its estimator, in the sense that a linear combination is asymptotically stationary. It is found that this result...

Persistent link: https://www.econbiz.de/10011995243

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