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HOW BANKING SYSTEM IN POST-SOVIET ECONOMIES ASSIST TO THEIR DEVELOPMENT. THE CASE STUDY OF ARMENIA

Mnatsakanyan, Hakob; Kanas, Angelos; Rafayelov, Zohrak - EconWPA - 2004

Persistent link: https://www.econbiz.de/10005407976

Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach

Ashley, Richard A.; Tsang, Kwok Ping - In: Econometrics 2 (2014) 1, pp. 72-91

Credible Granger-causality analysis appears to require post-sample inference, as it is well-known that in-sample fit … terms of power relative to the in-sample Granger-causality F test, is manageable. An illustrative application is given, to a …

Persistent link: https://www.econbiz.de/10011031448

The Determinants of the Harare Stock Exchange (HSE) Market Capitalisation

Ilmolelian, Peter - EconWPA - 2005

of the paper outlines the theory behind market capitalisation, the development of of the general econometric model and …

Persistent link: https://www.econbiz.de/10005119105

Subsampling Cointegration Ranks in Large Systems

Pu, Chen; Chihying, Hsiao - EconWPA - 2005

In this paper we investigate the possibility of the application of subsampling procedure for testing cointegration … distribution and nuisance parameters in testing for cointegration rank without an explicitly formulated structural model. The … cointegration rank in large scale models, where the standard procedures hits already its limit. For empirical relevant cases our …

Persistent link: https://www.econbiz.de/10005119151

Assessing Forecast Performance in a VEC Model: An Empirical Examination

Zacharias, Bragoudakis - EconWPA - 2005

expenditure as suggested by the economic theory. We compare the estimated forecasting values of the endogenous variables to the … ability of the model to forecast not only one-period ahead but also many periods into the future. Keywords: Cointegration …

Persistent link: https://www.econbiz.de/10005119198

Estimating Short and Long Run Relationships: A Guide to the Applied Economist

Rao, Bhaskara - EconWPA - 2005

Many applied economists face problems in selecting an appropriate technique to estimate short and long run relationships with the time series methods. This paper reviews three alternative approaches viz., general to specific (GETS), vector autoregressions (VAR) and the vector error correction...

Persistent link: https://www.econbiz.de/10005556358

ON THE ROLE OF WAGES IN THE UKRAINIAN TRANSITION PROCESS : AN EMPIRICAL INVESTIGATION

Fazio, Gioacchino; Hueber, Olivier - EconWPA - 2004

cointegration test, we assert that between January 1992 and November 1995, the Ukraine was faced with a complex monetary regime in …

Persistent link: https://www.econbiz.de/10005407979

Nonparametric Regression Estimation for Multivariate Null Recurrent Processes

Cai, Biqing; Tjøstheim, Dag - In: Econometrics 3 (2015) 2, pp. 265-288

This paper discusses nonparametric kernel regression with the regressor being a \(d\)-dimensional \(\beta\)-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate \(\sqrt{n(T)h^{d}}\), where \(n(T)\) is...

Persistent link: https://www.econbiz.de/10011254954

A Nonparametric Way of Distribution Testing

Kilic, Ekrem - EconWPA - 2005

Testing the distribution of a random sample can be considered ,indeed, as a goodness-of-fit problem. If we use the nonparametric density estimation of the sample as a consistent estimate of exact distribution, the problem reduces, more specifically, to the distance of two functions. This paper...

Persistent link: https://www.econbiz.de/10005119063

Estimating a third-order translog demand system using Canadian micro-data

Singh, Vik - EconWPA - 2005

the theory of utility maximization or the particular functional form used in the model is flawed. We find that the third …

Persistent link: https://www.econbiz.de/10005119067