Showing 1 - 10 of 326
Persistent link: https://www.econbiz.de/10005407976
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
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
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
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
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
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
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
We examine the ability of the simple linear-quadratic model under rational expectations to explain dynamic behaviour of aggregate Canadian imports. In contrast to authors of previous studies who examine dynamic behaviour using the LQ model, we estimate the structural parameters using the Euler...
Persistent link: https://www.econbiz.de/10005407876
Accurate estimation of the dominant root of a stationary but persistent time series are required to determine the speed at which economic time series, such as real exchange rates or interest rates, adjust towards their mean values. In practice, accuracy is hampered by downward small- sample...
Persistent link: https://www.econbiz.de/10005407881