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Econometric Analysis of Fiscal Policy Budget Constraints in Endogenous Growth Models
Tsukuda, Yoshihiko; Miyakoshi, Tatsuyoshi - In: Economics Bulletin 30 (2010) 4, pp. 2884-2894
Kneller et al. (1999) examined the predictions of the public-policy endogenous growth models of Barro (1990) and others that suggest that unlike distortionary taxation and productive expenditures, nondistortionary taxation and nonproductive expenditures have no direct effect on the rate of...
Persistent link: https://www.econbiz.de/10008692042
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Econometric analysis of carbon markets: the european union emissions trading scheme and the clean development mechanism
Chevallier, Julien - In: Economics Bulletin 31 (2011) 4, pp. 53-53
at those with a basic understanding of time series econometrics, this book will be extremely useful for researchers and … especially those in econometrics and carbon finance. The material is also appropriate for students (advanced undergraduates, MSc …, MBA) in the field of econometrics, energy and environmental economics. Readers are supplied with hyperlinks to data and R …
Persistent link: https://www.econbiz.de/10010835907
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Heteroskedastic Dynamic Factor Models: A Monte Carlo Study
Suren, Gijsbert; Moura, Guilherme - In: Economics Bulletin 32 (2012) 4, pp. 2884-2898
We propose to estimate heteroskedastic dynamic factor models using the Kalman filter, where the state vector is augmented with the heteroskedastic disturbances. Although this model is not conditionally Gaussian, Monte Carlo results show that parameters can be accurately estimated.
Persistent link: https://www.econbiz.de/10011278767
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Developing a two way error component estimation model with disturbances following a special autoregressive (4) for quarterly data
Dama, Marcel die; Epo, Boniface ngah; Soh, Galex syrie - In: Economics Bulletin 33 (2013) 1, pp. 625-634
This paper provides an estimation method for a two way error component regression model where the time-varying disturbances are serially correlated, following a special AR (4) process for quarterly data. The variance-covariance matrix of the compound error terms and its spectral decomposition...
Persistent link: https://www.econbiz.de/10011278806
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Small sample properties of CIPS panel unit root test under conditional and unconditional heteroskedasticity
Hamori, Shigeyuki; Hashiguchi, Yoshihiro - In: Economics Bulletin 32 (2012) 3, pp. 2353-2365
This paper used Monte Carlo simulations to analyze the small sample properties of cross-sectionally augmented panel unit root test (CIPS test). We considered situations involving two types of time-series heteroskedasticity (unconditional and ARCH) in the unobserved common factor and...
Persistent link: https://www.econbiz.de/10011278816
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Gender based within-household inequality in immunization status of children: some evidence from South Asian countries
Konstantakis, Konstantinos N.; Michaelides, Panayotis G. - In: Economics Bulletin 35 (2015) 2, pp. 871-877
Using households with a pair of male-female siblings from DHS surveys, this paper estimates gender based within-household inequality in immunization status of children (aged 1-5 years) from Bangladesh, India, Nepal and Pakistan. I find substantial level of gender based within-household...
Persistent link: https://www.econbiz.de/10011249521
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The fractional integrated bi- parameter smooth transition autoregressive model
Montasser, Ghassen El; Ajmi, Ahdi Noomen - In: Economics Bulletin 32 (2012) 1, pp. 755-765
This paper introduces the fractionally integrated Bi-parameter smooth transition autoregressive model (FI-BSTAR model) as an extension of BSTAR model proposed by Siliverstovs (2005) and the fractionally integrated STAR model (FI-STAR model) proposed by van Dijk et al. (2002). Our FI-BSTAR model...
Persistent link: https://www.econbiz.de/10009651205
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A note on nonidentification in truncated sampling distribution estimation
Barnett, William; Seck, Ousmane - In: Economics Bulletin 30 (2010) 2, pp. 1670-1679
Theoretical constraints on economic model parameters often are in the form of inequality restrictions. For example, many theoretical results are in the form of monotonicity or nonnegativity restrictions. Inequality constraints can truncate sampling distributions of parameter estimators, so that...
Persistent link: https://www.econbiz.de/10008599451
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Integrated volatility measuring from unevenly sampled observations
Kanatani, Taro - In: Economics Bulletin 3 (2004) 36, pp. 1-8
This paper derives the linear interpolation bias of realized volatility. To avoid the bias, the Fourier series estimator has been proposed by Malliavin and Mancino (2002). We examine the theoretical relationship between the Fourier estimator and realized volatility and show that the latter is...
Persistent link: https://www.econbiz.de/10010835892
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Unusual behaviour of Dickey-Fuller tests in the presence of trend misspecification: comment
Siliverstovs, Boriss - In: Economics Bulletin 3 (2003) 30, pp. 1-7
In this paper we present explanation on the phenomenon pointed out in Cook and Manning (2002) on the unusual behaviour of the Dickey-Fuller test in the presence of trend misspecification. It appears that the rejection frequency of the unit root tests in the presence of trend misspecification is...
Persistent link: https://www.econbiz.de/10010836219