Similar Search Results

Pesaran, Mohammad Hashem; Timmermann, Allan - 2004

This paper considers the problems facing decision makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. It sets out many choices that researchers face in construction of automated...

Persistent link: https://www.econbiz.de/10010276178

Real Time Econometrics

Pesaran, M. Hashem; Timmermann, Allan - Institute for the Study of Labor (IZA) - 2004

Persistent link: https://www.econbiz.de/10005763536

Dependence Measures in Bivariate Gamma Frailty Models

van den Berg, Gerard J.; Effraimidis, Georgios - 2014

Bivariate duration data frequently arise in economics, biostatistics and other areas. In bivariate frailty models, dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this...

Persistent link: https://www.econbiz.de/10010352325

VC - A Method For Estimating Time-Varying Coefficients in Linear Models

Schlicht, Ekkehart - 2020

This paper describes a moments estimator for a standard state-space model with coefficients generated by a random walk. A penalized least squares estimation is linked to the GLS (Aitken) estimates of the corresponding linear model with time-invariant parameters. The VC estimates are moments...

Persistent link: https://www.econbiz.de/10012180113

Dependence Measures in Bivariate Gamma Frailty Models

den Berg, Gerard J. van; Effraimidis, Georgios - Institute for the Study of Labor (IZA) - 2014

Bivariate duration data frequently arise in economics, biostatistics and other areas. In "bivariate frailty models", dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this...

Persistent link: https://www.econbiz.de/10010757340

Oil exports and the Iranian economy

Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, … - 2009

with a coefficient equal to the share of capital. The long run theory is tested using a new quarterly data set on the …: an output equation as predicted by the theory and a standard real money demand equation with inflation acting as a proxy …

Persistent link: https://www.econbiz.de/10010276267

An empirical growth model for major oil exporters

Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, M. Hashem - 2012

with a coefficient equal to the share of capital (α). The long-run theory is tested using quarterly data on nine major oil …-run theory. The existence of long-run relations between real output, foreign output and real oil income is established for six of … three decades, the theory suggests that the effect of oil income on the economy's steady state growth rate will vanish …

Persistent link: https://www.econbiz.de/10010282525

Oil Exports and the Iranian Economy

Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, Hashem - Institute for the Study of Labor (IZA) - 2009

output equation with a coefficient equal to the share of capital. The long run theory is tested using a new quarterly data … long run relations: an output equation as predicted by the theory and a standard real money demand equation with inflation …

Persistent link: https://www.econbiz.de/10008527294

Assessing Forecast Uncertainties in a VECX Model for Switzerland: An Exercise in Forecast Combination across Models and Observation Windows

Assenmacher, Katrin; Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2007

We investigate the effect of forecast uncertainty in a cointegrating vector error correction model for Switzerland. Forecast uncertainty is evaluated in three different dimensions. First, we investigate the effect on forecasting performance of averaging over forecasts from different models....

Persistent link: https://www.econbiz.de/10005700993

An Empirical Growth Model for Major Oil Exporters

Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2012

-run output equation with a coefficient equal to the share of capital (α). The long-run theory is tested using quarterly data on … results support the long-run theory. The existence of long-run relations between real output, foreign output and real oil … steadily over the past three decades, the theory suggests that the effect of oil income on the economy's steady state growth …

Persistent link: https://www.econbiz.de/10010550529