Showing 1 - 10 of 377
This paper responds to the argument that while Fair Trade governance might increase short-term welfare, it reduces long-term development prospects by discouraging diversification and structural change. Even though it is agreed that lower value sectors, such as commodity agriculture, are unlikely...
Persistent link: https://www.econbiz.de/10009434694
Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, containing nonstochastic explanatory variables and innovations suspected to be non-normal. The main stress is on the case of distribution of unknown, nonparametric, form, where series...
Persistent link: https://www.econbiz.de/10009439457
Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, containing nonstochastic explanatory variables and innovations suspected to be non-normal. The main stress is on the case of distribution of unknown, nonparametric, form, where series...
Persistent link: https://www.econbiz.de/10009439458
Empirical evidence has emerged of the possibility of fractional cointegration such that the gap, β, between the integration order δ of observable time series, and the integration order γ of cointegrating errors, is less than 0.5. This includes circumstances when observables are stationary or...
Persistent link: https://www.econbiz.de/10009439459
In the estimation of parametric models for stationary spatial or spatio-temporal data on a d-dimensional lattice, for d ≥ 2, the achievement of asymptotic efficiency under Gaussianity, and asymptotic normality more generally, with standard convergence rate, faces two obstacles. One is the...
Persistent link: https://www.econbiz.de/10009439460
We consider the estimation of the location of the pole and memory parameter, λ0 and α respectively, of covariance stationary linear processes whose spectral density function f(λ) satisfies f(λ) ∼ C|λ − λ0|−α in a neighbourhood of λ0. We define a consistent estimator of λ0 and...
Persistent link: https://www.econbiz.de/10009439464
Order selection based on criteria by Akaike (1974), AIC, Schwarz (1978), BIC or Hannan and Quinn (1979) HIC is often applied in empirical examples. They have been used in the context of order selection of weakly dependent ARMA models, AR models with unit or explosive roots and in the context of...
Persistent link: https://www.econbiz.de/10009439466
We frequently observe that one of the aims of time series analysts is to predict future values of the data. For weakly dependent data, when the model is known up to a finite set of parameters, its statistical properties are well documented and exhaustively examined. However, if the model was...
Persistent link: https://www.econbiz.de/10009439467
Varying-coefficient linear models arise from multivariate nonparametric regression, nonlinear time series modelling and forecasting, functional data analysis, longitudinal data analysis, and others. It has been a common practice to assume that the vary-coefficients are functions of a given...
Persistent link: https://www.econbiz.de/10009439469
We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH factor models. The results crucially depend on the shape of the cross-sectional distribution of the GARCH coefficients and on the cross-sectional dependence properties of the...
Persistent link: https://www.econbiz.de/10009439470