Showing 1 - 10 of 157
This working paper presents a new coincident economic indicator developed by the COE, able to detect in real time peaks and troughs of the american business cycle. This probabilistic indicator is based on the Markov-Switching model proposed by Hamilton (1989), applied to various economic time...
Persistent link: https://www.econbiz.de/10015233186
The aim of this work was to estimate a DSGE-SOE model for the DR Congo by referring to the Bayesian techniques for the quarterly data from 2002q1 to 2016q4 in order to analyze the relations between the main macroeconomic variables and to simulate the " impact of some major shocks on their...
Persistent link: https://www.econbiz.de/10015257435
With increasing energy needs and a continuous rise in hydrocarbon prices, this work aims to evaluate the link between energy and the economy in Madagascar. The enhancement of these links improves the socio-economic impacts of energy policies: what should contribute to development. Electricity,...
Persistent link: https://www.econbiz.de/10015258464
identification conditions by Cover, Enders and Hueng (2006). These take into account the possibility of a correlation between …-existent. Finally, the correlations of supply and demand shocks are non-zero and invalidate the identification conditions of Blanchard …
Persistent link: https://www.econbiz.de/10015269506
This paper proposes two new coincident probabilistic cyclical indicators developed by the Bank of France in order to follow, on a monthly basis, the French economic activity. The first one is an indicator which aims at detecting the turning points of the acceleration cycle while the second one...
Persistent link: https://www.econbiz.de/10004998816
We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...
Persistent link: https://www.econbiz.de/10005100843
This paper proposes a new empirical representation of inflation expectations errors in a Space-State Markov-Switching framework. We explicitly identify the dynamics of inflation expectation errors using the expectations augmented Markov-Switching Phillips curve as a measurement equation. In this...
Persistent link: https://www.econbiz.de/10005797809
Deux indicateurs sont proposés, le premier (IPCA, indicateur probabiliste du cycle d’accélération) visant à détecter les phases de ralentissement et d’accélération de l’ensemble de l’activité économique, le second (IPRI, indicateur probabiliste de récession industrielle) les...
Persistent link: https://www.econbiz.de/10009225678
Persistent link: https://www.econbiz.de/10010368087
In this text, we review some recent developments in econometrics that may be of interest to specialists in other areas than economics, and we discuss some relations of econometric methodology with general themes of scientific methodology and philosophy of science, such as the falsifiability...
Persistent link: https://www.econbiz.de/10005100745