Showing 1 - 10 of 11
In this paper we examine several approaches to detecting changes in the adjustment coefficients in cointegrated VARs. We adopt recursive and rolling techniques as mis-specification tests for the detection of non-constancy and the estimation of the breakpoints. We find that inspection of the...
Persistent link: https://www.econbiz.de/10009440747
A recent outbreak of bird flu or avian influenza (AI), an especially highly pathogenicstrain (HPAI) of H5N1, started in Hong Kong in January 2003 and caused 159 humandeaths in Asia, Africa and Europe through early 2007. In addition, this outbreak resultedin millions of slaughtered birds and...
Persistent link: https://www.econbiz.de/10009464889
The recent financial and economic turmoil driven by housing market has led the economists to refocus on the issue about monetary policy and asset price, especially housing price. In this dissertation I investigate the various relationships between monetary policy and asset prices in U.S. economy...
Persistent link: https://www.econbiz.de/10009464975
The unusual rise and fall of non-monetary trade (NMT) in the Russian transition has been a subject of heated debates. Yet, this phenomenon is often viewed as a peculiarity that one cannot explain by economic considerations alone. In this paper we show that the resort to NMT was a rational,...
Persistent link: https://www.econbiz.de/10009476691
In the doctoral dissertation, we consider problems of testing and estimating changed segment with unknown starting position and duration of epidemic state in the autoregressive first-order model. The proposed tests are based on partial sums of model residuals and model-parameter...
Persistent link: https://www.econbiz.de/10009478407
Disertacijoje nagrinėjamas pirmos eilės autoregresinio modelio pasikeitusio segmento testavimo ir vertinimo uždavinys. Aprašomo modelio epideminio pasikeitimo pradžia ir ilgis nėra žinomi. Pasiūlyti kriterijai pasikeitusio segmento testavimui, kurie pagrįsti modelio paklaidų...
Persistent link: https://www.econbiz.de/10009478408
This paper considers savings, investment and economic growth for India using annual time series data for the period 1950/51 to 2003/04. The analysis uses Perron’s innovational outlier model to conduct unit root tests which endogenously determines a structural break. The empirical results show...
Persistent link: https://www.econbiz.de/10009457634
University of Minnesota Ph.D. dissertation. May 2010. Major: Agricultural and Applied Economics. Advisor: Donald J. Liu. 1 computer file (PDF); vi, 170 pages, appendices A-B.
Persistent link: https://www.econbiz.de/10009462952
In this paper we examine several approaches to detecting changes in the adjustment coefficients in cointegrated VARs. We adopt recursive and rolling techniques as mis-specification tests for the detection of non-constancy and the estimation of the breakpoints. We find that inspection of the...
Persistent link: https://www.econbiz.de/10009481431
This paper proposes asymptotically optimal tests for unstable parameter process under the feasible circumstance that the researcher has little information about the unstable parameter process and the error distribution, and suggests conditions under which the knowledge of those processes does...
Persistent link: https://www.econbiz.de/10009430182