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Asymmetry and duration dependence in Australian GDP and unemployment
Bodman, PM - 1998
The per iodic structure of business cycles suggests that significant asymmetries are present over different phases of the cycle. This paper uses markov regime-switching models with fixed and duration dependent transition probabilities to directly model expansions, contractions and durations in...
Persistent link: https://www.econbiz.de/10009447874
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Estimation Techniques for Nonlinear Functions of the Steady-State Mean in Computer Simulation
Chang, Byeong-Yun - 2004
A simulation study consists of several steps such as data collection, codingand model verification, model validation, experimental design, output data analysis,and implementation. Our research concentrates on output data analysis. In this field,many researchers have studied how to construct...
Persistent link: https://www.econbiz.de/10009476019
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US Monetary-Fiscal Policy Mix Evidence from a Quartovariate VECM
Zestos, George K.; Geary, Andrew N.; Cooksey, Kevin S. - 2011
This study investigates the effectiveness of monetary and fiscal policies in the US by employing cointegration and a quatrovariate Vector Error Correction Model together with Granger causality tests. Two models are estimated: (i) nominal national income, the ten-year government bond yield, and...
Persistent link: https://www.econbiz.de/10009441678
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Making the world market price endogenous within the AGMEMOD modelling framework: an econometric solution
Listorti, Giulia; Esposti, Roberto - 2008
. This system of equations, written in a dynamic and error-correction form(VECM), substitutes the usual price …
Persistent link: https://www.econbiz.de/10009443209
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Impact and competitiveness of EU biofuel market – First view of the prices of biofuel market in relation to the global players
Liu, Xing - 2008
horizontal level and vertical level. We first carry out Granger causality between ethanol price of EU,USA and Brazil. Secondly …, we use vecto error cointegration Mechnism (VECM) to test the relationshipbetween three selected vegetable oil prices in … feedstock of biodiesel. Evidence shows thatthere is a unidirectional Granger causation from both USA and Brazil to EU market …
Persistent link: https://www.econbiz.de/10009443238
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DOES EXCHANGE RATE MATTER TO AGRICULTURAL BILATERAL TRADE BETWEEN THE UNITED STATES AND CANAD?
Cho, Guedae; Kim, Mina; Koo, Won W. - 2002
correction model (VECM) and the vector moving average model (VMA) with quarterly time series data from 1983 to 2000. This study …
Persistent link: https://www.econbiz.de/10009444008
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Testing market efficiency of crude palm oil futures to European participants
Liu, Xing - 2009
(VECM) are conducted to test long-run and short-run efficiency test for theEuropean spot market and four different futures …
Persistent link: https://www.econbiz.de/10009445965
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Financial liberalisation in India and a new test of the complementarity hypothesis
Pentecost, E J; Moore, T - 2006
correction models (VECM). From this robust test we find that for the Indian economy over the sample period 1951-1999 money and …
Persistent link: https://www.econbiz.de/10009465499
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Comparing different economic linkages among commodity futures
Chng, Michael T. - 2010
-link forecast generated from a VECM with two cointegrating vectors (KO-GA and GANR prices) outperforms both single-link forecasts …
Persistent link: https://www.econbiz.de/10009484127
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Money demand in dollarized countries: an empirical investigation ; Geldnachfrage in dollarisierten Ländern: Eine empirische Untersuchung
Freyhold-Hünecken, Alexander von - 2013
Persistent link: https://www.econbiz.de/10010353166