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Dynamic seasonality in time series
So, Mike K.P.; Chung, Ray S.W. - In: Computational Statistics & Data Analysis 70 (2014) C, pp. 212-226
This study introduces a new class of time series models capturing dynamic seasonality. Unlike traditional seasonal models that mainly focus on the mean process, our approach accommodates dynamic seasonality in the mean and variance processes. This feature allows us to statistically infer dynamic...
Persistent link: https://www.econbiz.de/10010719683
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Pivotal estimation in high-dimensional regression via linear programming
Gautier, Eric; Tsybakov, Alexandre - HAL - 2013
distributional assumptions including heteroscedasticity, and does not require the knowledge of the variance of random errors. The …
Persistent link: https://www.econbiz.de/10010821466
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On Multivariate Methods in Robust Econometrics
Kalina, Jan - In: Prague Economic Papers 2012 (2012) 1, pp. 69-82
estimation mainly for the context of heteroscedasticity or high dimension, which are up-to-date topics of current econometrics …. We describe a modification of linear regression resistant to heteroscedasticity and study its computational aspects. For … a robust version of the instrumental variables estimator we propose an asymptotic test of heteroscedasticity. Further we …
Persistent link: https://www.econbiz.de/10011195573
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Kenya; Selected Issues and Statistical Appendix
International Monetary Fund (IMF); International … - 2009
Like most Sub-Saharan African countries, Kenya’s economic growth appears to have been primarily driven by factor accumulation. The Selected Issues paper and Statistical Appendix for Kenya examines economic developments and policies. During the last two decades, Kenya has been plagued by...
Persistent link: https://www.econbiz.de/10011244155
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The Impact of Public Capital, Human Capital, and Knowledgeon Aggregate Output
Joutz, Frederick L.; Abdih, Yasser - International Monetary Fund (IMF) - 2008
This paper investigates the impact of public capital on private sector output by testing and estimating an aggregate production function for the U.S. economy over the postwar period augmented to include the stock of public capital as an additional factor input. We use patent applications to...
Persistent link: https://www.econbiz.de/10005263996
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Bayesian Vars; A Survey of the Recent Literature with An Application to the European Monetary System
Ciccarelli, Matteo; Rebucci, Alessandro - International Monetary Fund (IMF) - 2003
This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative...
Persistent link: https://www.econbiz.de/10005825693
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Empirical Modeling of Contagion; A Review of Methodologies
Dungey, Mardi; Fry, Renee; Martin, Vance; … - International Monetary Fund (IMF) - 2004
The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate...
Persistent link: https://www.econbiz.de/10005825971
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Economic Growth and total Factor Productivity in Niger
Nachega, Jean-Claude; Fontaine, Thomson - International Monetary Fund (IMF) - 2006
This paper investigates empirically the sources of aggregate output growth and the determinants of total factor productivity (TFP) in Niger between 1963 and 2003. A growth accounting analysis indicates that the erosion in output per capita over the sample period is due to the negative growth of...
Persistent link: https://www.econbiz.de/10005826119
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Constraintson Growth in the MENA Region
Bhattacharya, Rina; Wolde, Hirut - International Monetary Fund (IMF) - 2010
In this paper we contribute to the empirical literature on growth in the MENA region by attempting to quantify the impact of the various constraints faced by local businesses highlighted by the World Bank’s Business Enterprise surveys. To the best of our knowledge this dataset has not been...
Persistent link: https://www.econbiz.de/10008519479
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Valuation of Unlisted Direct Investment Equity
Elkjaer, Thomas; Damgaard, Jannick; Kumah, Emmanuel O. - International Monetary Fund (IMF) - 2009
This paper analyzes the seven valuation methods for unlisted direct investment equity included in the recently adopted IMF Balance of Payments and International Investment Position Manual, Sixth Edition (BPM6). Based on publicly available Danish data, we test the three methods that are generally...
Persistent link: https://www.econbiz.de/10008497603