Narrow search
Showing 1 - 10 of 540
Cover Image
General-to-Specific Modeling : An Overview and Selected Bibliography
Campos, Julia; Ericsson, Neil R.; Hendry, David F. - 2005
of reduction, summarizes the approach of general-to-specific modeling, and discusses the econometrics of model selection …This paper discusses the econometric methodology of general-to-specific modeling, in which the modeler simplifies an …, noting that general-to-specific modeling is the practical embodiment of reduction. This paper then summarizes fifty …
Persistent link: https://www.econbiz.de/10014062671
Cover Image
An Econometric Analysis of the Mental-Health Effects of Major Events in the Life of Elderly Individuals
Lindeboom, Maarten; Portrait, France; van den Berg, … - 2001
Major events in the life of an elderly individual, such as retirement, a significant decrease in income, death of the spouse, disability, and a move to a nursing home, may affect the mental health status of the individual. For example, the individual may enter a prolonged depression. We...
Persistent link: https://www.econbiz.de/10010262601
Cover Image
Noname - A new quarterly model for Belgium
Jeanfils, Philippe; Burggraeve, Koen - 2005
This paper gives an overview of the present version of the quarterly model for the Belgian economy built at the National Bank of Belgium (NBB). This model can provide quantitative input into the policy analysis and projection processes within a framework that has explicit micro-foundations and...
Persistent link: https://www.econbiz.de/10011506590
Cover Image
Estimation of Distress Costs Associated with Downgrades Using Regime Switching Models
Milidonis, Andreas; Wang, Shaun - Manchester Business School - 2007
We use a unique dataset of bond downgrades from a niche rating company that has been found to be reacting faster to publicly available information than its competitors. Using regime-switching models we propose risk measures to quantify stock return disturbances (distress costs) associated with...
Persistent link: https://www.econbiz.de/10005870366
Cover Image
Forecasting global flows
Skriner, Edith - 2007
The theory suggests that investment activities and monetary policy influence the development of the global business cycle. The oil price and other raw material prices also play a key role in the economic development and there is a comovement among oil consumption and global output. Therefore,...
Persistent link: https://www.econbiz.de/10011347054
Cover Image
A structural econometric model of price discrimination in the mortgage lending industry
Gary-Bobo, Robert; Larribeau, Sophie - 2002
We propose a model of discrimination in the market for mortgages. The model explains accepted loan applications and determines loan sizes and interest rates simultaneously. A competitive, and a discriminating monopoly version of the model are proposed. Offered interest rates and loan sizes are a...
Persistent link: https://www.econbiz.de/10011410245
Cover Image
Modeling sovereign yield spreads: A case study of Russian debt
Duffie, Darrell; Pedersen, Lasse Heje; Singleton, Kenneth J. - 2001
We construct a model for pricing sovereign debt that accounts for the risks of both default and restructuring, and allows for compensation for illiquidity. Using a new and relatively efficient method, we estimate the model using Russian dollar-denominated bonds.(...)
Persistent link: https://www.econbiz.de/10005846839
Cover Image
Noname - A New Quarterly Model for Belgium
Jeanfils, Philippe - 2010
This paper gives an overview of the present version of the quarterly model for the Belgian economy built at the National Bank of Belgium (NBB). This model can provide quantitative input into the policy analysis and projection processes within a framework that has explicit micro-foundations and...
Persistent link: https://www.econbiz.de/10013137118
Cover Image
Supply and Demand of Manufacturing Output in OECD Countries : Econometric Models and Specification Test
Cancelo, M.T. - 2008
The aim of this paper is to analyse the evolution of manufacturing in 11 OECD countries: 9 European Countries, the United States and Japan, during the period 1975-92, from two economi approaches: supply and demand. With this purpose we estimate, with a pool of data, two econometric models for...
Persistent link: https://www.econbiz.de/10012770809
Cover Image
Forecasting global flows
Skriner, Edith - 2007
The theory suggests that investment activities and monetary policy influence the development of the global business cycle. The oil price and other raw material prices also play a key role in the economic development and there is a co-movement among oil consumption and global output. Therefore,...
Persistent link: https://www.econbiz.de/10009736654