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Econometrics of Exchange Rate
Das, Rituparna - 2011
Through import of inflation conflicts between economic interests of two or more countries can affect monetary policies of each other in a floating exchange regime. This paper tries to investigate whether the currencies of the industrial countries are impacting India's currency such that the...
Persistent link: https://www.econbiz.de/10014210545
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Financial Econometrics - R Tutorial Guidance
Wang, Yizhi; Vigne, Samuel - 2021
This is an R tutorial book for Financial Econometrics …
Persistent link: https://www.econbiz.de/10013223934
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Causality and econometrics
Heckman, James J.; Pinto, Rodrigo - 2022
This paper examines the econometric causal model for policy analysis developed by the seminal ideas of Ragnar Frisch and Trygve Haavelmo. We compare the econometric causal model with two popular causal frameworks: Neyman-Holland causal model and the do-calculus. The Neyman-Holland causal model...
Persistent link: https://www.econbiz.de/10012886838
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Automated Discovery in Econometrics
Phillips, Peter C. B. - 2015
Our subject is the notion of automated discovery in econometrics. Advances in computer power, electronic communication …, and data collection processes have all changed the way econometrics is conducted. These advances have helped to elevate … aspects and implications of these exciting, emergent trends in econometrics …
Persistent link: https://www.econbiz.de/10014070506
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Chapter 70 Econometric Evaluation of Social Programs, Part I: Causal Models, Structural Models and Econometric Policy Evaluation
Heckman, James J.; Vytlacil, Edward J. - In: Handbook of econometrics : volume 6B, (pp. 4779-4874). 2007
causality that build on Cowles Commission econometrics. These models anticipate and extend the literature on causal inference in …
Persistent link: https://www.econbiz.de/10014024945
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Econometric Models of Relationship Among Money, Output and Prices
Das, Rituparna - 2011
Persistent link: https://www.econbiz.de/10013133514
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Changing forecasts - forecasting change : the US market for savings deposits in econometric models and the market for econometric models among depository institutions, 1960s to 198...
Knake, Sebastian - 2023
Since the late 1960s, the rising volatility of financial markets in the US has troubled econometricians and bank managers alike. Both professions have found it increasingly difficult to forecast savings deposit flows. This article explores these challenges by focusing on two developments. First,...
Persistent link: https://www.econbiz.de/10014266005
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The First Stage in Hendry's Reduction Theory Revisited
Sucarrat, Genaro - 2006
The reduction theory of David F. Hendry provides a comprehensive probabilistic framework for the analysis and classification of the reductions associated with empirical econometric models. However, it is unable to provide an analysis on the same underlying probability space of the first...
Persistent link: https://www.econbiz.de/10014054173
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Aggregating Phillips curves
Imbs, Jean; Jondeau, Eric; Pelgrin, Florian - 2007
The New Keynesian Phillips Curve is at the center of two raging empirical debates. First, how can purely forward looking pricing account for the observed persistence in aggregate inflation. Second, price-setting responds to movements in marginal costs, which should therefore be the driving force...
Persistent link: https://www.econbiz.de/10011604831
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Tests for deterministic parametric structural change in regression models
Kapetanios, George - 2005
The problem of structural change justifiably attracts considerable attention in econometrics. A number of different …
Persistent link: https://www.econbiz.de/10010289037