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Formula I(1) and I(2) : race tracks for likelihood maximization algorithms of I(1) and I(2) cointegrated VAR models
Doornik, Jurgen A.; Mosconi, Rocco; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 4, pp. 1-30
This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms … of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms … by the profession on the actual properties of algorithms for cointegrated vector autoregressive model estimation, in …
Persistent link: https://www.econbiz.de/10011781891
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The Romano-Wolf Multiple Hypothesis Correction in Stata
Clarke, Damian - 2020
When considering multiple hypothesis tests simultaneously, standard statistical techniques will lead to over-rejection of null hypotheses unless the multiplicity of the testing framework is explicitly considered. In this paper we discuss the Romano-Wolf multiple hypothesis correction, and...
Persistent link: https://www.econbiz.de/10012844826
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The impact of foreign direct investment on Namibia’s economic growth : a time series investigation
Sunde, Tafirenyika - In: Cogent economics & finance 11 (2023) 1, pp. 1-15
The current study investigates the impact of foreign direct investment on the growth of Namibia's economy from 1990 to 2020 using the ARDL cointegration method. The results reveal that FDI, the interactive variable of FDI and trade openness, and other macroeconomic variables such as domestic...
Persistent link: https://www.econbiz.de/10014500822
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Testing for Multivariate Cointegration in the Presence of Structural Breaks: p-Values and Critical Values
Giles, David E.; Godwin, Ryan T. - Department of Economics, University of Victoria - 2011
Testing for multivariate cointegration when the data exhibit structural breaks is a problem that is encountered frequently in empirical economic analysis. The standard tests must be modified in this situation, and the asymptotic distributions of the test statistics change accordingly. We supply...
Persistent link: https://www.econbiz.de/10009151162
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Did US consumers 'save for a rainy day' before the Great Recession?
Anundsen, Andre K.; Nymore, Ragnar - 2015
The 'saving for a rainy day' hypothesis implies that households' saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...
Persistent link: https://www.econbiz.de/10011335600
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Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
Strachan, Rodney W.; van Dijk, Herman K. - 2008
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10010325721
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Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
Strachan, Rodney W.; van Dijk, Herman K. - 2010
The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure. This procedure makes use of a finite mixture of many models within the class ofvector autoregressive (VAR) processes. The linear VAR model is extendedto...
Persistent link: https://www.econbiz.de/10010326026
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Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
Strachan, Rodney; van Dijk, Herman K. - 2012
The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions. The model features include equilibria, restrictions on long-run responses, a structural break of unknown date...
Persistent link: https://www.econbiz.de/10010326330
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Normality tests for latent variables
Almuzara, Martín; Amengual, Dante; Sentana, Enrique - In: Quantitative Economics 10 (2019) 3, pp. 981-1017
We exploit the rationale behind the Expectation Maximization algorithm to derive simple to implement and interpret LM normality tests for the innovations of the latent variables in linear state space models against generalized hyperbolic alternatives, including symmetric and asymmetric Student...
Persistent link: https://www.econbiz.de/10012215391
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A VAR Model for Monetary Policy Analysis in a Small Open Economy
Jacobson, Tor; Jansson, Per; Vredin, Anders; Warne, Anders - 1999
The interest in empirical studies of monetary policy has increased in the last decade. The deregulation of financial markets and the increased use of explicit policy rules and targets have made monetary policy more transparent and interesting for economic analysis. This paper demonstrates how a...
Persistent link: https://www.econbiz.de/10010321304