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Structural breaks, parameter stability and energy demand modeling in Nigeria
Omisakin, Olusegun A.; Adeniyi, Oluwatosin A.; … - In: International Journal of Economic Sciences and Applied … 5 (2012) 2, pp. 129-144
conventional residual-based cointegration tests employed fail to identify any meaningful long run relationship in both functions …, the Gregory- Hansen structural break cointegration approach confirms the cointegration relationships despite the …
Persistent link: https://www.econbiz.de/10010289392
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Modeling Gasoline Demand with Structural Breaks : New Evidence from Nigeria
Omisakin, Dr. Olusegun A. - 2012
techniques. While the conventional residual-based cointegration tests employed fail to identify any meaningful long …-run relationship in the gasoline function, the Gregory-Hansen structural break cointegration approach confirms the cointegration … that a structural break in the cointegration vector is important and needs to be taken care of in the specification of …
Persistent link: https://www.econbiz.de/10013099898
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Structural Breaks, Parameter Stability and Energy Demand Modeling in Nigeria
Omisakin, Dr. Olusegun A. - 2012
conventional residual-based cointegration tests employed fail to identify any meaningful long run relationship in both functions …, the Gregory-Hansen structural break cointegration approach confirms the cointegration relationships despite the …
Persistent link: https://www.econbiz.de/10013100008
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Structural breaks, parameter stability and energy demand modeling in Nigeria
Omisakin, Olusegun A.; Adeniyi, Oluwatosin A.; … - In: International journal of economic sciences and applied … 5 (2012) 2, pp. 129-144
conventional residual-based cointegration tests employed fail to identify any meaningful long run relationship in both functions …, the Gregory- Hansen structural break cointegration approach confirms the cointegration relationships despite the … ; structural breaks ; parameter stability ; cointegration …
Persistent link: https://www.econbiz.de/10009632662
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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
van den Hauwe, Sjoerd; Paap, Richard; van Dijk, Dick J.C. - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10010325904
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Panel data evidence on the role of institutions and shocks for unemployment dynamics and equilibrium
Nymoen, Ragnar; Sparrman, Victoria - 2012
We estimate the quantitative importance of labour market institutions for equilibrium unemployment in OECD. The empirical equation for unemployment is based on the solution of a dynamic macroeconomic model where wages and prices are jointly determined with unemployment. Compared to existing...
Persistent link: https://www.econbiz.de/10010330226
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An alternative Bayesian approach to structural breaks in time series models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011383033
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Detecting location shifts during model selection by step-indicator saturation
Castle, Jennifer; Doornik, Jurgen A.; Hendry, David F.; … - In: Econometrics : open access journal 3 (2015) 2, pp. 240-264
To capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a...
Persistent link: https://www.econbiz.de/10011297656
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Nominal and real wages in the UK, 1750 - 2015 : mean reversion, persistence and structural breaks
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022
This paper analyses the stochastic properties of UK nominal and real wages over the period 1750-2015 using fractional integration techniques. Both the original series and logged ones are analysed. The results generally suggest that nominal wages exhibit a higher degree of persistence, which...
Persistent link: https://www.econbiz.de/10013417630
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Structural Breaks, Cointegration and the Domestic Demand for Chilean Wine
Troncoso-Valverde, Cristian - 2005
be negative and highly significant supporting cointegration and suggesting a quick adjustment to long-run equilibrium …
Persistent link: https://www.econbiz.de/10014028050