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Improving inference and forecasting in VAR models using cross-sectional information

Prüser, Jan; Blagov, Boris - 2022

We propose a prior for VAR models that exploits the panel structure of macroeconomic time series while also providing shrinkage towards zero to address overfitting concerns. The prior is flexible as it detects shared dynamics of individual variables across endogenously determined groups of...

Persistent link: https://www.econbiz.de/10013359163

Conditional Distribution of the Colombian Exchange Rate Returns : An Empirical Exercise Using Multivariate GARCH Models

Gómez, Karoll; Gallón, Santiago - 2008

A set of multivariate GARCH models is estimated and its empirical validity is compared from the calculation of the Value at Risk. Data used are the daily returns of the nominal exchange rate of the Colombian peso vis-a-vis the American dollar, euro, sterling and Japanese yen for the period...

Persistent link: https://www.econbiz.de/10014220508

Multipliers of taxes and public spending in Colombia : SVAR and local projections approaches

Restrepo-Ángel, Sergio; Rincón Castro, Hernán; … - In: Latin American journal of central banking : LAJCB 3 (2022) 3, pp. 1-22

This paper estimates and analyzes multipliers for tax revenue and public spending for Colombia using structural …

Persistent link: https://www.econbiz.de/10013393435

A dynamical systems approach to modeling human development

Ranganathan, Shyam; Swain, Ranjula Bali; Sumpter, David … - 2014

A key aim of economics is to set goals and investigate the relationship between various socio-economic indicators. By fitting time series data using a Bayesian dynamical systems approach we identify non-linear interactions between GDP, child mortality, fertility rate and female education. We...

Persistent link: https://www.econbiz.de/10010425735

Labour Market Imbalances and Adjustments : Applied Forecast Model with RAS Component

Cohen, S. I. - 2015

types against educational levels. The model is applied and validated to Colombia, Korea, and Pakistan making use of plans …

Persistent link: https://www.econbiz.de/10013015327

Transport investment appraisal and the environment

Nijkamp, Peter; Ubbels, Barry; Verhoef, Erik T. - 2002

This review considers the role of environmental effects in transport investment appraisal, mainly from the perspective …

Persistent link: https://www.econbiz.de/10011327843

Planning for the future : a land-use and transport interaction model for Switzerland : conference paper at 54th ERSA Congress, 26-29 August 2014

Bodenmann, Balz R.; Sanchez, Breogan; Bode, J.; Zeiler, … - 2014

Spatial and transport planners, authorities, real estate developers, investors, re-locating residents and businesses … have different questions related to space and transport. These questions may concern specific land parcels, or cover a much … integrated transport and land use simulation tool FaLC (Facility Location Choice Simulation Tool). FaLC incorporates interactions …

Persistent link: https://www.econbiz.de/10011490599

The economics of water scarcity

Leflaive, Xavier - 2024

This paper examines the current status of water availability, water demand, and influences from climate change in the European Union. It provides an overview of economic policy instruments to address water scarcity and manage water demand. Additionally, the paper explores policy options and...

Persistent link: https://www.econbiz.de/10015081421

Modelling inflation in the euro area

Jansen, Eilev S. - 2004

The paper presents an incomplete competition model (ICM), where inflation is determined jointly with unit labour cost growth. The ICM is estimated on data for the Euro area and evaluated against existing models, i.e. the implicit inflation equation of the Area Wide model (AWM) - cf. Fagan, Henry...

Persistent link: https://www.econbiz.de/10009636545

A generalized ARFIMA process with Markov-switching fractional differencing parameter

Tsay, Wen-jen (contributor); Härdle, Wolfgang (contributor) - 2007

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

Persistent link: https://www.econbiz.de/10003633683

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