Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time...

In this paper IS-LM model, has been introduced as time series model. Standard VAR, VECM test have been applied. Three variables that we estimated were: logarithm of real GDP (q), 3 month interbank interest rate (i), real monetary base (m). VECM mechanism shows that if the system is in...

The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...

This paper attempts to examine, compare and forecast the per capita GDP of India, the USA, China, and Japan for a period of ten years from 2020 to 2029. It studies the concept of economic convergence which states that the developing economies’ per capita income levels tend to move at a faster...

This paper addresses the public and regulatory discussions on whether firms use derivatives to reduce or increase risk. The investigation is carried out to see whether firms hedge or speculate with derivatives by using a regression quantitative analysis of a sample of 433 firm quarters of 31...

The jackknife is a resampling method that uses subsets of the original database by leaving out one observation at a time from the sample. The paper outlines a procedure to obtain jackknife estimates for several inequality indices with only a few passes through the data. The number of passes is...

Explanations of the persistent deficit in U.S. net exports of goods rest on macroeconomic developments and an asymmetry in elasticities: the income elasticity for imports being larger than the income elasticity for exports. Such macroeconomic developments are not applicable to the equally...

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S. business cycle index as published by the Business Cycle Dating Committee of the NBER. It focuses on one-step ahead out-of-sample monthly forecast utilising the well-established coincident...

Oil price shocks are thought to have played a prominent role in U.S. economic activity. In this paper, we employ Bayesian methods with a dynamic stochastic general equilibrium model of world economic activity to identify the various sources of oil price shocks and economic fluctuation and to...