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Causality between saving and investment : an application of cointegration and error-correction modeling
Peng, Su-ling - 1998
Persistent link: https://www.econbiz.de/10001393743
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Reexamining the national savings-investment nexus across time and countries
David, Antonio C.; Gonçalves, Carlos Eduardo Soares; … - 2020
Domestic savings and investment are positively correlated across countries and through time, as Feldstein-Horioka (FH … relationship is causal: an exogenous rise in savings increases investment. This result holds in the full sample of countries and … endogeneity bias. The core of our identification strategy relies on the idea that population age structure influences savings, but …
Persistent link: https://www.econbiz.de/10012299319
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Domestic saving and investment revised : can the Feldstein-Horioka equation be used for policy analysis?
Sachsida, Adolfo; Mendonça, Mário Jorge Cardoso de - 2015
Based on the relation between investment and domestic saving proposed by Feldstein and Horioka (1980) to verify capital … autoregressive (SVAR) involving investment and saving in order to evaluate the effect of exogenous shocks through impulse response … showed that investment is sensitive to contemporaneous innovation on saving and this effect lasts for a long time. Regarding …
Persistent link: https://www.econbiz.de/10012038727
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Microeconomic models with latent variables : applications of measurement error models in empirical industrial organization and labor economics
Hu, Yingyao - 2015
This paper reviews recent developments in nonparametric identi.cation of mea- surement error models and their applications in applied microeconomics, in particular, in empirical industrial organization and labor economics. Measurement error models describe mappings from a latent distribution to...
Persistent link: https://www.econbiz.de/10010469057
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Real exchange rates and economic fundamentals : an investigation based on a Markov-STAR model
Bertram, Philip; Ma, Jun; Sibbertsen, Philipp - 2015
In this paper we introduce a new nonlinear Markov-STAR model to capture both the markov switching and smooth transition dynamics for real exchange rates. The Markov switching part captures the effect of time variations of the equilibrium exchange rates, while the smooth transition part models...
Persistent link: https://www.econbiz.de/10011429933
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Business cycle dynamics after the Great Recession : an extended Markov-Switching dynamic factor model
Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020
The Great Recession and the subsequent period of subdued GDP growth in most advanced economies have highlighted the need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility, and fluctuations in trend GDP growth. In this paper, we...
Persistent link: https://www.econbiz.de/10012227436
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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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The formation of inflation expectations under changing inflation regimes
Dahl, Christian M. (contributor);  … - 2002 - [Elektronische Ressource]
The present paper offers a careful description of empirical identification of possible multiple changes in regime. We apply recently developed tools designed to select between regime-switching models among a broad class of linear and nonlinear regression models and provide a discussion of the...
Persistent link: https://www.econbiz.de/10001685116
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"Children of the HMM" : modeling longitudinal customer behavior at Hulu.com
Schwartz, Eric M.; Bradlow, Eric T.; Fader, Peter; … - 2011
Stand-alone marketing models are well-suited to deal with different behavioral features such as variation in transaction frequency (customer heterogeneity with latent classes), recency and attrition (“buy ‘till you die” models), and more general changes in customer transaction rates...
Persistent link: https://www.econbiz.de/10009356633
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Bayesian simultaneous determination of structural breaks and lag lengths
Hultblad, Brigitta (contributor) - 2006 - Rev. April 2008
The detection of structural change and determination of lag lengths are long-standing issues in time series analysis. This paper demonstrates how these can be successfully married in a Bayesian analysis. By taking account of the inherent uncertainty about the lag length when deciding on the...
Persistent link: https://www.econbiz.de/10003332923