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Forecasting random walks under drift instability

Pesaran, Mohammad Hashem; Pick, Andreas - 2008

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10010276222

Growth, foreign direct investment and urban concentrations: unbundling spatial lags

Poelhekke, Steven; van der Ploeg, Frederick - 2008

Cross-country regressions suggest that urbanization and FDI are important drivers of growth. However, it is not clear that primacy eventually hurts growth performance. Since it is tough to interpret cross-country growth regressions, we provide detailed evidence on the determinants of outward FDI...

Persistent link: https://www.econbiz.de/10010276225

Variable selection and inference for multi-period forecasting problems

Pesaran, Mohammad Hashem; Pick, Andreas; Timmermann, Allan - 2009

direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …

Persistent link: https://www.econbiz.de/10010276226

The cycle of violence? An empirical analysis of fatalities in the Palestinian-Israeli conflict

Jaeger, David A.; Paserman, Marco Daniele - 2005

This paper studies the dynamics of violence in the Palestinian-Israeli conflict since the outbreak of the Second (or Al-Aqsa) Intifada in September 2000, during which more than 3,300 Palestinians and more than 1,000 Israelis have been killed. The conflict has followed an uneven pattern, with...

Persistent link: https://www.econbiz.de/10010276241

Do former college athletes earn more at work? A nonparametric assessment

Henderson, Daniel J.; Olbrecht, Alexandre; Polachek, … - 2005

This paper investigates how students' collegiate athletic participation affects their subsequent labor market success. It uses newly developed distributional tests to establish that the wage distribution of former college athletes is significantly different from non-athletes and that athletic...

Persistent link: https://www.econbiz.de/10010276244

Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram; Pesaran, Mohammad Hashem - 2007

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …

Persistent link: https://www.econbiz.de/10010276254

Lumpy price adjustments: a microeconometric analysis

Dhyne, Emmanuel; Fuss, Catherine; Pesaran, Mohammad Hashem - 2007

This paper presents a simple model of state-dependent pricing that allows identification of the relative importance of the degree of price rigidity that is inherent to the price setting mechanism (intrinsic) and that which is due to the price's driving variables (extrinsic). Using two data sets...

Persistent link: https://www.econbiz.de/10010276257

Infinite dimensional VARs and factor models

Chudik, Alexander; Pesaran, Mohammad Hashem - 2007

that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …

Persistent link: https://www.econbiz.de/10010276258

Identification of New Keynesian Phillips Curves from a global perspective

Dees, Stephane; Pesaran, Mohammad Hashem; Smith, L. Vanessa - 2008

New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check...

Persistent link: https://www.econbiz.de/10010276262

Supply, demand and monetary policy shocks in a multi-country New Keynesian model

Dees, Stephane; Pesaran, Mohammad Hashem; Smith, L. Vanessa - 2010

. We discuss estimation of impulse response functions and variance decompositions in such large systems, and present …

Persistent link: https://www.econbiz.de/10010276272