Similar Search Results

Identification with Imperfect Instruments

Nevo, Aviv; Rosen, Adam M. - 2021

Dealing with endogenous regressors is a central challenge of applied research. The standard solution is to use instrumental variables that are assumed to be uncorrelated with unobservables. We instead assume (i) the correlation between the instrument and the error term has the same sign as the...

Persistent link: https://www.econbiz.de/10013311948

Market efficiency and price risk management of agricultural commodity prices in India

R. L., Manogna; Mishra, Aswini Kumar - In: Journal of modelling in management 18 (2023) 1, pp. 190-211

Persistent link: https://www.econbiz.de/10014334640

New Introduction to Multiple Time Series Analysis

Lütkepohl, Helmut - 2005

Persistent link: https://www.econbiz.de/10013520820

Dynamic Model Analysis : Advanced Matrix Methods and Unit-Root Econometrics Representation Theorems

Faliva, Mario (contributor); Zoia, Maria Grazia (contributor) - 2009

Persistent link: https://www.econbiz.de/10013521068

Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics

Mahoney, Daniel - 2016

Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...

Persistent link: https://www.econbiz.de/10014306581

Cointegration: An Introduction to the Literature

Perman, Roger - In: Journal of Economic Studies 18 (1991) September, pp. 3-30

An overview of the cointegration approach to econometric specification and estimation is provided. A non … knowledge of the subject but with some limited knowledge of econometrics. Particular emphases are given to the rationale for … using cointegration techniques in the estimation of economic relationships, to providing intuitive explanations of the …

Persistent link: https://www.econbiz.de/10008459576

On Cointegration Test for VAR Models with Drift.

Yang, M.; Bewley, R. - School of Economics, UNSW Business School - 1995

Persistent link: https://www.econbiz.de/10005664144

An introduction to stochastic Unit Root Processes.

Granger, E.J.; Swanson, N.R. - Department of Economics, Pennsylvania State University - 1996

A class of nonlinear processes which have a root that is not constant, but is stochastic, and varying around unity is introduced. Th eprocess can be stationary for some periods, and mildly explosive for others.

Persistent link: https://www.econbiz.de/10005664250

Vector Autoregression Modelling and Forecasting Growth of South Korea

Ghatak, A. - Leicester Business School, De Montfort University - 1997

In this paper we have estimated Vector Autoregression (VAR), Bayesian VAR and Vector Error Correction models (VECMs) using annual time series data of SOuth Korea for 1950-1994. We find evidence supporting the view that growth of real per capita income has been aided by income, investment and...

Persistent link: https://www.econbiz.de/10005669900

Causality Tests in the Case of Cointegrated Variables: A Monte Carlo Analysis.

Rios, J.V.P. - Geneva School of Economics and Management, Université … - 1994

Persistent link: https://www.econbiz.de/10005780559