Showing 31 - 40 of 40,982
Fractionally integrated ARMA (ARFIMA) models are investigated in an Extended version of Nelson and Plosser's (1982) data set.
Persistent link: https://www.econbiz.de/10005697726
The seasonal structure of quarterly U.K. and Japanese consumption and income is examined by means of fractionally-based tests proposed by Robinson (1994). These series were analysed from an autoregressive unit root viewpoint by Hylleberg, Engle, Granger and Yoo (HEGY, 1990) nd Hylleberg, Engle,...
Persistent link: https://www.econbiz.de/10005697754
We study a panel structure with n subjects/entities being observed over T periods. We consider a class of models for each subject's data generating precess, and allow the unknown heterogeneity. In other words, we do not know many types we have, what the types are, and which subjects belong to...
Persistent link: https://www.econbiz.de/10005136825
This paper considers the construction of model selection procedures based on choosing the model with the largest maximised log-likelihood mimus a penalty, when key parameters are restricted to be in a closed interval. The approach adopted is based on King et al.'s (1995) representative models...
Persistent link: https://www.econbiz.de/10005149039
This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not.
Persistent link: https://www.econbiz.de/10005353030
Bergin and Lipman (1996) show that the refinement effect from the random mutations in the adaptive dynamics in Kandori, Mailath and Rob (1993) and Young (1993) is due to restrictions on how these mutation rates vary across population states. We here model these mutation rates as endogenously...
Persistent link: https://www.econbiz.de/10005670119
The author estimates the relationship between the provincial credit ratimgs, as assessed by Standard & Poor' and a number of economic variables, using the ordered probit methodology.
Persistent link: https://www.econbiz.de/10005673291
A vector error-correction Model (VECM) that Forecasts inflation between the current quarter and eight quarters ahead is found to privide significant leading information about inflation. The model focusses on th effects of deviations of M1 from its long-run demand but also includes, among other...
Persistent link: https://www.econbiz.de/10005673307
This paper takes stock of the ECB's macroeconometric modelling strategy by focusing on the models and applications used in the Forecasting and Policy Modelling Division. We focus on the guiding principles underpinning the current portfolio of the main macroeconomic models and illustrate how they...
Persistent link: https://www.econbiz.de/10014565152
This paper presents the updated macroprudential stress test for the euro area banking system, comprising around 100 of the largest euro area credit institutions across 19 countries. The approach involves modelling banks' reactions to changing economic conditions. It also examines the effects of...
Persistent link: https://www.econbiz.de/10014565213