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Subsampling Cointegration Ranks in Large Systems

Pu, Chen; Chihying, Hsiao - EconWPA - 2005

In this paper we investigate the possibility of the application of subsampling procedure for testing cointegration … distribution and nuisance parameters in testing for cointegration rank without an explicitly formulated structural model. The … cointegration rank in large scale models, where the standard procedures hits already its limit. For empirical relevant cases our …

Persistent link: https://www.econbiz.de/10005119151

Assessing Forecast Performance in a VEC Model: An Empirical Examination

Zacharias, Bragoudakis - EconWPA - 2005

ability of the model to forecast not only one-period ahead but also many periods into the future. Keywords: Cointegration …

Persistent link: https://www.econbiz.de/10005119198

The Expectations Hypothesis of the Term Structure: Some Empirical Evidence for Portugal

Silva Lopes, Artur C.; Monteiro, Olga Susana - Volkswirtschaftliche Fakultät, … - 2007

cointegration of Portuguese rates and the "puzzle" well known in the literature: although its forecasts of future short-term rates …

Persistent link: https://www.econbiz.de/10005837523

Inference Based on Many Conditional Moment Inequalities

Andrews, Donald W. K. - 2015

In this paper, we construct confidence sets for models defined by many conditional moment inequalities/equalities. The conditional moment restrictions in the models can be finite, countably infinite, or uncountably infinite. To deal with the complication brought about by the vast number of...

Persistent link: https://www.econbiz.de/10013019431

Inference Based on Many Conditional Moment Inequalities

Andrews, Donald W. K. - 2016

In this paper, we construct confidence sets for models defined by many conditional moment inequalities/equalities. The conditional moment restrictions in the models can be finite, countably in finite, or uncountably in finite. To deal with the complication brought about by the vast number of...

Persistent link: https://www.econbiz.de/10012993421

REVIEW OF JOOP J. HOX MULTILEVEL ANALYSIS – TECHNIQUES AND APPLICATIONS, Second Edition, Routledge (2010)

HRITCU, Roxana-Otilia-Sonia - In: Review of Economic and Business Studies (2014) 13, pp. 191-195

Multilevel Analysis - Techniques and Applications is intended as an introduction to multilevel analysis for students and applied researchers, a book that can be used either in psychology, education, sociology, or business courses. Hox takes the reader step by step into the area of multilevel...

Persistent link: https://www.econbiz.de/10010959965

The impact of fiscal deficit on inflation in Namibia

Eita, Joel Hinaunye; Manuel, Victoria; Naimhwaka, Erwin; … - In: Journal of Central Banking Theory and Practice 10 (2021) 1, pp. 141-164

This paper examined the impact of fiscal deficit on inflation in Namibia. The paper employed Autoregressive Distributed Lag Model (ARDL) and Granger causality approach using quarterly data for the period 2002 - 2017. Empirical results showed evidence of a long run positive effect of fiscal...

Persistent link: https://www.econbiz.de/10014558455

Term Premium in a Fractionally Cointegrated Yield Curve

Abbritti, Mirko - 2020

. Our results point to the existence of such mean-reverting fractional cointegration among sovereign rates. In terms of out …

Persistent link: https://www.econbiz.de/10012853284

The impact of fiscal deficit on inflation in Namibia

Eita, Joel Hinaunye; Manuel, Victoria; Naimhwaka, Erwin; … - In: Journal of central banking theory and practice 10 (2021) 1, pp. 141-164

Persistent link: https://www.econbiz.de/10012549066

Econometrics: a bird's eye view

Geweke, John F.; Horowitz, Joel L.; Pesaran, Mohammad Hashem - 2006

As a unified discipline, econometrics is still relatively young and has been transforming and expanding very rapidly over the past few decades. Major advances have taken place in the analysis of cross sectional data by means of semi-parametric and non-parametric techniques. Heterogeneity of...

Persistent link: https://www.econbiz.de/10010276202