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An Econometric Estimation and Prediction of the Effects of Nominal Devaluation on Real Devaluation: Does the Marshal-Lerner (M-L) Assumptions Fits in Nigeria?

Rafindadi, Abdulkadir Abdulrashid; Yusof, Zarinah - In: International Journal of Economics and Financial Issues 4 (2014) 4, pp. 819-835

-Hanck cointegration approach and the VECM-Granger causality test. The findings of the study confirmed that nominal effective exchange rate …

Persistent link: https://www.econbiz.de/10010938162

An econometric estimation and prediction of the effects of nominal devaluation on real devaluation : does the Marshal-Lerner (M-L) assumptions fits in Nigeria?

Rafindadi, Abdulkadir Abdulrashid; Yusof, Zarinah - In: International journal of economics and financial issues … 4 (2014) 4, pp. 819-835

Persistent link: https://www.econbiz.de/10010528503

Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach

Ashley, Richard A.; Tsang, Kwok Ping - In: Econometrics 2 (2014) 1, pp. 72-91

Credible Granger-causality analysis appears to require post-sample inference, as it is well-known that in-sample fit can be a poor guide to actual forecasting effectiveness. However, post-sample model testing requires an often-consequential <em>a priori</em> partitioning of the data into an...

Persistent link: https://www.econbiz.de/10011031448

Price Discovery in Crude Oil Prices

Kim, Cherl-Hyun - 2012

I examine the relative information roles among West Texas Intermediate spot crude price and four futures contracts (F1 through F4) with different maturities. Using a cointegrated system with a non-unitary cointegrating vector, I address price discovery by investigating which price is more...

Persistent link: https://www.econbiz.de/10013114634

Forecasting Economy with Bayesian Autoregressive Distributed Lag Model : Choosing Optimal Prior in Economic Downturn

Buss, Ginters - 2009

Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag model is chosen. The results show that a sharp...

Persistent link: https://www.econbiz.de/10013156355

Dynamic cause : effect models and their switching trends : selected problems (mathematical economics approach)

Ossowski, Jerzy Czeslaw - 2015

The paper consists of two parts devoted to the cause-effect dynamic models. In each part of the deterministic properties of the dynamic version of the model are presented. Thus, each of the considered dynamic models can be presented in the form of an equivalent for it the switching trend....

Persistent link: https://www.econbiz.de/10011802225

Residual test for cointegration with GLS detrended data

Perron, Pierre; Rodriguez, Gabriel - Departamento de Economía, Pontificia Universidad … - 2012

We analyze di¤erent residual-based tests for the null of no cointegration using GLS detrended data. We nd and simulate … of the number of right-hand side variables, the type of deterministic components used in the cointegration equation, and …. In particular, evidence shows that the ECR statistic which assumes a known cointegration vector is the most powerful. A …

Persistent link: https://www.econbiz.de/10010990282

Nonparametric Regression Estimation for Multivariate Null Recurrent Processes

Cai, Biqing; Tjøstheim, Dag - In: Econometrics 3 (2015) 2, pp. 265-288

This paper discusses nonparametric kernel regression with the regressor being a \(d\)-dimensional \(\beta\)-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate \(\sqrt{n(T)h^{d}}\), where \(n(T)\) is...

Persistent link: https://www.econbiz.de/10011254954

A Panic Attack on Unit Roots and Cointegration

Bai, Jushan; Ng, Serena - 2002

This paper develops a new methodology that makes use of the factor structure of large dimensional panels to understand the nature of non-stationarity in the data. We refer to it as PANIC - a 'Panel Analysis of Non-stationarity in Idiosyncratic and Common components'. PANIC consists of univariate...

Persistent link: https://www.econbiz.de/10014121962

Forecasting Spanish inflation using information from different sectors and geographical areas

Tena, Juan de Dios; Espasa, Antoni; Pino, Gabriel - Departamento de Estadistica, Universidad Carlos III de … - 2008

products and 18 regions in Spain. We consider vector equilibrium correction (VeqC) models that include cointegration … geographical areas. Moreover, cointegration relationships between regional and national prices must be considered in order to …

Persistent link: https://www.econbiz.de/10005111013

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