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The Cowles Commission and Foundation for Research in Economics : Bringing Mathematical Economics and Econometrics from the Fringes of Economics to the Mainstream
Dimand, Robert W. - 2019
Debreu on general equilibrium, Yntema and Mosak on general equilibrium in international trade theory, Arrow on social choice …, Koopmans on activity analysis, Klein on macroeconometric modelling, Lange, Marschak and Patinkin on macroeconomic theory, and … areas of economics, notably with Tobin's “Yale school” of monetary theory, Scarf's computable general equilibrium, Shubik in …
Persistent link: https://www.econbiz.de/10012863112
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Augmented AI-Knowledge Driven Intelligent Systems for Adversarial-Dynamic Uncertainty and Complexity
Malhotra, Yogesh - 2023
Goal: ISO 31000 Risk Management (RM) recently re-defined risk as the effect of uncertainty on an organization's ability to meet the objectives. Earlier, it defined risk as a combination of the probability and scope of the (predicted) consequences. The revised ISO Risk advances beyond a static...
Persistent link: https://www.econbiz.de/10014256748
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Karachi Inter-Bank Offered Rate (KIBOR) Forecasting : Box-Jenkins (ARIMA) Testing Approach
Ahmed, Rizwan - 2017
The aim of this paper is to find out the forecasting model that is the one, which gives the best output of forecasting. So that policy makers can be benefited from this research. Thus, this research will also evaluate the performance of ARMA, and Box-Jenkins (ARIMA) forecasting models for KIBOR...
Persistent link: https://www.econbiz.de/10012948581
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An Eviews Program for Arma Modeling and Forecasting
Abbasi-Nejad, Hossein; Mohammadi, Shapour - 2005
This program helps to identification and aytomatic forecasting with ARMA models for forecasters and analysts.This program is compatible with EViews 3,3.1,4,4.1. For running it in EViews 5 and 5.1 simply check the box Version 4 compatible variable substitution
Persistent link: https://www.econbiz.de/10014066779
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Some computational aspects of Gaussian CARMA modelling
Tómasson Helgi - 2011
Representation of continuous-time ARMA, CARMA, models is reviewed. Computational aspects of simulating and calculating the likelihood-function of CARMA are summarized. Some numerical properties are illustrated by simulations. Some real data applications are shown. -- CARMA ; maximum-likelihood ;...
Persistent link: https://www.econbiz.de/10009685469
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Some computational aspects of Gaussian CARMA modelling
Tómasson Helgi - 2011
Representation of continuous-time ARMA, CARMA, models is reviewed. Computational aspects of simulating and calculating the likelihood-function of CARMA are summarized. Some numerical properties are illustrated by simulations. Some real data applications are shown.
Persistent link: https://www.econbiz.de/10009388633
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Testing for a Unit Root in Noncausal Autoregressive Models
Saikkonen, Pentti - 2013
higher than the power of conventional Dickey-Fuller tests and the M-tests of Lucas (1995, Econometric Theory 11, 331-346). In …
Persistent link: https://www.econbiz.de/10013072628
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The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models
Kuryłek, Wojciech - In: Journal of banking and financial economics 19 (2023) 1, pp. 26-43
The proper forecasting of listed companies' earnings is crucial for their appropriate pricing. This paper compares forecast errors of different univariate time-series models applied for the earnings per share (EPS) data for Polish companies from the period between the last financial crisis of...
Persistent link: https://www.econbiz.de/10014285928
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Long memory in UK real GDP, 1851 – 2013: an ARFIMA-FIGARCH analysis
Caporale, Guglielmo Maria; Škare, Marinko - 2014
This paper analyses the long-memory properties of both the conditional mean and variance of UK real GDP over the period 1851-2013 by estimating a multivariate ARFIMA-FIGARCH model (with the unemployment rate and inflation as explanatory variables). The results suggest that this series is...
Persistent link: https://www.econbiz.de/10010367157
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Towards seasonal adjustment of infra-monthly time series with JDemetra+
Webel, Karsten; Smyk, Anna - 2023
Infra-monthly economic time series have become increasingly popular in official statistics in recent years. This evolution has been largely fostered by official statistics’ digital transformation during the last decade. The COVID-19 pandemic outbreak in 2020 has added fuel to the fire as many...
Persistent link: https://www.econbiz.de/10014336194