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Automated Estimation Of Vector Error Correction Models
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Book Synopsis Automated Estimation of Vector Error Correction Models by : Zhipeng Liao
Download or read book Automated Estimation of Vector Error Correction Models written by Zhipeng Liao and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Model selection and associated issues of post-model selection inference present well known challenges in empirical econometric research. These modeling issues are manifest in all applied work but they are particularly acute in multivariate time series settings such as cointegrated systems where multiple interconnected decisions can materially affect the form of the model and its interpretation. In cointegrated system modeling, empirical estimation typically proceeds in a stepwise manner that involves the determination of cointegrating rank and autoregressive lag order in a reduced rank vector autoregression followed by estimation and inference. This paper proposes an automated approach to cointegrated system modeling that uses adaptive shrinkage techniques to estimate vector error correction models with unknown cointegrating rank structure and unknown transient lag dynamic order. These methods enable simultaneous order estimation of the cointegrating rank and autoregressive order in conjunction with oracle-like efficient estimation of the cointegrating matrix and transient dynamics. As such they offer considerable advantages to the practitioner as an automated approach to the estimation of cointegrated systems. The paper develops the new methods, derives their limit theory, reports simulations and presents an empirical illustration with macroeconomic aggregates.
Book Synopsis Estimation of Vector Error Correction Models with Mixed-Frequency Data by : Byeongchan Seong
Download or read book Estimation of Vector Error Correction Models with Mixed-Frequency Data written by Byeongchan Seong and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Vector autoregressive (VAR) models with error-correction structures (VECMs) that account for cointegrated variables have been studied extensively and used for further analyses such as forecasting, but only with single-frequency data. Both unstructured and structured VAR models have been estimated and used with mixed-frequency data. However, VECMs have not been studied or used with mixed-frequency data. The article aims partly to fill this gap by estimating a VECM using the expectation-maximization (EM) algorithm and US data on four monthly coincident indicators and quarterly real GDP and, then, using the estimated model to compute in-sample monthly smoothed estimates and out-of-sample monthly forecasts of GDP. Because the model is treated as operating at the highest monthly frequency and the monthly-quarterly data are used as given (neither interpolated to all-monthly data, nor aggregated to all-quarterly data), the application is expected to be unbiased and efficient. A Monte Carlo analysis compares the accuracy of VECMs estimated with the given mixed-frequency data vs. with their single-frequency temporal aggregate.
Book Synopsis Determination of Vector Error Correction Models in High Dimensions by : Chong Liang
Download or read book Determination of Vector Error Correction Models in High Dimensions written by Chong Liang and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a shrinkage type methodology which allows for simultaneous model selection and estimation of vector error correction models (VECM) when the dimension is large and can increase with sample size. Model determination is treated as a joint selection problem of cointegrating rank and autoregressive lags under respective practically valid sparsity assumptions. We show consistency of the selection mechanism by the resulting Lasso-VECM estimator under very general assumptions on dimension, rank and error terms. Moreover, with computational complexity of a linear programming problem only, the procedure remains computationally tractable in high dimensions. We demonstrate the effectiveness of the proposed approach by a simulation study and an empirical application to recent CDS data after the financial crisis.
Book Synopsis Estimation of Nonlinear Error Correction Models by :
Download or read book Estimation of Nonlinear Error Correction Models written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Vector Error Correction Models with Stationary and Nonstationary Variables by : Pu Chen
Download or read book Vector Error Correction Models with Stationary and Nonstationary Variables written by Pu Chen and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Vector error correction models (VECM) have become a standard tool in empirical economics for analysing nonstationary time series data because they combine two key concepts in economics: equilibrium and dynamic adjustment in one single model. The current standard VECM procedure is restricted to time series data with the same degree of integration, i.e. all I(1) variables. Time series data with different degrees of integration, on the other hand, are frequently encountered in empirical studies, necessitating the simultaneous handling of I(1) and I(0) time series. In this paper, the standard VECM is extended to accommodate mixed I(1) and I(0) variables. The mixed VECM conditions are derived, and a test and estimation of the mixed VECM are presented as a result.
Book Synopsis An Evolutionary Algorithmfor the Estimation of Threshold Vector Error Correction Models by : Makram el- Shagi
Download or read book An Evolutionary Algorithmfor the Estimation of Threshold Vector Error Correction Models written by Makram el- Shagi and published by . This book was released on 2010 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Vector Error Correction Index Model by : Gianluca Cubadda
Download or read book The Vector Error Correction Index Model written by Gianluca Cubadda and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Nonlinear Time Series Econometrics by : Niels Haldrup
Download or read book Essays in Nonlinear Time Series Econometrics written by Niels Haldrup and published by Oxford University Press, USA. This book was released on 2014-05 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: A book on nonlinear economic relations that involve time. It covers specification testing of linear versus non-linear models, model specification testing, estimation of smooth transition models, volatility modelling using non-linear model specification, analysis of high dimensional data set, and forecasting.
Book Synopsis Estimating Threshold Vector Error-correction Models with Multiple Cointegrating Relationships by :
Download or read book Estimating Threshold Vector Error-correction Models with Multiple Cointegrating Relationships written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Automatic Identification of General Vector Error Correction Models by : Ignacio Arbués
Download or read book Automatic Identification of General Vector Error Correction Models written by Ignacio Arbués and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Evolutionary Algorithm for the Estimation of Threshold Vector Error Correction Models by : Makram El-Shagi
Download or read book An Evolutionary Algorithm for the Estimation of Threshold Vector Error Correction Models written by Makram El-Shagi and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Evolutionary Algorithm for the Estimation of Treshold Vector Error Correction Models by : Makram El- Shagi
Download or read book An Evolutionary Algorithm for the Estimation of Treshold Vector Error Correction Models written by Makram El- Shagi and published by . This book was released on 2010 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On Error Correction Models by : George Alogoskoufis
Download or read book On Error Correction Models written by George Alogoskoufis and published by . This book was released on 1990 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Control Applications in Modern Power System by : Arun Kumar Singh
Download or read book Control Applications in Modern Power System written by Arun Kumar Singh and published by Springer Nature. This book was released on 2020-11-26 with total page 535 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents select proceedings of the Electric Power and Renewable Energy Conference 2020 (EPREC 2020). This book provides rigorous discussions, case studies, and recent developments in emerging areas of control systems, especially, load frequency control, wide-area monitoring, control & instrumentation, optimization, intelligent control, energy management system, SCADA systems, etc. The contents of this book will be useful to researchers and professionals interested in control theory and its applications to power grids and systems. The book can also be used by policy makers and power engineers involved in power generation and distribution.
Book Synopsis Adaptive Estimation of Error Correction Models by : Douglas J. Hodgson
Download or read book Adaptive Estimation of Error Correction Models written by Douglas J. Hodgson and published by . This book was released on 1995 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Effect of Model Selection Uncertainty on the Error Bands for Impulse Response Functions in Vector Error Correction Models by : Islam Azzam
Download or read book The Effect of Model Selection Uncertainty on the Error Bands for Impulse Response Functions in Vector Error Correction Models written by Islam Azzam and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Conventional asymptotic and bootstrap methods for finite-order autoregressive models condition on the estimated lag-order of the model, which is later, used to construct the error bands for impulse response functions. Even if the estimated lag order is believed to be correct, this procedure ignores the sampling uncertainty of the lag order. An earlier study by Kilian (1998) introduced an endogenous lag order bootstrap algorithm that reflected the true extent of sampling uncertainty in the regression estimates. Applications of Kilian's method to vector autoregressive (VAR) and vector error correction (VEC) assumed that the true cointegration rank is known. This paper modifies the application of kilian's method on VEC models by endogenizing the cointegration rank besides the lag order. Monte Carlo simulations results from two U.S. economy models show that ignoring cointegration rank uncertainty may seriously undermine the coverage accuracy of bootstrap confidence intervals for VEC impulse response estimates. Endogenizing the cointegration rank choice is shown to improve coverage accuracy at low additional computational cost.
Book Synopsis Testing Cointegrating Coefficients in Vector Autoregressive Error Correction Models by : Gerd Hansen
Download or read book Testing Cointegrating Coefficients in Vector Autoregressive Error Correction Models written by Gerd Hansen and published by . This book was released on 1996 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
