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Author : Ignacio Arbués
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (118 download)
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:
Author : Lance A. Fisher
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Identification Methods in Vector-Error Correction Models written by Lance A. Fisher and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a structural vector-error correction (VEC) model, it is possible to decompose the shocks into those with permanent and transitory effects on the levels of the variables. Pagan and Pesaran derive the restrictions which the permanent-transitory decomposition of the shocks imposes on the structural VEC model. This paper shows that these restrictions are equivalent to a set of restrictions that are applied in the methods of Gonzalo and Ng and King et al. (KPSW). Using this result, it is shown that the Pagan and Pesaran method can be used to recover the structural shocks with permanent effects identically to those from the Gonzalo and Ng and KPSW methods. In the former case, this is illustrated in the context of Lettau and Ludvigson's consumption model and in the latter case in KPSW's six variable model. There are also two other methods for which the Pagan and Pesaran approach can deliver identical permanent shocks which are also discussed.
Author : Gianluca Cubadda
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
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:
Author : Chong Liang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (117 download)
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.
Author : Søren Johansen
Publisher : Oxford University Press, USA
ISBN 13 : 0198774508
Total Pages : 280 pages
Book Rating : 4.1/5 (987 download)
Download or read book Likelihood-based Inference in Cointegrated Vector Autoregressive Models written by Søren Johansen and published by Oxford University Press, USA. This book was released on 1995 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Author : Helmut Lütkepohl
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)
Download or read book Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models written by Helmut Lütkepohl and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zhipeng Liao
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
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.
Author : Jan Prüser
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (127 download)
Download or read book Data-based Priors for Vector Error Correction Models written by Jan Prüser and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Constantin Colonescu
Publisher : Lulu.com
ISBN 13 : 1387473611
Total Pages : 278 pages
Book Rating : 4.3/5 (874 download)
Download or read book Using R for Principles of Econometrics written by Constantin Colonescu and published by Lulu.com. This book was released on 2017-12-28 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a beginner's guide to applied econometrics using the free statistics software R. It provides and explains R solutions to most of the examples in 'Principles of Econometrics' by Hill, Griffiths, and Lim, fourth edition. 'Using R for Principles of Econometrics' requires no previous knowledge in econometrics or R programming, but elementary notions of statistics are helpful.
Author : Pu Chen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
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.
Author : Lutz Kilian
Publisher : Cambridge University Press
ISBN 13 : 1107196574
Total Pages : 757 pages
Book Rating : 4.1/5 (71 download)
Download or read book Structural Vector Autoregressive Analysis written by Lutz Kilian and published by Cambridge University Press. This book was released on 2017-11-23 with total page 757 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Author : Byeongchan Seong
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
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.
Author :
Publisher : ScholarlyEditions
ISBN 13 : 1490109501
Total Pages : 1193 pages
Book Rating : 4.4/5 (91 download)
Download or read book Issues in General Economic Research and Application: 2013 Edition written by and published by ScholarlyEditions. This book was released on 2013-05-01 with total page 1193 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues in General Economic Research and Application: 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Theoretical Economics. The editors have built Issues in General Economic Research and Application: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Theoretical Economics in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in General Economic Research and Application: 2013 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.
Author : William Yeoh
Publisher : European Alliance for Innovation
ISBN 13 : 1631902598
Total Pages : 303 pages
Book Rating : 4.6/5 (319 download)
Download or read book ICAS-PGS 2019 written by William Yeoh and published by European Alliance for Innovation. This book was released on 2020-08-12 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: Following the successful of previous conference, 3rd International Conference on Administrative Science, Policy, and Governance Studies (ICAS-PGS) in strategic alliance with 4th International Conference of Business Administration and Policy (ICBAP) 2019 will be held on October 30-31, 2019 in Universitas Indonesia, Depok, West Java, Indonesia. This year’s conference theme is “Strengthening Strategic Administrative Reform Policy to Promote Competitiveness and Innovation in Industrial Revolution 4.0: The Opportunities and Challenges.” This conference is hosted by Faculty of Administrative Science Universitas Indonesia (FIA UI). The conference covers debates over problematic situation, theoretical frameworks, as well as prescribed policies the way that governments, businesses, and civil societies essentially need to outline strategies to realize reform commitment and achieve change efficacy for purposes of harnessing innovation while considering the opportunities and challenges as well as maintaining sustainability, engaging in a more dynamic predicament such as regulatory frameworks that affect relations of multiple governance actors in today’s dynamic towards Industrial Revolution 4.0. The main objective of this conference is to discuss and debate the recent trends in administrative science on a range of issues such as public, business, and fiscal and the interconnectedness of all in Industrial Revolution 4.0. This conference is aimed to bring researchers, academicians, scientists, policymakers, professional managers, students, and other related stakeholders; together to participate and present their latest research findings, developments, and practical solutions related to the various aspects of administrative challenges in public and private sector. The general theme of 3rd ICAS-PGS and 4th ICBAP 2019 is “Strengthening Strategic Administrative Reform Policy to Promote Competitiveness and Innovation in Industrial Revolution 4.0: The Opportunities and Challenges.” The conferences consist of three streams representing differences of focus and scopes of research interests within the discipline of public, business, and fiscal administration and policy. We convey our gratitude to our esteemed Committee, Speakers and Participants, for giving their best to the success of the conference
Author : Rich, K. M.
Publisher : Food & Agriculture Org. [Author] [Author]
ISBN 13 : 9251387478
Total Pages : 40 pages
Book Rating : 4.2/5 (513 download)
Download or read book Resilience in conflict-affected livestock value chains written by Rich, K. M. and published by Food & Agriculture Org. [Author] [Author]. This book was released on 2024-05-09 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Livestock value chains present a multitude of challenges in the analysis of resilience given their multidimensional role in livelihoods and complexities associated with their biological aspects of production. [Author] This paper discusses these challenges at length and provides some guidance on methodological and operational modalities to tease out these nuances that better inform public policy and the choice of technical and policy interventions. [Author] Specific advice on models, data and applications is provided. [Author]
Author : Bernhard Pfaff
Publisher : Springer Science & Business Media
ISBN 13 : 0387759670
Total Pages : 193 pages
Book Rating : 4.3/5 (877 download)
Download or read book Analysis of Integrated and Cointegrated Time Series with R written by Bernhard Pfaff and published by Springer Science & Business Media. This book was released on 2008-09-03 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is designed for self study. The reader can apply the theoretical concepts directly within R by following the examples.
Author :
Publisher : ScholarlyEditions
ISBN 13 : 1490109854
Total Pages : 1104 pages
Book Rating : 4.4/5 (91 download)
Download or read book Issues in Industrial Relations and Management: 2013 Edition written by and published by ScholarlyEditions. This book was released on 2013-05-01 with total page 1104 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues in Industrial Relations and Management: 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Management Science. The editors have built Issues in Industrial Relations and Management: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Management Science in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Industrial Relations and Management: 2013 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.
