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Determination Of Vector Error Correction Models In High Dimensions
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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 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 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 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 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 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 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 Identification Methods in Vector-Error Correction Models by : Lance A. Fisher
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.
Book Synopsis High-Dimensional Probability by : Roman Vershynin
Download or read book High-Dimensional Probability written by Roman Vershynin and published by Cambridge University Press. This book was released on 2018-09-27 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: An integrated package of powerful probabilistic tools and key applications in modern mathematical data science.
Book Synopsis Modern Econometric Analysis by : Olaf Hübler
Download or read book Modern Econometric Analysis written by Olaf Hübler and published by Springer Science & Business Media. This book was released on 2007-04-29 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.
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 Large-dimensional Panel Data Econometrics: Testing, Estimation And Structural Changes by : Feng Qu
Download or read book Large-dimensional Panel Data Econometrics: Testing, Estimation And Structural Changes written by Feng Qu and published by World Scientific. This book was released on 2020-08-24 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book aims to fill the gap between panel data econometrics textbooks, and the latest development on 'big data', especially large-dimensional panel data econometrics. It introduces important research questions in large panels, including testing for cross-sectional dependence, estimation of factor-augmented panel data models, structural breaks in panels and group patterns in panels. To tackle these high dimensional issues, some techniques used in Machine Learning approaches are also illustrated. Moreover, the Monte Carlo experiments, and empirical examples are also utilised to show how to implement these new inference methods. Large-Dimensional Panel Data Econometrics: Testing, Estimation and Structural Changes also introduces new research questions and results in recent literature in this field.
Book Synopsis Macroeconomic Forecasting in the Era of Big Data by : Peter Fuleky
Download or read book Macroeconomic Forecasting in the Era of Big Data written by Peter Fuleky and published by Springer Nature. This book was released on 2019-11-28 with total page 716 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Book Synopsis Multiple Time Series Models by : Patrick T. Brandt
Download or read book Multiple Time Series Models written by Patrick T. Brandt and published by SAGE. This book was released on 2007 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many analyses of time series data involve multiple, related variables. Modeling Multiple Time Series presents many specification choices and special challenges. This book reviews the main competing approaches to modeling multiple time series: simultaneous equations, ARIMA, error correction models, and vector autoregression. The text focuses on vector autoregression (VAR) models as a generalization of the other approaches mentioned. Specification, estimation, and inference using these models is discussed. The authors also review arguments for and against using multi-equation time series models. Two complete, worked examples show how VAR models can be employed. An appendix discusses software that can be used for multiple time series models and software code for replicating the examples is available. Key Features: * Offers a detailed comparison of different time series methods and approaches. * Includes a self-contained introduction to vector autoregression modeling. * Situates multiple time series modeling as a natural extension of commonly taught statistical models.
Book Synopsis Integrated Uncertainty in Knowledge Modelling and Decision Making by : Van-Nam Huynh
Download or read book Integrated Uncertainty in Knowledge Modelling and Decision Making written by Van-Nam Huynh and published by Springer. This book was released on 2016-11-21 with total page 740 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 5th International Symposium on Integrated Uncertainty in Knowledge Modelling and Decision Making, IUKM 2016, held in Da Nang, Vietnam, in November/December 2016. The IUKM symposia aim to provide a forum for exchanges of research results and ideas, and experience of application among researchers and practitioners involved with all aspects of uncertainty modelling and management.
Book Synopsis Three Essays on Structural Vector Error Correction Models with Short-run and Long-run Restrictions by : Kyungho Jang
Download or read book Three Essays on Structural Vector Error Correction Models with Short-run and Long-run Restrictions written by Kyungho Jang and published by . This book was released on 2002 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: Impulse response analysis requires the imposition of restrictions on the estimated system in order to identify a shock. Short-run restrictions such that monetary policy does not contemporaneously affect real Gross Domestic Production have been often used. Many economic models, however, imply long-run relations among economic variables (or long-run restrictions such that monetary policy does not affect output in the long period) rather than short-run restrictions. Therefore, empirical results based on long-run restrictions may be more consistent with economic theory than those based on short-run restrictions.
Book Synopsis Handbook of Macroeconomics by : John B. Taylor
Download or read book Handbook of Macroeconomics written by John B. Taylor and published by Elsevier. This book was released on 2016-12-01 with total page 1376 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Macroeconomics surveys all major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues. It courageously examines why existing models failed during the financial crisis, and also addresses well-deserved criticism head on. With contributions from the world's chief macroeconomists, its reevaluation of macroeconomic scholarship and speculation on its future constitute an investment worth making. Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade
