Identification Methods In Vector Error Correction Models

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Identification Methods in Vector-Error Correction Models

Author : Lance A. Fisher
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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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.

Automatic Identification of General Vector Error Correction Models

Author : Ignacio Arbués
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (118 download)

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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:

Determination of Vector Error Correction Models in High Dimensions

Author : Chong Liang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (117 download)

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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.

Likelihood-based Inference in Cointegrated Vector Autoregressive Models

Author : Søren Johansen
Publisher : Oxford University Press, USA
ISBN 13 : 0198774508
Total Pages : 280 pages
Book Rating : 4.1/5 (987 download)

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Book Synopsis Likelihood-based Inference in Cointegrated Vector Autoregressive Models by : Søren Johansen

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.

Model Reduction Methods for Vector Autoregressive Processes

Author : Ralf Brüggemann
Publisher : Springer Science & Business Media
ISBN 13 : 3642170293
Total Pages : 226 pages
Book Rating : 4.6/5 (421 download)

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Book Synopsis Model Reduction Methods for Vector Autoregressive Processes by : Ralf Brüggemann

Download or read book Model Reduction Methods for Vector Autoregressive Processes written by Ralf Brüggemann and published by Springer Science & Business Media. This book was released on 2012-09-25 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: 1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the dominant research tools in the analysis of macroeconomic time series during the last two decades. The great success of this modeling class started with Sims' (1980) critique of the traditional simultaneous equation models (SEM). Sims criticized the use of 'too many incredible restrictions' based on 'supposed a priori knowledge' in large scale macroeconometric models which were popular at that time. Therefore, he advo cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Ever since his influential paper these models have been employed extensively to characterize the underlying dynamics in systems of time series. In particular, tools to summarize the dynamic interaction between the system variables, such as impulse response analysis or forecast error variance decompo sitions, have been developed over the years. The econometrics of VAR models and related quantities is now well established and has found its way into various textbooks including inter alia Llitkepohl (1991), Hamilton (1994), Enders (1995), Hendry (1995) and Greene (2002). The unrestricted VAR model provides a general and very flexible framework that proved to be useful to summarize the data characteristics of economic time series. Unfortunately, the flexibility of these models causes severe problems: In an unrestricted VAR model, each variable is expressed as a linear function of lagged values of itself and all other variables in the system.

Structural Vector Autoregressive Analysis

Author : Lutz Kilian
Publisher : Cambridge University Press
ISBN 13 : 1107196574
Total Pages : 757 pages
Book Rating : 4.1/5 (71 download)

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Book Synopsis Structural Vector Autoregressive Analysis by : Lutz Kilian

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.

Structural Changes and their Econometric Modeling

Author : Vladik Kreinovich
Publisher : Springer
ISBN 13 : 3030042634
Total Pages : 776 pages
Book Rating : 4.0/5 (3 download)

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Book Synopsis Structural Changes and their Econometric Modeling by : Vladik Kreinovich

Download or read book Structural Changes and their Econometric Modeling written by Vladik Kreinovich and published by Springer. This book was released on 2018-11-24 with total page 776 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on structural changes and economic modeling. It presents papers describing how to model structural changes, as well as those introducing improvements to the existing before-structural-changes models, making it easier to later on combine these models with techniques describing structural changes. The book also includes related theoretical developments and practical applications of the resulting techniques to economic problems. Most traditional mathematical models of economic processes describe how the corresponding quantities change with time. However, in addition to such relatively smooth numerical changes, economical phenomena often undergo more drastic structural change. Describing such structural changes is not easy, but it is vital if we want to have a more adequate description of economic phenomena – and thus, more accurate and more reliable predictions and a better understanding on how best to influence the economic situation.

Monetary and Financial Systems in Africa

Author : Aloysius Ajab Amin
Publisher : Springer Nature
ISBN 13 : 3030962253
Total Pages : 449 pages
Book Rating : 4.0/5 (39 download)

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Book Synopsis Monetary and Financial Systems in Africa by : Aloysius Ajab Amin

Download or read book Monetary and Financial Systems in Africa written by Aloysius Ajab Amin and published by Springer Nature. This book was released on 2022-05-26 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an overview of the monetary and financial systems seen in Africa. The issues related to these systems are examined to help evaluate their effectiveness in fostering the development of African economies. Economic integration is extensively discussed to highlight variations between different parts of Africa and the specific challenges seen within certain regions. The impact of monetary unions, in particular the CFA franc zone, on economic activities is also explored. This book aims to outline how sustainable development can be achieved in Africa through well-developed financial and monetary institutions and policies. It will be relevant to students, academics and policy makers interested in African and development economics.

Cointegration and Long-Horizon Forecasting

Author : Mr.Peter F. Christoffersen
Publisher : International Monetary Fund
ISBN 13 : 1451848137
Total Pages : 31 pages
Book Rating : 4.4/5 (518 download)

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Book Synopsis Cointegration and Long-Horizon Forecasting by : Mr.Peter F. Christoffersen

Download or read book Cointegration and Long-Horizon Forecasting written by Mr.Peter F. Christoffersen and published by International Monetary Fund. This book was released on 1997-05-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts. Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. Our results highlight a potentially important deficiency of standard forecast accuracy measures—they fail to value the maintenance of cointegrating relationships among variables—and we suggest alternatives that explicitly do so.

Global and National Macroeconometric Modelling

Author : Anthony Garratt
Publisher : Oxford University Press (UK)
ISBN 13 : 0199650462
Total Pages : 402 pages
Book Rating : 4.1/5 (996 download)

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Book Synopsis Global and National Macroeconometric Modelling by : Anthony Garratt

Download or read book Global and National Macroeconometric Modelling written by Anthony Garratt and published by Oxford University Press (UK). This book was released on 2012-03-15 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Providing a description of the state of modelling in global and national economies, this title introduces an approach to modelling that can readily be adopted for use in understanding how economies work and in generating forecasts for decision-makers and policy-makers alike.

Likelihood Based Inference for an Identifiable Fractional Vector Error Correction Model

Author : Federico Carlini
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Likelihood Based Inference for an Identifiable Fractional Vector Error Correction Model by : Federico Carlini

Download or read book Likelihood Based Inference for an Identifiable Fractional Vector Error Correction Model written by Federico Carlini and published by . This book was released on 2018 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than the models proposed in Granger (1986) and Johansen (2008, 2009). In particular, we discuss the properties of the model of Avarucci (2007) (FECM) in comparison to the model of Johansen (2008, 2009) (FCVAR). Both models generate the same class of processes, but the properties of the two models are different. First, opposed to the model of Johansen (2008, 2009), the model of Avarucci has a convenient nesting structure, which allows for testing the number of lags and the cointegration rank exactly in the same way as in the standard I(1) cointegration framework of Johansen (1995) and hence might be attractive for econometric practice. Second, we find that the model of Avarucci (2007) is almost free from identification problems, contrary to the model of Johansen (2008, 2009) and Johansen and Nielsen (2012), which identification problems are discussed in Carlini and Santucci de Magistris (2017). However, due to a larger number of parameters, the estimation of the FECM model of Avarucci (2007) turns out to be more complicated. Therefore, we propose a 4-step estimation procedure for this model that is based on the switching algorithm employed in Carlini and Mosconi (2014), together with the GLS procedure of Mosconi and Paruolo (2014). We check the performance of the proposed estimation procedure in finite samples by means of a Monte Carlo experiment and we prove the asymptotic distribution of the estimators of all the parameters. The solution of the model has been previously derived in Avarucci (2007), while testing for the rank has been discussed in Lasak and Velasco (for cointegration strength >0.5) and Avarucci and Velasco (for cointegration strength

IMF Staff papers, Volume 45 No. 2

Author : International Monetary Fund. Research Dept.
Publisher : International Monetary Fund
ISBN 13 : 1451974167
Total Pages : 204 pages
Book Rating : 4.4/5 (519 download)

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Book Synopsis IMF Staff papers, Volume 45 No. 2 by : International Monetary Fund. Research Dept.

Download or read book IMF Staff papers, Volume 45 No. 2 written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 1998-01-01 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes contagion and volatility with imperfect credit markets. The paper interprets contagion effects as an increase in the volatility of shocks impinging on the economy. The implications of this approach are analyzed in a model in which domestic banks borrow at a premium on world capital markets, and domestic producers borrow at a premium from domestic banks. Financial spreads depend on a markup that compensates lenders, in particular, for the expected cost of contract enforcement. Higher volatility increases financial spreads and the producers’ cost of capital.

Essays in Econometrics

Author : Clive W. J. Granger
Publisher : Cambridge University Press
ISBN 13 : 9780521774963
Total Pages : 548 pages
Book Rating : 4.7/5 (749 download)

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Book Synopsis Essays in Econometrics by : Clive W. J. Granger

Download or read book Essays in Econometrics written by Clive W. J. Granger and published by Cambridge University Press. This book was released on 2001-07-23 with total page 548 pages. Available in PDF, EPUB and Kindle. Book excerpt: These are econometrician Clive W. J. Granger's major essays in spectral analysis, seasonality, nonlinearity, methodology, and forecasting.

Artificial Intelligence in Forecasting

Author : Sachi Mohanty
Publisher : CRC Press
ISBN 13 : 1040051502
Total Pages : 365 pages
Book Rating : 4.0/5 (4 download)

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Book Synopsis Artificial Intelligence in Forecasting by : Sachi Mohanty

Download or read book Artificial Intelligence in Forecasting written by Sachi Mohanty and published by CRC Press. This book was released on 2024-07-19 with total page 365 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting deals with the uncertainty of the future. To be effective, forecasting models should be timely available, accurate, reliable, and compatible with existing database. Accurate projection of the future is of vital importance in supply chain management, inventory control, economic condition, technology, growth trend, social change, political change, business, weather forecasting, stock price prediction, earthquake prediction, etc. AI powered tools and techniques of forecasting play a major role in improving the projection accuracy. The software running AI forecasting models use machine learning to improve accuracy. The software can analyse the past data and can make better prediction about the future trends with higher accuracy and confidence that favours for making proper future planning and decision. In other words, accurate forecasting requires more than just the matching of models to historical data. The book covers the latest techniques used by managers in business today, discover the importance of forecasting and learn how it's accomplished. Readers will also be familiarised with the necessary skills to meet the increased demand for thoughtful and realistic forecasts.

Principles of Econometrics

Author : R. Carter Hill
Publisher : John Wiley & Sons
ISBN 13 : 1118452275
Total Pages : 1808 pages
Book Rating : 4.1/5 (184 download)

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Book Synopsis Principles of Econometrics by : R. Carter Hill

Download or read book Principles of Econometrics written by R. Carter Hill and published by John Wiley & Sons. This book was released on 2018-02-21 with total page 1808 pages. Available in PDF, EPUB and Kindle. Book excerpt: Principles of Econometrics, Fifth Edition, is an introductory book for undergraduate students in economics and finance, as well as first-year graduate students in a variety of fields that include economics, finance, accounting, marketing, public policy, sociology, law, and political science. Students will gain a working knowledge of basic econometrics so they can apply modeling, estimation, inference, and forecasting techniques when working with real-world economic problems. Readers will also gain an understanding of econometrics that allows them to critically evaluate the results of others’ economic research and modeling, and that will serve as a foundation for further study of the field. This new edition of the highly-regarded econometrics text includes major revisions that both reorganize the content and present students with plentiful opportunities to practice what they have read in the form of chapter-end exercises.

Econometric Methods with Applications in Business and Economics

Author : Christiaan Heij
Publisher : OUP Oxford
ISBN 13 : 0191533238
Total Pages : 816 pages
Book Rating : 4.1/5 (915 download)

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Book Synopsis Econometric Methods with Applications in Business and Economics by : Christiaan Heij

Download or read book Econometric Methods with Applications in Business and Economics written by Christiaan Heij and published by OUP Oxford. This book was released on 2004-03-25 with total page 816 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nowadays applied work in business and economics requires a solid understanding of econometric methods to support decision-making. Combining a solid exposition of econometric methods with an application-oriented approach, this rigorous textbook provides students with a working understanding and hands-on experience of current econometrics. Taking a 'learning by doing' approach, it covers basic econometric methods (statistics, simple and multiple regression, nonlinear regression, maximum likelihood, and generalized method of moments), and addresses the creative process of model building with due attention to diagnostic testing and model improvement. Its last part is devoted to two major application areas: the econometrics of choice data (logit and probit, multinomial and ordered choice, truncated and censored data, and duration data) and the econometrics of time series data (univariate time series, trends, volatility, vector autoregressions, and a brief discussion of SUR models, panel data, and simultaneous equations). · Real-world text examples and practical exercise questions stimulate active learning and show how econometrics can solve practical questions in modern business and economic management. · Focuses on the core of econometrics, regression, and covers two major advanced topics, choice data with applications in marketing and micro-economics, and time series data with applications in finance and macro-economics. · Learning-support features include concise, manageable sections of text, frequent cross-references to related and background material, summaries, computational schemes, keyword lists, suggested further reading, exercise sets, and online data sets and solutions. · Derivations and theory exercises are clearly marked for students in advanced courses. This textbook is perfect for advanced undergraduate students, new graduate students, and applied researchers in econometrics, business, and economics, and for researchers in other fields that draw on modern applied econometrics.

Introduction to Econometrics

Author : Christopher Dougherty
Publisher : Oxford University Press, USA
ISBN 13 : 0199676828
Total Pages : 609 pages
Book Rating : 4.1/5 (996 download)

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Book Synopsis Introduction to Econometrics by : Christopher Dougherty

Download or read book Introduction to Econometrics written by Christopher Dougherty and published by Oxford University Press, USA. This book was released on 2016 with total page 609 pages. Available in PDF, EPUB and Kindle. Book excerpt: Combining the rigour of econometric theory with an accessible style, Dougherty's step by step explanations and relevant practical exercises ensure students develop an intuitive understanding of econometrics, and gain hands-on experience of the tools used in economic and financial forecasting.