Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables PDF Download
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Author: M. Hashem Pesaran
Publisher:
ISBN:
Category : Economics, Mathematical
Languages : en
Pages : 25
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Book Description
Author: M. Hashem Pesaran
Publisher:
ISBN:
Category : Economics, Mathematical
Languages : en
Pages : 25
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Book Description
Author: Pu Chen
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
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: Neil R. Ericsson
Publisher:
ISBN:
Category : Econometric models
Languages : en
Pages : 28
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Book Description
Author: Søren Johansen
Publisher: Oxford University Press, USA
ISBN: 0198774508
Category : Business & Economics
Languages : en
Pages : 280
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Book Description
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: Cheng Hsiao
Publisher: Cambridge University Press
ISBN: 1107038693
Category : Business & Economics
Languages : en
Pages : 563
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Book Description
This book provides a comprehensive, coherent, and intuitive review of panel data methodologies that are useful for empirical analysis. Substantially revised from the second edition, it includes two new chapters on modeling cross-sectionally dependent data and dynamic systems of equations. Some of the more complicated concepts have been further streamlined. Other new material includes correlated random coefficient models, pseudo-panels, duration and count data models, quantile analysis, and alternative approaches for controlling the impact of unobserved heterogeneity in nonlinear panel data models.
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 145181870X
Category : Business & Economics
Languages : en
Pages : 92
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Book Description
This Selected Issues paper presents a description of fiscal developments in Ireland since 1980. It attempts to decompose the improvement in the fiscal accounts into contributions from pure fiscal policy measures and contributions from other factors. Fiscal policy in 1997 and the budget for 1998 are outlined, and a discussion of the implications of the Stability and Growth Pact for policy formulation in Ireland is presented. The paper also examines the supervision system in Ireland and the performance of lending institutions.
Author: Jaebeom Kim
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 48
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Book Description
Author: Anthony Garratt
Publisher: Oxford University Press (UK)
ISBN: 0199650462
Category : Business & Economics
Languages : en
Pages : 402
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Book Description
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.
Author: World Bank
Publisher: World Bank Publications
ISBN: 0821373897
Category : Business & Economics
Languages : en
Pages : 174
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Book Description
'Global Development Finance' the World Bank's annual report on the external financing of developing countries provides monitoring and analysis of development finance, identifying key emerging trends and policy challenges in international financial flows that are likely to affect the growth prospects of developing countries. As major financial institutions currently recognize losses from the U.S. subprime mortgage market crisis and rebuild their balance sheets through a more conservative approach to lending and risk management, the central theme of this year's report will be the market for international bank credit to developing countries.It is an indispensable resource for governments, economists, investors, financial consultants, academics, bankers, and the entire development community. 'Vol I: Analysis and Outlook' reviews recent trends in financial flows to developing countries.
Author: Gebhard Kirchgässner
Publisher: Springer Science & Business Media
ISBN: 9783540687351
Category : Business & Economics
Languages : en
Pages : 288
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Book Description
This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series. It contains the most important approaches to analyze time series which may be stationary or nonstationary.
