2024-03-29T14:25:47Z
https://mpra.ub.uni-muenchen.de/cgi/oai2
oai:mpra.ub.uni-muenchen.de:72
2019-10-01T12:52:24Z
7374617475733D756E707562
7375626A656374733D43:4332:433230
7375626A656374733D43:4331:433133
7375626A656374733D43:4335:433532
7375626A656374733D43:4331:433132
7375626A656374733D43:4335:433531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/72/
Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?
Leeb, Hannes
Pötscher, Benedikt M.
C20 - General
C13 - Estimation: General
C52 - Model Evaluation, Validation, and Selection
C12 - Hypothesis Testing: General
C51 - Model Construction and Estimation
We consider the problem of estimating the unconditional distribution of a post-model-selection estimator. The notion of a post-model-selection estimator here refers to the combined procedure resulting from first selecting a model (e.g., by a model selection criterion like AIC or by a hypothesis testing procedure) and then estimating the parameters in the selected model (e.g., by least-squares or maximum likelihood), all based on the same data set. We show that it is impossible to estimate the unconditional distribution with reasonable accuracy even asymptotically. In particular, we show that no estimator for this distribution can be uniformly consistent (not even locally). This follows as a corollary to (local) minimax lower bounds on the performance of estimators for the distribution. These lower bounds are shown to approach 1/2 or even 1 in large samples, depending on the situation considered. Similar impossibility results are also obtained for the distribution of linear functions (e.g., predictors) of the post-model-selection estimator.
2005-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/72/1/MPRA_paper_72.pdf
Leeb, Hannes and Pötscher, Benedikt M. (2005): Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?
en
oai:mpra.ub.uni-muenchen.de:73
2019-09-26T13:08:48Z
7374617475733D696E7072657373
7375626A656374733D43:4335:433531
7375626A656374733D43:4332:433230
7375626A656374733D43:4331:433133
7375626A656374733D43:4335:433532
7375626A656374733D43:4331:433132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/73/
The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation
Pötscher, Benedikt M.
C51 - Model Construction and Estimation
C20 - General
C13 - Estimation: General
C52 - Model Evaluation, Validation, and Selection
C12 - Hypothesis Testing: General
The finite-sample as well as the asymptotic distribution of Leung and
Barron's (2006) model averaging estimator are derived in the context of a
linear regression model. An impossibility result regarding the estimation of
the finite-sample distribution of the model averaging estimator is obtained.
2006-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/73/1/MPRA_paper_73.pdf
Pötscher, Benedikt M. (2006): The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation. Forthcoming in: IMS Lecture Notes
en
oai:mpra.ub.uni-muenchen.de:116
2019-10-04T19:33:42Z
7374617475733D756E707562
7375626A656374733D4F:4F31:4F3131
7375626A656374733D45:4530:453030
7375626A656374733D43:4335:433531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/116/
Boating Against the Current: The Advance-Retreat Analysis for Socio-Economic Process
Feng, Dai
O11 - Macroeconomic Analyses of Economic Development
E00 - General
C51 - Model Construction and Estimation
Boating against the current is a kind of human behavior which can generalize many real socio-economic processes. Starting from the view of point, this paper suggests the problem for advance-retreat course and builds the general analytic models of advance-retreat. By the models, we could see the endogenous resistances, instead of exogenous resistances, causes the periodic fluctuation in socio-economic process, and get the critical condition under which the periodic fluctuation is occured. A series of results for developing motivity and investing strategies are obtained. Finally, the conclusions and strategies are illuminated to be rational and maneuverable by two examples.
2006-10-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/116/1/MPRA_paper_116.pdf
Feng, Dai (2006): Boating Against the Current: The Advance-Retreat Analysis for Socio-Economic Process.
en
oai:mpra.ub.uni-muenchen.de:410
2019-09-27T05:07:42Z
7374617475733D756E707562
7375626A656374733D43:4331:433133
7375626A656374733D43:4333:433330
7375626A656374733D43:4331:433132
7375626A656374733D43:4335:433531
7375626A656374733D43:4331:433130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/410/
The Theoretical Regularity Properties of the Normalized Quadratic Consumer Demand Model
Barnett, William A.
Usui, Ikuyasu
C13 - Estimation: General
C30 - General
C12 - Hypothesis Testing: General
C51 - Model Construction and Estimation
C10 - General
We conduct a Monte Carlo study of the global regularity properties of the Normalized Quadratic model. We particularly investigate monotonicity violations, as well as the performance of methods of locally and globally imposing curvature. We find that monotonicity violations are especially likely to occur, when elasticities of substitution are greater than unity. We also find that imposing curvature locally produces difficulty in the estimation, smaller regular regions, and the poor elasticity estimates in many cases considered in the paper. Imposition of curvature alone does not assure regularity, and imposing local curvature alone can have very adverse consequences.
2006-10-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/410/1/MPRA_paper_410.pdf
Barnett, William A. and Usui, Ikuyasu (2006): The Theoretical Regularity Properties of the Normalized Quadratic Consumer Demand Model.
en
oai:mpra.ub.uni-muenchen.de:417
2019-09-26T21:59:34Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D43:4334:433433
7375626A656374733D43:4335:433531
7375626A656374733D43:4333
7375626A656374733D45:4531:453137
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/417/
Rotterdam vs Almost Ideal Models: Will the Best Demand Specification Please Stand Up?
Barnett, William A.
Seck, Ousmane
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C43 - Index Numbers and Aggregation
C51 - Model Construction and Estimation
C3 - Multiple or Simultaneous Equation Models ; Multiple Variables
E17 - Forecasting and Simulation: Models and Applications
Among the many demand specifications in the literature, the Rotterdam model and the Almost Ideal Demand System (AIDS) have particularly long histories, have been highly developed, and are often applied in consumer demand systems modeling. Using Monte Carlo techniques, we seek to determine which model performs better in terms of its ability to recover the true elasticities of demand. We derive the correct formulae for the AIDS models elasticities, when the Törnqvist or two modified versions of the Stone index are used to linearize the model. The resulting linearized AIDS are compared to the full AIDS.
2006-02-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/417/1/MPRA_paper_417.pdf
Barnett, William A. and Seck, Ousmane (2006): Rotterdam vs Almost Ideal Models: Will the Best Demand Specification Please Stand Up?
en
oai:mpra.ub.uni-muenchen.de:443
2019-09-29T07:22:42Z
7374617475733D707562
7375626A656374733D43:4335:433533
7375626A656374733D43:4335:433531
7375626A656374733D47:4733:473332
7375626A656374733D4D:4D34:4D3431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/443/
A simulation model of corporate finances: A study of the companies listed on Karachi stock exchange
Ayub, Mehar
C53 - Forecasting and Prediction Methods ; Simulation Methods
C51 - Model Construction and Estimation
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
M41 - Accounting
The study is a part of the series of financial models included in a doctoral dissertation completed at the Karachi University (Mehar: 1994). An Econometric model has been constructed in the study and a Three-Stage Least Square (3SLS) technique was applied for the estimation of the model.
The results reveal some interesting observations. It has been found that both the components of equity financing - Paid up capital (OSCAP) and Reserves Funds (SURPLUS) - play a central role in the determination of the liquidity position of a firm. It has also been found that Debt Financing may be a cause of the deterioration in the liquidity position of a firm.
1998
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/443/1/MPRA_paper_443.pdf
Ayub, Mehar (1998): A simulation model of corporate finances: A study of the companies listed on Karachi stock exchange. Published in: Conference Proceedings, International Institute of Forecasting, Georgia Institute of Technology, Atlanta (2001) , Vol. 1, No. 2001 (2001): pp. 1-55.
en
oai:mpra.ub.uni-muenchen.de:511
2019-09-30T16:59:11Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D46:4633:463331
7375626A656374733D43:4335:433533
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/511/
Forecasting performance of Logistic STAR exchange rate model: The original and reparameterised versions
Liew, Venus Khim-Sen
Baharumshah, Ahmad Zubaidi
Lau, Sie-Hoe
C51 - Model Construction and Estimation
F31 - Foreign Exchange
C53 - Forecasting and Prediction Methods ; Simulation Methods
Exponential Smooth Transition Autoregressive (ESTAR) model is widely adopted in the exchange rate study as its symmetrical distribution matches that of the symmetrical exchange rate adjustment behaviour. In contrast, another specification of STAR model, namely the LSTAR (logistic STAR) model is discarded by most researchers in priori in their exchange rate modeling exercises due to its undesired property of being asymmetry. This study is the first of its kind in examining the validity of this hypothesis that the ESTAR exchange rate model is superior to LSTAR exchange rate model on the basis of forecasting accuracy. Based on the experience of the adjustment process of two nominal exchange rates, we find that the hypothesis is merely theoretical since we fail to provide consistent empirical evidence in favour of the null hypothesis. This warrants us that we need not be too pessimistic on the usage of LSTAR model in exchange rate study. In our effort to rekindle the usage of LSTAR model, we further reparameterized the original version into the so-called absolute version, which has symmetrical distribution properties, in accordance with the well-known symmetrical adjustment process of exchange rate. The resulting ALSTAR model has proven to be a more promising model in the sense that it has improved significantly from its original version as well as the ESTAR model, which has thus far been deemed the most appropriate nonlinear exchange rate model.
2002-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/511/1/MPRA_paper_511.pdf
Liew, Venus Khim-Sen and Baharumshah, Ahmad Zubaidi and Lau, Sie-Hoe (2002): Forecasting performance of Logistic STAR exchange rate model: The original and reparameterised versions. Published in: Jurnal Akademik No. December (December 2005): pp. 79-91.
en
oai:mpra.ub.uni-muenchen.de:517
2019-09-26T14:34:45Z
7374617475733D756E707562
7375626A656374733D4E:4E31:4E3135
7375626A656374733D46:4631:463134
7375626A656374733D43:4335:433531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/517/
Linearity and stationarity of South Asian real exchange rates
Liew, Venus Khim-Sen
Lee, Hock-Ann
Lim, Kian-Ping
Lee, Huay-Huay
N15 - Asia including Middle East
F14 - Empirical Studies of Trade
C51 - Model Construction and Estimation
The linearity and stationarity of the real exchange rates of India, Nepal, Pakistan and Sri Lanka are investigated using formal linearity and the recently developed nonlinear stationary test procedures. Results obtained show that these real exchange rates are stationary albeit the presence of nonlinearity.
2006-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/517/1/MPRA_paper_517.pdf
Liew, Venus Khim-Sen and Lee, Hock-Ann and Lim, Kian-Ping and Lee, Huay-Huay (2006): Linearity and stationarity of South Asian real exchange rates.
en
oai:mpra.ub.uni-muenchen.de:539
2019-09-26T10:29:37Z
7374617475733D756E707562
7375626A656374733D43:4335:433533
7375626A656374733D43:4335:433531
7375626A656374733D43:4333:433332
7375626A656374733D43:4333:433330
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/539/
The econometrics of violence, terrorism and scenarios for peace in Colombia from 1950 to 2019
Gomez-Sorzano, Gustavo
C53 - Forecasting and Prediction Methods ; Simulation Methods
C51 - Model Construction and Estimation
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C30 - General
Abstract: This paper continues a research born in 1993 as a consequence of the concern regarding the increase in Colombian violence, and especially for its escalation during the 1990’s, its objective is to create an econometric model capable of forecasting the path of terrorist murder under different policy options and helping the country in the design of a state policy drawing the lineaments for reaching the pacification of the country. In the first part I use The Beveridge and Nelson decomposition of economic time series to estimate the cyclical component of murder which is used to construct a theoretically and statistically satisfying model to account for it from 1950 to 2004. The variables that together account for eighty three percent of the variation in cyclical terrorist murder are the years of Colombia’s La Violencia period when the peasant self-defense movements appeared, the years of the so-called National Front political collusion between the two main establishment parties, the real trade balance, the size of Colombia’s military forces as a proxy for all armed forces (military, para-military, guerrilla, and drug-related) in the country, the unemployment rate, the number of students matriculated in all modalities and people displaced in the country. The forecasts for cyclical terrorist murder for 2005-2007 show the big dilemma facing the Colombian authorities: the strong reduction of displaced people from 2003 to 2004 boost the cyclical terrorist murder in the countryside, erasing the initial results by president Uribe’s administration at controlling the intensity of the Colombian civil conflict. The second part presents a first approach at constructing a theoretical near-VAR system for cyclical terrorist murder and social and economic variables in Colombia. The third section presents forecasts 2004-2007 estimated by the single equation model and the near VAR-system. Both models show a jump in terrorist murder by 2004 and 2005 implying that any future policy at diminishing the conflict should control the number of displaced people, one of the biggest problems facing Colombia today. Terrorist murder is expected to decrease again by 2006 and 2007 suggesting that the continuation of The Democratic Security Policy will be destroying the roots of the Colombian civil conflict. The final section presents 11 scenarios 2005-2010 and 18 scenarios 2006-2019. According to them peace will be attained around year 2008 and sustainable peace will be granted before year 2019.
2006-10-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/539/1/MPRA_paper_539.pdf
Gomez-Sorzano, Gustavo (2006): The econometrics of violence, terrorism and scenarios for peace in Colombia from 1950 to 2019.
en
oai:mpra.ub.uni-muenchen.de:646
2019-10-05T16:39:10Z
7374617475733D707562
7375626A656374733D4F:4F35:4F3535
7375626A656374733D4C:4C37:4C3739
7375626A656374733D46:4630:463031
7375626A656374733D4F:4F31:4F3131
7375626A656374733D43:4334:433434
7375626A656374733D43:4335:433531
7375626A656374733D4F:4F32:4F3231
7375626A656374733D4F:4F31:4F3139
7375626A656374733D51:5131:513133
7375626A656374733D4D:4D33:4D3331
7375626A656374733D44:4434:443431
7375626A656374733D4C:4C31:4C3131
7375626A656374733D4F:4F32:4F3234
7375626A656374733D51:5131:513137
7375626A656374733D43:4332:433232
7375626A656374733D46:4631:463134
7375626A656374733D44:4434:443430
7375626A656374733D46:4631:463133
7375626A656374733D45:4533:453330
7375626A656374733D4F:4F31:4F3133
7375626A656374733D4C:4C37:4C3738
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/646/
Causality and Efficiency in the Coffee Futures Market
Kebede, Yohannes
O55 - Africa
L79 - Other
F01 - Global Outlook
O11 - Macroeconomic Analyses of Economic Development
C44 - Operations Research ; Statistical Decision Theory
C51 - Model Construction and Estimation
O21 - Planning Models ; Planning Policy
O19 - International Linkages to Development ; Role of International Organizations
Q13 - Agricultural Markets and Marketing ; Cooperatives ; Agribusiness
M31 - Marketing
D41 - Perfect Competition
L11 - Production, Pricing, and Market Structure ; Size Distribution of Firms
O24 - Trade Policy ; Factor Movement Policy ; Foreign Exchange Policy
Q17 - Agriculture in International Trade
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
F14 - Empirical Studies of Trade
D40 - General
F13 - Trade Policy ; International Trade Organizations
E30 - General
O13 - Agriculture ; Natural Resources ; Energy ; Environment ; Other Primary Products
L78 - Government Policy
Tests for causality and rationality in the coffee futures market were carried out using data from the New York Market. Tests of causality indicated that futures prices strongly influence variations in spot price eight weeks or more to maturity. However, beginning seven weeks to maturity there seems to be a strong causal relationship going from futures to spot and from spot to futures. Risk constancy or neutrality, equality of risk premium and spot price, and efficiency were rejected for the period 18, 51, and 33 weeks or more to maturity. However, simultaneity of risk neutrality and efficiency was accepted for contracts with 55-77 weeks to maturity. The general conclusion from this study is that coffee futures market can be used as an indicator of spot market prices for contracts with 55-77 weeks to maturity. While benefits can be obtained through short term adjustment of available stock and making use of quality storage facilities, planning longer term planting and marketing decisions (e.g., ≥ 77 weeks) on the basis of futures market price can result in misallocation of resources and welfare loss.
1992-03-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/646/1/MPRA_paper_646.pdf
Kebede, Yohannes (1992): Causality and Efficiency in the Coffee Futures Market. Published in: Journal of International Food & Agribusiness Marketing , Vol. 5, No. 1 (1993): pp. 55-71.
en
oai:mpra.ub.uni-muenchen.de:664
2019-10-06T04:23:51Z
7374617475733D756E707562
7375626A656374733D51:5134:513438
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433531
7375626A656374733D51:5135:513537
7375626A656374733D51:5134:513432
7375626A656374733D51:5135:513533
7375626A656374733D51:5134:513433
7375626A656374733D43:4331:433133
7375626A656374733D51:5135:513532
7375626A656374733D50:5031:503132
7375626A656374733D51:5135:513536
7375626A656374733D43:4336:433631
7375626A656374733D43:4335
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/664/
Interrelationships and Causal Linkages Between Socioeconomic and Environmental Factors
Mariam, Yohannes
Barre, Mike
Urquhart, Lynda
DeCivita, Paul
Q48 - Government Policy
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C51 - Model Construction and Estimation
Q57 - Ecological Economics: Ecosystem Services ; Biodiversity Conservation ; Bioeconomics ; Industrial Ecology
Q42 - Alternative Energy Sources
Q53 - Air Pollution ; Water Pollution ; Noise ; Hazardous Waste ; Solid Waste ; Recycling
Q43 - Energy and the Macroeconomy
C13 - Estimation: General
Q52 - Pollution Control Adoption and Costs ; Distributional Effects ; Employment Effects
P12 - Capitalist Enterprises
Q56 - Environment and Development ; Environment and Trade ; Sustainability ; Environmental Accounts and Accounting ; Environmental Equity ; Population Growth
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C5 - Econometric Modeling
The purpose of this study was to examine interrelationship and causal linkages between socioeconomic and environmental variables in OECD countries. To aid this study, a LISREL modelling tool was implemented.
The findings of the study indicated that gross public debt increases with deterioration in air quality in North America, Asia and the Pacific, Central, Eastern and Atlantic regions of Western Europe. Energy consumption contributes to deterioration of air quality in all regions. Economic growth, measured by growth in GDP, accelerates deterioration of air quality in all regions except in Southern and Eastern regions of Western Europe. Increases in energy consumption and economic growth contribute to declines in gross public debt in most OECD countries.
Spending for environmental protection contributes to reduced emission of CO2 in all regions of Europe except Asia/Pacific and North America. Expenditure for environmental protection causes increases in public debt in all regions. However, environmental expenditure exerts positive impact on economic growth in Asia/Pacific and Central Europe. Spending in environmental protection is associated with reduction in emissions of most pollutants except in North America and Asia/Pacific and Southern regions of Western Europe.
The findings also indicated that in regions where emission of SO2 is the greatest, harvesting of forests increased while fish catches declined. Emission of NOx is associated with increases in agricultural production in most regions, except in Southern and Atlantic regions of Western Europe and North America. Emission of VOCs contributed to reduction in agricultural production in most regions except in Central regions of Western Europe. In summary, economic growth tends to significantly contribute to energy consumption and deterioration of air quality. However, the later can be improved through aggressive spending in environmental protection. Therefore, it is imperative to identify a strategy that would balance economic growth and energy consumption with improved environmental quality
1997
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/664/1/MPRA_paper_664.pdf
Mariam, Yohannes and Barre, Mike and Urquhart, Lynda and DeCivita, Paul (1997): Interrelationships and Causal Linkages Between Socioeconomic and Environmental Factors.
en
oai:mpra.ub.uni-muenchen.de:666
2019-09-27T16:49:44Z
7374617475733D756E707562
7375626A656374733D43:4334:433434
7375626A656374733D51:5134:513438
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433531
7375626A656374733D51:5135:513537
7375626A656374733D51:5135:513534
7375626A656374733D51:5135
7375626A656374733D51:5135:513531
7375626A656374733D51:5134:513433
7375626A656374733D43:4334:433436
7375626A656374733D43:4333:433339
7375626A656374733D51:5135:513535
7375626A656374733D51:5135:513532
7375626A656374733D51:5135:513536
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/666/
Causal Relationship Between Indicators of Human Health, the Environment and Socioeconomic Variables for the OECD Countries
Mariam, Yohannes
C44 - Operations Research ; Statistical Decision Theory
Q48 - Government Policy
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C51 - Model Construction and Estimation
Q57 - Ecological Economics: Ecosystem Services ; Biodiversity Conservation ; Bioeconomics ; Industrial Ecology
Q54 - Climate ; Natural Disasters and Their Management ; Global Warming
Q5 - Environmental Economics
Q51 - Valuation of Environmental Effects
Q43 - Energy and the Macroeconomy
C46 - Specific Distributions ; Specific Statistics
C39 - Other
Q55 - Technological Innovation
Q52 - Pollution Control Adoption and Costs ; Distributional Effects ; Employment Effects
Q56 - Environment and Development ; Environment and Trade ; Sustainability ; Environmental Accounts and Accounting ; Environmental Equity ; Population Growth
There has been a lot of debate regarding the impact of emissions of pollutants on human health and the environment. Epidemiological studies tend to show the impact of increased ambient concentrations of pollutants on increased hospital admissions, mortality, morbidity, respiratory problems, etc. Without controlled experiments that compare people who are exposed to contaminants to those who are not, it is impossible to predict the causes and effects with certainty. Nevertheless, estimates of human and environmental health benefits from improved air quality indicate that there are associations between ambient concentrations of contaminants, human health and environmental impacts.
The present study examines the linkages between human health, environmental quality, and emission of pollutants and selected socioeconomic variables for selected OECD regions. Path or causal models will be constructed using health, socioeconomic and environmental parameters to determine the direction of causal relationships, their magnitude and possible implication for public policy making. This analysis will be performed for the OECD countries, and selected regions of the OECD (North America, the Pacific Rim, and Europe). Comparative analysis of the relationships between human health, socioeconomic and environmental variables among the OECD countries will indicate, among other things, i) whether or not environmental quality is an important determinant of human health, ii) whether or not spending on health care system is significantly influenced by indicators of health status that are included by environmental variables, and iii) which socioeconomic variables are significantly associated with indicators of human and the environment health.
1999-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/666/1/MPRA_paper_666.pdf
Mariam, Yohannes (1999): Causal Relationship Between Indicators of Human Health, the Environment and Socioeconomic Variables for the OECD Countries.
en
oai:mpra.ub.uni-muenchen.de:669
2019-10-05T16:35:05Z
7374617475733D756E707562
7375626A656374733D51:5133:513332
7375626A656374733D51:5133:513338
7375626A656374733D43:4335:433531
7375626A656374733D51:5135:513537
7375626A656374733D51:5135
7375626A656374733D51:5135:513531
7375626A656374733D51:5132
7375626A656374733D43:4334:433436
7375626A656374733D43:4331:433133
7375626A656374733D51:5133:513331
7375626A656374733D51:5135:513536
7375626A656374733D43:4335:433533
7375626A656374733D43:4332:433232
7375626A656374733D51:5135:513534
7375626A656374733D51:5133:513334
7375626A656374733D51:5135:513533
7375626A656374733D51:5134:513433
7375626A656374733D51:5135:513532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/669/
Trends in Resource Extraction and Implications for Sustainability in Canada
Mariam, Yohannes
Q32 - Exhaustible Resources and Economic Development
Q38 - Government Policy
C51 - Model Construction and Estimation
Q57 - Ecological Economics: Ecosystem Services ; Biodiversity Conservation ; Bioeconomics ; Industrial Ecology
Q5 - Environmental Economics
Q51 - Valuation of Environmental Effects
Q2 - Renewable Resources and Conservation
C46 - Specific Distributions ; Specific Statistics
C13 - Estimation: General
Q31 - Demand and Supply ; Prices
Q56 - Environment and Development ; Environment and Trade ; Sustainability ; Environmental Accounts and Accounting ; Environmental Equity ; Population Growth
C53 - Forecasting and Prediction Methods ; Simulation Methods
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
Q54 - Climate ; Natural Disasters and Their Management ; Global Warming
Q34 - Natural Resources and Domestic and International Conflicts
Q53 - Air Pollution ; Water Pollution ; Noise ; Hazardous Waste ; Solid Waste ; Recycling
Q43 - Energy and the Macroeconomy
Q52 - Pollution Control Adoption and Costs ; Distributional Effects ; Employment Effects
There is a disagreement on the concept, definition and application of the paradigm of sustainable development. The definition that has been accepted by many involves several components, and it is difficult to measure or quantify indicators. Depending on the structure of the economy, it is possible to identify important variables and examine some aspects of sustainability. In this respect, analysis of indicators related to the extraction of natural resources seems to be appropriate for a resource-based economy.
For resource-based economy such as Canada is the speed with which natural resources are extracted greatly influence patterns of growth and development. Indicators can be established to measure the progress toward to or demise of sustainability. Indicators that deal with the speed with which resources such as non-renewable energy, minerals, forests, soil, water, etc., have been utilized to examine aspects of sustainability. However, these indicators have been argued to provide less guidance for the implementation of feasible public policies unless supplemented by other kinds of analyses that relate resource use with socioeconomic parameters.
The utilization of resources could be evaluated in relation to available stock as a proxy for progress toward sustainability. The extraction of resources may also cause major environmental problems due to the release of pollutants or wastes that requires an increasing amount of expenditure for environmnetal protection. This is crucial for countries such as Canada whose major export is dependent on availability of natural resources and heavily impacted by external public debt.
The present study will examine stock, depletion and addition of natural resources to evaluate sustainability of consumption patterns. In addition, the consumption of these resources will be compared with selected socioeconomic indicators such as GDP, employment, etc., to anticipate whether or not these factors may have contributed to increased consumption of natural resources. Furthermore, attempts will be made to investigate the patterns of expenditure to protect the environment from wastes and pollutants. The findings of this study could serve as an early warning system with respect to depletion of resources and their consequent environmental impacts.
1999-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/669/1/MPRA_paper_669.pdf
Mariam, Yohannes (1999): Trends in Resource Extraction and Implications for Sustainability in Canada.
en
oai:mpra.ub.uni-muenchen.de:1141
2019-09-27T10:38:41Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1141/
Does Ramadan Have Any Effect on Food Prices: A Dual-Calendar Perspective on the Turkish Data
Yucel, Eray M.
C51 - Model Construction and Estimation
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
The effects of a specific religious tradition on the food prices establish the central theme of this paper. In specific, I investigate whether the month Ramadan has any effect on food prices. I perform the analysis under two alternative calendar conventions, namely the Gregorian and Hijri calendars. Under both conventions, the paper reveals the effects of Ramadan, yet these effects are better captured when the latter is used. This highlights the importance of the calendar choice on econometric analysis, on the basis of a simple-yet-genuine socio-economic exercise. Possible benefits from this exercise in pedagogical terms as well as in inflation forecasting are also addressed.
2005-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1141/1/MPRA_paper_1141.pdf
Yucel, Eray M. (2005): Does Ramadan Have Any Effect on Food Prices: A Dual-Calendar Perspective on the Turkish Data.
en
oai:mpra.ub.uni-muenchen.de:1144
2019-10-01T14:33:37Z
7374617475733D756E707562
7375626A656374733D43:4335:433533
7375626A656374733D44:4434:443431
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433531
7375626A656374733D4C:4C31:4C3131
7375626A656374733D44:4432:443231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1144/
A structural model for corporate profit in the U.S. industry
Gomez-Sorzano, Gustavo
C53 - Forecasting and Prediction Methods ; Simulation Methods
D41 - Perfect Competition
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C51 - Model Construction and Estimation
L11 - Production, Pricing, and Market Structure ; Size Distribution of Firms
D21 - Firm Behavior: Theory
I estimate a theoretically and statistically satisfying model to account for corporate profit represented by Net Rental Income (NRI) for one of the largest Real Estate Investment Trust companies (REIT) in the U.S. I claim that I have found an accurate method to forecasts the direction and dollar amount of corporate profit in the apartment industry in The U.S. that can be extended to the remaining branches of the U.S. industry. The variables that together account for ninety seven percent of the variation in NRI for this apartment company are, one-period time lag of lease renewals, the Federal Funds interest rate end of month, total gross potential of the company, total concessions, two-period time lag of move-ins, the ratio between total non-farm employment and total construction permits authorized, the inventory of houses in the U.S, one-period time lag of move-outs and this REIT apartment units occupied.
2006-05-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1144/1/MPRA_paper_1144.pdf
Gomez-Sorzano, Gustavo (2006): A structural model for corporate profit in the U.S. industry.
en
oai:mpra.ub.uni-muenchen.de:1308
2019-09-26T19:01:47Z
7374617475733D756E707562
7375626A656374733D45:4536:453631
7375626A656374733D45:4533:453332
7375626A656374733D43:4335:433531
7375626A656374733D46:4631:463130
7375626A656374733D43:4335
7375626A656374733D45:4533:453337
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1308/
Les sources des fluctuations marcoéconomiques au Cameroun
ODIA NDONGO, Yves Francis
E61 - Policy Objectives ; Policy Designs and Consistency ; Policy Coordination
E32 - Business Fluctuations ; Cycles
C51 - Model Construction and Estimation
F10 - General
C5 - Econometric Modeling
E37 - Forecasting and Simulation: Models and Applications
This work aims at analysing the dynamics of macroeconomic fluctuations in Cameroon, using a semi-structural VAR to determine the sources of its macroeconomic fluctuations.
The results obtained point out that the macroeconomic fluctuations in Cameroon, even though influenced by external shocks, are deeply tributary of internal shocks, notably on public expenses.
2007-01-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1308/1/MPRA_paper_1308.pdf
ODIA NDONGO, Yves Francis (2007): Les sources des fluctuations marcoéconomiques au Cameroun.
fr
oai:mpra.ub.uni-muenchen.de:1418
2019-10-08T06:25:39Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4334:433436
7375626A656374733D47:4731:473131
7375626A656374733D43:4338:433837
7375626A656374733D47:4733:473332
7375626A656374733D47:4731:473138
7375626A656374733D47:4731:473132
7375626A656374733D43:4338:433832
7375626A656374733D47:4731:473135
7375626A656374733D43:4333:433333
7375626A656374733D43:4331:433133
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1418/
The determinants of the Harare Stock Exchange (HSE) market capitalisation
Ilmolelian, Peter
C51 - Model Construction and Estimation
C46 - Specific Distributions ; Specific Statistics
G11 - Portfolio Choice ; Investment Decisions
C87 - Econometric Software
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
G18 - Government Policy and Regulation
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data ; Data Access
G15 - International Financial Markets
C33 - Panel Data Models ; Spatio-temporal Models
C13 - Estimation: General
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used 1976-1996 quarterly data from the International Finance Corporation (IFC) and Microfit was used to analyse the data. Using the assumption that market size is positively correlated with the ability to mobilise capital and diversify risk, the study findings suggest that share price and the exchange rate are the most important determinants of the HSE market capitalisation. The study suggests that further in-depth research into the determinants of market capitalisation for the African and other emerging stock markets is required to identify best ways of developing these markets within the global financial system while at the same time promoting local economic growth. The paper begins with an introduction about the HSE followed by short description of stock markets in developing countries. The second part of the paper outlines the theory behind market capitalisation, the development of of the general econometric model and specific cointegrating regression model and the results from the analysis. The third section provides conclusions and policy implications associated with encouraging the stock markets in the emerging stock markets with particular reference to the HSE.
2005-11-20
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1418/1/MPRA_paper_1418.pdf
Ilmolelian, Peter (2005): The determinants of the Harare Stock Exchange (HSE) market capitalisation. Published in: EconPapers No. http://econpapers.repec.org/paper/wpawuwpem/0511016.htm
en
oai:mpra.ub.uni-muenchen.de:1675
2019-10-07T01:36:04Z
7374617475733D756E707562
7375626A656374733D4F:4F35:4F3535
7375626A656374733D4F:4F34:4F3437
7375626A656374733D43:4332:433231
7375626A656374733D4F:4F31:4F3134
7375626A656374733D43:4335:433531
7375626A656374733D4F:4F34:4F3431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1675/
Intensity of technology use and per capita real GDP across some African countries
Amavilah, Voxi Heinrich
O55 - Africa
O47 - Empirical Studies of Economic Growth ; Aggregate Productivity ; Cross-Country Output Convergence
C21 - Cross-Sectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions
O14 - Industrialization ; Manufacturing and Service Industries ; Choice of Technology
C51 - Model Construction and Estimation
O41 - One, Two, and Multisector Growth Models
African countries may have fared poorly compared to some countries in other regions, but relative to their own performance history some African countries have done quite well over the past eight years. In particular 2004 and 2005 were especially good years. How can such performance be made to stick and even expand? The answer to that question requires better understanding of the source of good performance. This paper proceeds on the assumption that technology was, at least partially, responsible. The result shows that a feeble technology undercuts per capita real GDP across African countries. However, the impacts of new technologies, measured by the intensities of internet and cell phone use are very strong. The policy implication of the findings speaks to the need for investment in new technologies for which productivity is high and the adoption and diffusion costs seem low. Further research can clarify the findings and policy by expanding and improving the data coverage, and examining effects on income of different kinds of technologies.
2006-11-18
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1675/1/MPRA_paper_1675.pdf
Amavilah, Voxi Heinrich (2006): Intensity of technology use and per capita real GDP across some African countries.
en
oai:mpra.ub.uni-muenchen.de:1777
2019-09-28T04:43:55Z
7374617475733D756E707562
7375626A656374733D43:4332:433231
7375626A656374733D43:4331:433135
7375626A656374733D43:4335:433531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1777/
Is spatial dependence an instantaneous effect? Some evidence in economic series of Spanish provinces.
Chasco, Coro
López, Fernando
C21 - Cross-Sectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions
C15 - Statistical Simulation Methods: General
C51 - Model Construction and Estimation
The purpose of this article is to analyze if spatial dependence is a synchronic effect, as it has usually been defined. It is known that in many socio-economic phenomena spatial dependence can be not only contemporary but also time-lagged. In this paper, we use two Moran-based space-time autocorrelation statistics in order to evaluate the simultaneity of this spatial effect, allowing for mixed specifications with instantaneous and space-time dependence terms. Some applications with economic data for Spanish provinces shed some light upon these issues.
2006-12-13
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1777/1/MPRA_paper_1777.pdf
Chasco, Coro and López, Fernando (2006): Is spatial dependence an instantaneous effect? Some evidence in economic series of Spanish provinces.
en
oai:mpra.ub.uni-muenchen.de:1794
2019-09-26T18:11:12Z
7374617475733D756E707562
7375626A656374733D45:4533:453332
7375626A656374733D43:4335:433531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1794/
Market structure and business cycles: Do nominal rigidities influence the importance of real shocks?
Dave, Chetan
Dressler, Scott
E32 - Business Fluctuations ; Cycles
C51 - Model Construction and Estimation
This paper investigates the relative importance of shocks to total factor productivity (TFP) versus the marginal efficiency of investment (MEI) in explaining cyclical variations. The literature offers contrasting results: TFP shocks are important in neoclassical environments, while relatively unimportant in neo-Keynesian environments. A model with endogenous capital utilization captures both results depending upon the degree of nominal rigidity. In the model, MEI shocks create a wedge between the nominal returns on bonds and capital. Nominal rigidities activate this wedge and place the relative importance on MEI shocks, while TFP shocks dominate when prices are perfectly flexible.
2007-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1794/1/MPRA_paper_1794.pdf
Dave, Chetan and Dressler, Scott (2007): Market structure and business cycles: Do nominal rigidities influence the importance of real shocks?
en
oai:mpra.ub.uni-muenchen.de:1819
2019-09-28T10:22:18Z
7374617475733D756E707562
7375626A656374733D51:5135:513531
7375626A656374733D51:5135:513536
7375626A656374733D43:4335:433531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1819/
Economic Valuation of Environmental Values of the Landscape Development and Protection Area of Volcji Potok
Verbic, Miroslav
Erker, Renata
Q51 - Valuation of Environmental Effects
Q56 - Environment and Development ; Environment and Trade ; Sustainability ; Environmental Accounts and Accounting ; Environmental Equity ; Population Growth
C51 - Model Construction and Estimation
When the market for a certain good is competitive enough, economic activities can be studied by the market pricing mechanism. Because this is usually not feasible in case of environmental goods with embodied natural and cultural heritage, particular methods for economic valuation of such goods have to be applied. The present article represents the economic valuation of the Landscape Development and Protection Area of Vol誩 Potok, which is an important Slovenian cultural landscape area with internationally recognized characteristics. For this purpose we have chosen the method of contingent valuation and performed an econometric analysis of stated and true willingness-to-pay. We obtained the value of willingness-to-pay and determined its determinants. We also made an attempt to control for different biases that arise in such analyses. At last, we used the adjusted average individual value of willingness-to-pay to calculate the aggregate willingness-to-pay.
2007-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1819/1/MPRA_paper_1819.pdf
Verbic, Miroslav and Erker, Renata (2007): Economic Valuation of Environmental Values of the Landscape Development and Protection Area of Volcji Potok.
en
oai:mpra.ub.uni-muenchen.de:1893
2019-10-06T10:36:17Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4332:433230
7375626A656374733D43:4331:433132
7375626A656374733D43:4331:433133
7375626A656374733D43:4335:433532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1893/
The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation
Pötscher, Benedikt M.
C51 - Model Construction and Estimation
C20 - General
C12 - Hypothesis Testing: General
C13 - Estimation: General
C52 - Model Evaluation, Validation, and Selection
The finite-sample as well as the asymptotic distribution of Leung and
Barron's (2006) model averaging estimator are derived in the context of a
linear regression model. An impossibility result regarding the estimation of
the finite-sample distribution of the model averaging estimator is obtained.
2006-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1893/1/MPRA_paper_1893.pdf
Pötscher, Benedikt M. (2006): The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation. Published in: IMS Lecture Notes , Vol. 52, (2006): pp. 113-129.
en
oai:mpra.ub.uni-muenchen.de:1895
2019-09-29T12:57:52Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4332:433230
7375626A656374733D43:4331:433132
7375626A656374733D43:4331:433133
7375626A656374733D43:4335:433532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1895/
Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?
Leeb, Hannes
Pötscher, Benedikt M.
C51 - Model Construction and Estimation
C20 - General
C12 - Hypothesis Testing: General
C13 - Estimation: General
C52 - Model Evaluation, Validation, and Selection
We consider the problem of estimating the unconditional distribution of a post-model-selection estimator. The notion of a post-model-selection estimator here refers to the combined procedure resulting from first selecting a model (e.g., by a model selection criterion like AIC or by a hypothesis testing procedure) and then estimating the parameters in the selected model (e.g., by least-squares or maximum likelihood), all based on the same data set. We show that it is impossible to estimate the unconditional distribution with reasonable accuracy even asymptotically. In particular, we show that no estimator for this distribution can be uniformly consistent (not even locally). This follows as a corollary to (local) minimax lower bounds on the performance of estimators for the distribution; performance is here measured by the probability that the estimation error exceeds a given threshold. These lower bounds are shown to approach 1/2 or even 1 in large samples, depending on the situation considered. Similar impossibility results are also obtained for the distribution of linear functions (e.g., predictors) of the post-model-selection estimator.
2005-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1895/1/MPRA_paper_1895.pdf
Leeb, Hannes and Pötscher, Benedikt M. (2005): Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?
en
oai:mpra.ub.uni-muenchen.de:1964
2019-09-26T08:30:50Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D47:4732:473231
7375626A656374733D47:4731:473135
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1964/
Banking integration and co-movements in EU banks’ fragility
Vulpes, Giuseppe
Brasili, Andrea
C51 - Model Construction and Estimation
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G15 - International Financial Markets
The aim of this paper is to verify whether and to which extent co-movements in EU banks’ risk, i.e. their degree of exposures of European banks to common shocks, have increased in time, following the completion of Monetary Union, the introduction of the euro and the process of European banking integration. To this end, we provide a measure of co-movements in bank risk by means of a dynamic factor model, which allows to decompose an indicator of bank fragility, the Distance-to-Default, into three main components: an EU-wide, a country-specific and a bank-level idiosyncratic component. Our results show the commonality in bank risk appears to have significantly increased since 1999, in particular if one concentrates on large banks. We also show that co-movements in EU banks’ fragility are only in part related to common macro shocks and that a banking system specific component at the EU-wide level appears relevant. This has obvious consequences in terms of systemic stability, but may also have far reaching policy implications with regards to the structuring of banking supervision in Europe
2006-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1964/1/MPRA_paper_1964.pdf
Vulpes, Giuseppe and Brasili, Andrea (2006): Banking integration and co-movements in EU banks’ fragility.
en
oai:mpra.ub.uni-muenchen.de:1985
2019-09-27T21:15:23Z
7374617475733D756E707562
7375626A656374733D43:4331:433135
7375626A656374733D43:4335:433531
7375626A656374733D43:4332:433231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1985/
Time-trend in spatial dependence: Specification strategy in the first-order spatial autoregressive model
López, Fernando
Chasco, Coro
C15 - Statistical Simulation Methods: General
C51 - Model Construction and Estimation
C21 - Cross-Sectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions
The purpose of this article is to analyze if spatial dependence is a synchronic effect in the first-order spatial autoregressive model, SAR(1). Spatial dependence can be not only contemporary but also time-lagged in many socio-economic phenomena. In this paper, we use three Moran-based space-time autocorrelation statistics to evaluate the simultaneity of this spatial effect. A simulation study shed some light upon these issues, demonstrating the capacity of these tests to identify the structure (only instant, only time-lagged or both instant and time-lagged) of spatial dependence in most cases.
2007-03-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1985/1/MPRA_paper_1985.pdf
López, Fernando and Chasco, Coro (2007): Time-trend in spatial dependence: Specification strategy in the first-order spatial autoregressive model.
en
oai:mpra.ub.uni-muenchen.de:2209
2019-09-27T21:28:16Z
7374617475733D707562
7375626A656374733D46:4631:463135
7375626A656374733D46:4633:463336
7375626A656374733D43:4335:433531
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2209/
Dynamic Financial Linkages of Japan and ASEAN Economies: An Application of Real Interest Parity
Chan, Tze-Haw
Khong, Wye Leong Roy
Baharumshah, Ahmad Zubaidi
F15 - Economic Integration
F36 - Financial Aspects of Economic Integration
C51 - Model Construction and Estimation
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
To examine the validity of real interest parity (RIP), this study provides empirical evidences concerning the dynamic linkages of real interest rates among ASEAN-5 and the mean reversion behaviors of real interest differentials of ASEAN-5.vis-à-vis Japan during the post liberalization era (1984-1997). The upshots of our findings are four-fold. First, there were co-movement of ASEAN real rates in the long run and dynamic causalities in the short run, which explicitly indicated a monetary inter-dependency among the ASEAN tigers. Second, most of the forecast error variance of real interest rates in own country can be attributed to other ASEAN-4’s innovations (more than 50%), which partly explain the contagion effects during Asia crisis 1997/98. Third, the real interest differentials are mean reverting over time, implying that RIP holds between Japan and ASEANs (except Singapore). Forth, the half-lives are reported at approximately 6 to 11 months, which reflect the considerably small deviations from RIP. All together, the findings constitute towards regional financial integration with the Japan’s leading role being confirmed. To great extent, this would support the recent proposal of Currency Union with Japanese Yen taken as common currency.
2003
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2209/1/MPRA_paper_2209.pdf
Chan, Tze-Haw and Khong, Wye Leong Roy and Baharumshah, Ahmad Zubaidi (2003): Dynamic Financial Linkages of Japan and ASEAN Economies: An Application of Real Interest Parity. Published in: Capital Markets Review , Vol. 11 (1, No. special issue (2003): pp. 23-40.
en
oai:mpra.ub.uni-muenchen.de:2711
2019-09-29T00:42:02Z
7374617475733D756E707562
7375626A656374733D43:4331:433134
7375626A656374733D47:4731
7375626A656374733D43:4335:433531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2711/
Portfolio Value-at-Risk with Time-Varying Copula: Evidence from the Americas
Ozun, Alper
Cifter, Atilla
C14 - Semiparametric and Nonparametric Methods: General
G1 - General Financial Markets
C51 - Model Construction and Estimation
Model risk in the estimation of value-at-risk is a challenging threat for the success of any financial investments. The degree of the model risk increases when the estimation process is constructed with a portfolio in the emerging markets. The proper model should both provide flexible joint distributions by splitting the marginality from the dependencies among the financial assets within the portfolio and also capture the non-linear behaviours and extremes in the returns arising from the special features of the emerging markets. In this paper, we use time-varying copula to estimate the value-at-risk of the portfolio comprised of the Bovespa and the IPC Mexico in equal and constant weights. The performance comparison of the copula model to the EWMA portfolio model made by the Christoffersen back-test shows that the copula model captures the extremes most successfully. The copula model, by estimating the portfolio value-at-risk with the least violation number in the back-tests, provides the investors to allocate the minimum regulatory capital requirement in accordance with the Basel II Accord.
2007-04-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2711/1/MPRA_paper_2711.pdf
Ozun, Alper and Cifter, Atilla (2007): Portfolio Value-at-Risk with Time-Varying Copula: Evidence from the Americas.
en
oai:mpra.ub.uni-muenchen.de:3149
2019-09-27T06:55:45Z
7374617475733D756E707562
7375626A656374733D45:4533:453331
7375626A656374733D43:4335:433533
7375626A656374733D43:4335:433531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3149/
Inflation in Croatia with outlook to future
Paunić, Alida
E31 - Price Level ; Inflation ; Deflation
C53 - Forecasting and Prediction Methods ; Simulation Methods
C51 - Model Construction and Estimation
Central Banks have gained much credibility in controlling one important macroeconomic variable: inflation. This paper tries to examine the relation between inflation and other economic variables in Croatia by searching for the best forecasting model.
2007-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3149/1/MPRA_paper_3149.pdf
Paunić, Alida (2007): Inflation in Croatia with outlook to future.
en
oai:mpra.ub.uni-muenchen.de:3187
2019-09-27T11:15:17Z
7374617475733D756E707562
7375626A656374733D47:4730
7375626A656374733D45:4532:453231
7375626A656374733D47:4732:473230
7375626A656374733D43:4335:433531
7375626A656374733D47:4732:473231
7375626A656374733D47:4731:473131
7375626A656374733D45:4532:453234
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3187/
CONSUMER CREDIT DELINQUENCY AND BANKRUPTCY FORECASTING USING ADVANCED ECONOMETRC MODELING
Ji, Tingting
G0 - General
E21 - Consumption ; Saving ; Wealth
G20 - General
C51 - Model Construction and Estimation
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
G11 - Portfolio Choice ; Investment Decisions
E24 - Employment ; Unemployment ; Wages ; Intergenerational Income Distribution ; Aggregate Human Capital ; Aggregate Labor Productivity
This research paper empirically shows that unemployment is significant in determining both consumer bankruptcy filings and delinquency even after controlling for household demographics. Furthermore, I show that unemployment and the debt/wealth ratio also affect the choice of whether to file for bankruptcy under chapter 7 or chapter 13, after controlling for demographics. The paper then points out some of the implications the empirical results have for policy-makers and banking regulators.
2004-10-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3187/1/MPRA_paper_3187.pdf
Ji, Tingting (2004): CONSUMER CREDIT DELINQUENCY AND BANKRUPTCY FORECASTING USING ADVANCED ECONOMETRC MODELING.
en
oai:mpra.ub.uni-muenchen.de:3258
2019-09-27T03:38:07Z
7374617475733D756E707562
7375626A656374733D43:4335:433530
7375626A656374733D43:4335:433533
7375626A656374733D43:4335:433532
7375626A656374733D43:4335:433531
7375626A656374733D51:5134:513439
7375626A656374733D51:5134:513430
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3258/
Structural breaks and energy efficiency in Fiji
Rao, B. Bhaskara
Rao, Gyaneshwar
C50 - General
C53 - Forecasting and Prediction Methods ; Simulation Methods
C52 - Model Evaluation, Validation, and Selection
C51 - Model Construction and Estimation
Q49 - Other
Q40 - General
This paper examines how energy-output ratios in Fiji have responded to the energy crises and in particular if they have declined after the shocks. The expectation is that energy efficiency should improve after the oil shocks. For this purpose we used at first a few simpler procedures and then the recently developed tests for structural breaks by Bai and Perron (1998 and 2003).
2007-05-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3258/1/MPRA_paper_3258.pdf
Rao, B. Bhaskara and Rao, Gyaneshwar (2007): Structural breaks and energy efficiency in Fiji.
en
oai:mpra.ub.uni-muenchen.de:3482
2019-09-27T10:27:06Z
7374617475733D756E707562
7375626A656374733D44:4438:443830
7375626A656374733D4F:4F35:4F3535
7375626A656374733D43:4335:433531
7375626A656374733D4F:4F34:4F3431
7375626A656374733D44:4438:443833
7375626A656374733D43:4332:433232
7375626A656374733D4F:4F34:4F3437
7375626A656374733D4F:4F33:4F3333
7375626A656374733D43:4333:433333
7375626A656374733D49:4932:493239
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3482/
The effects of technology-as-knowledge on the economic performance of developing countries: An econometric analysis using annual publications data for Botswana, Namibia, and South Africa, 1976-2004
Amavilah, Voxi Heinrich
D80 - General
O55 - Africa
C51 - Model Construction and Estimation
O41 - One, Two, and Multisector Growth Models
D83 - Search ; Learning ; Information and Knowledge ; Communication ; Belief ; Unawareness
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
O47 - Empirical Studies of Economic Growth ; Aggregate Productivity ; Cross-Country Output Convergence
O33 - Technological Change: Choices and Consequences ; Diffusion Processes
C33 - Panel Data Models ; Spatio-temporal Models
I29 - Other
Extant literature indicates that technology, and by implication its underlying knowledge base, determines long-run economic performance. Absent from the literature with respect to developing countries are quantitative assessments of the nexus between technology as knowledge and economic performance. This paper imposes a simple production function on annual pooled observations on Botswana, Namibia, and South Africa over the 1976-2004 period to estimate the marginal impacts of technology as knowledge on economic performance. It finds that capital (k), openness to trade (τ), and even the share of government expenditure of GDP (G) among other factors, influence economic performance. However, the economic performance of countries like Botswana, Namibia, and South Africa depends largely on technology, technological change, and the basic knowledge that forms the foundation for both. For instance, measured as a homogenous “manna from heaven”, technology is the strongest determinant of real per capita income of the three nations. The strength of technology as a determinant of performance depends on the knowledge underpinnings of technology measured as the number of publications (Q, q). Both Q and q are strongly correlated with the countries’ performance. This suggests that the “social capability” and “technological congruence” of these countries are improving, and that developing countries like Botswana, Namibia, and South Africa gain from increased investment in knowledge-building activities including publishing. Obviously there is room for strengthening results, but this analysis has succeeded in producing a testable hypothesis.
2007-06-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3482/1/MPRA_paper_3482.pdf
Amavilah, Voxi Heinrich (2007): The effects of technology-as-knowledge on the economic performance of developing countries: An econometric analysis using annual publications data for Botswana, Namibia, and South Africa, 1976-2004.
en
oai:mpra.ub.uni-muenchen.de:4021
2019-09-30T22:14:06Z
7374617475733D756E707562
7375626A656374733D43:4335:433532
7375626A656374733D43:4335:433531
7375626A656374733D43:4332:433232
7375626A656374733D45:4533:453332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4021/
Does Black’s Hypothesis for Output Variability Hold for Mexico?
Macri, Joseph
Sinha, Dipendra
C52 - Model Evaluation, Validation, and Selection
C51 - Model Construction and Estimation
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
E32 - Business Fluctuations ; Cycles
Using two data series, namely GDP and the index of industrial production, we study the relationship between output variability and the growth rate of output. Ng-Perron unit root test shows that the growth rate of GDP is non-stationary but the growth rate of industrial output is stationary. Thus, we use the ARCH-M model for the monthly data of industrial output. A number of specifications (with and without a dummy variable) are used. In all cases, the results show that output variability has a negative but insignificant effect on the growth rate of output.
2007-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4021/1/MPRA_paper_4021.pdf
Macri, Joseph and Sinha, Dipendra (2007): Does Black’s Hypothesis for Output Variability Hold for Mexico?
en
oai:mpra.ub.uni-muenchen.de:4042
2019-10-03T04:29:53Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D45:4533:453332
7375626A656374733D43:4333:433332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4042/
A real-time recession indicator for the Euro area
Ferrara, Laurent
C51 - Model Construction and Estimation
E32 - Business Fluctuations ; Cycles
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
In this paper, we propose a new coincident monthly indicator to detect in real-time the start and the
end of an economic recession phase for the Euro area. In this respect, we use the methodology
proposed in Anas and Ferrara (2002, 2004) as regards the recession indicator for the US, based on
Markov-Switching processes popularized in economics by Hamilton (1989). By using a set of four
monthly time series, we show that this start-end recession indicator (SERI) is able to reproduce all the
recession phases experienced by the Euro area since 1970. Concerning the last low phase of the
growth cycle in the Euro area, started in 2001, empirical results show that the Euro area experienced a
« quasi-recession » phase, located between the end of the 2001 year and the beginning of 2002,
without a global recession. This is due to a lack of diffusion of this phenomena among the main Eurozone
countries, though it was synchronized.
2006-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4042/1/MPRA_paper_4042.pdf
Ferrara, Laurent (2006): A real-time recession indicator for the Euro area.
en
oai:mpra.ub.uni-muenchen.de:4043
2019-10-02T16:49:16Z
7374617475733D707562
7375626A656374733D45:4533:453332
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4043/
Un indicateur d'entrée et sortie de récession: application aux Etats-Unis
Anas, Jacques
Ferrara, Laurent
E32 - Business Fluctuations ; Cycles
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C51 - Model Construction and Estimation
This working paper presents a new coincident economic indicator developed by the COE, able to
detect in real time peaks and troughs of the american business cycle. This probabilistic indicator is
based on the Markov-Switching model proposed by Hamilton (1989), applied to various economic
time series carefully chosen. The filtered probabilities stemming from these series are combined by
taking into account the risks of false signals in order to provide a recession probability. This new
indicator fruitfully completes the leading indicator IARC, released monthly by the COE, which
aims at forecasting the fluctuations of the growth cycle. It is planned to apply this new indicator to
the eurozone in the next future.
2002-07-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4043/1/MPRA_paper_4043.pdf
Anas, Jacques and Ferrara, Laurent (2002): Un indicateur d'entrée et sortie de récession: application aux Etats-Unis. Published in: Document de travail du COE No. 58 : pp. 1-56.
fr
oai:mpra.ub.uni-muenchen.de:4235
2019-09-28T14:29:20Z
7374617475733D756E707562
7375626A656374733D43:4335:433533
7375626A656374733D43:4335
7375626A656374733D43:4335:433531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4235/
Forecasting VARMA processes using VAR models and subspace-based state space models
Izquierdo, Segismundo S.
Hernández, Cesáreo
del Hoyo, Juan
C53 - Forecasting and Prediction Methods ; Simulation Methods
C5 - Econometric Modeling
C51 - Model Construction and Estimation
VAR modelling is a frequent technique in econometrics for linear processes. VAR modelling offers some desirable features such as relatively simple procedures for model specification (order selection) and the possibility of obtaining quick non-iterative maximum likelihood estimates of the system parameters. However, if the process under study follows a finite-order VARMA structure, it cannot be equivalently represented by any finite-order VAR model. On the other hand, a finite-order state space model can represent a finite-order VARMA process exactly, and, for state-space modelling, subspace algorithms allow for quick and non-iterative estimates of the system parameters, as well as for simple specification procedures.
Given the previous facts, we check in this paper whether subspace-based state space models provide better forecasts than VAR models when working with VARMA data generating processes.
In a simulation study we generate samples from different VARMA data generating processes, obtain VAR-based and state-space-based models for each generating process and compare the predictive power of the obtained models. Different specification and estimation algorithms are considered; in particular, within the subspace family, the CCA (Canonical Correlation Analysis) algorithm is the selected option to obtain state-space models. Our results indicate that when the MA parameter of an ARMA process is close to 1, the CCA state space models are likely to provide better forecasts than the AR models.
We also conduct a practical comparison (for two cointegrated economic time series) of the predictive power of Johansen restricted-VAR (VEC) models with the predictive power of state space models obtained by the CCA subspace algorithm, including a density forecasting analysis.
2006-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4235/1/MPRA_paper_4235.pdf
Izquierdo, Segismundo S. and Hernández, Cesáreo and del Hoyo, Juan (2006): Forecasting VARMA processes using VAR models and subspace-based state space models.
en
oai:mpra.ub.uni-muenchen.de:4271
2019-10-28T19:02:21Z
oai:mpra.ub.uni-muenchen.de:4389
2019-10-04T06:15:09Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D45:4533:453332
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4389/
Detection of the industrial business cycle using SETAR models
Ferrara, Laurent
Guégan, Dominique
C51 - Model Construction and Estimation
E32 - Business Fluctuations ; Cycles
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
In this paper, we consider a threshold time series
model in order to take into account certain stylized facts of the
industrial business cycle, such as asymmetries in the phases of the cycle. Our aim is to
point out some thresholds under (over) which a signal of turning
point could be given. First, we introduce the various
threshold models and we discuss both their statistical
theoretical and empirical properties. Especially, we review the
classical techniques to estimate the number of regimes, the
threshold, the delay and the parameters of the model. Then, we
apply these models to the Euro-zone industrial production index
to detect, through a dynamic simulation approach,
the dates of peaks and troughs in the business cycle.
2005-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4389/1/MPRA_paper_4389.pdf
Ferrara, Laurent and Guégan, Dominique (2005): Detection of the industrial business cycle using SETAR models. Published in: Journal of Business Cycle Measurement and Analysis , Vol. 2, No. 3 (2005): pp. 353-372.
en
oai:mpra.ub.uni-muenchen.de:4583
2019-10-01T14:43:10Z
7374617475733D707562
7375626A656374733D4D:4D35:4D3530
7375626A656374733D43:4335:433531
7375626A656374733D4B:4B32:4B3231
7375626A656374733D4C:4C39:4C3936
7375626A656374733D4B:4B32:4B3239
7375626A656374733D43:4335:433532
7375626A656374733D43:4331:433130
7375626A656374733D4F:4F33:4F3333
7375626A656374733D4C:4C33:4C3332
7375626A656374733D4B:4B32:4B3233
7375626A656374733D43:4332:433233
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4583/
Web 2.0: Nothing Changes…but Everything is Different
Barbry, Eric
M50 - General
C51 - Model Construction and Estimation
K21 - Antitrust Law
L96 - Telecommunications
K29 - Other
C52 - Model Evaluation, Validation, and Selection
C10 - General
O33 - Technological Change: Choices and Consequences ; Diffusion Processes
L32 - Public Enterprises ; Public-Private Enterprises
K23 - Regulated Industries and Administrative Law
C23 - Panel Data Models ; Spatio-temporal Models
For some, Web 2.0 is a "simple" evolution of the current web; for others, Web 2.0 is a real revolution. Web 2.0 is, in fact, a "revolutionary evolution." Technically speaking, Web 2.0 is a "simple" evolution because it is not a technical "breakthrough," as it is essentially based on an aggregation of existing technologies. However, the impact of Web 2.0 is such that it can actually be described as an evolution that will shake our sociological, economic and legal bases. This paper addresses the legal aspects of Web 2.0 and tries to explain that while Web 2.0 is not a lawless domain, it is highly likely to create a legal tsunami.
2007-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4583/1/MPRA_paper_4583.pdf
Barbry, Eric (2007): Web 2.0: Nothing Changes…but Everything is Different. Published in: International Journal of Digital Economics No. 65 (March 2007): pp. 91-103.
en
oai:mpra.ub.uni-muenchen.de:4711
2019-09-28T08:04:19Z
7374617475733D756E707562
7375626A656374733D51:5134:513430
7375626A656374733D43:4332
7375626A656374733D43:4335:433531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4711/
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices
Trueck, Stefan
Weron, Rafal
Wolff, Rodney
Q40 - General
C2 - Single Equation Models ; Single Variables
C51 - Model Construction and Estimation
We investigate the effects of outlier treatment on the estimation of the seasonal component and stochastic models in electricity markets. Typically, electricity spot prices exhibit features like seasonality, mean-reverting behavior, extreme volatility and the occurrence of jumps and spikes. Hence, an important issue in the estimation of stochastic models for electricity spot prices is the estimation of a component to deal with trends and seasonality in the data. Unfortunately, in regression analysis, classical estimation routines like OLS are very sensitive to extreme observations and outliers. Improved robustness of the model can be achieved by (a) cleaning the data with some reasonable procedure for outlier rejection, and then (b) using classical estimation and testing procedures on the remainder of the data. We examine the effects on model estimation for different treatment of extreme observations in particular on determining the number of outliers and descriptive statistics of the remaining series after replacement of the outliers. Our findings point out the substantial impact the treatment of extreme observations may have on these issues.
2007-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4711/1/MPRA_paper_4711.pdf
Trueck, Stefan and Weron, Rafal and Wolff, Rodney (2007): Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices.
en
oai:mpra.ub.uni-muenchen.de:4940
2019-10-02T16:03:26Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4332:433232
7375626A656374733D4F:4F35:4F3531
7375626A656374733D4E:4E34:4E3432
7375626A656374733D43:4338:433838
7375626A656374733D48:4835:483536
7375626A656374733D44:4437:443734
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4940/
Cycles of violence, and terrorist attacks index for the State of Missouri
Gómez-sorzano, Gustavo
C51 - Model Construction and Estimation
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
O51 - U.S. ; Canada
N42 - U.S. ; Canada: 1913-
C88 - Other Computer Software
H56 - National Security and War
D74 - Conflict ; Conflict Resolution ; Alliances ; Revolutions
I apply the Beveridge-Nelson business cycle decomposition method to the time series of per capita murder of Missouri State (1933-2005). Separating out “permanent” from “cyclical” murder, I hypothesize that the cyclical part coincide with documented waves of organized crime, internal tensions, crime legislation, social, and political unrest, and with the periodic terrorist attacks to the U.S. The estimated cyclical component of murder shows that terrorist attacks against the U.S. have affected Missouri, creating estimated turning point dates marked by the most tragic terrorist attacks to the nation: the shut down in power in NYC in 1965, the World Trade Center bombing in 1993, and 9/11 2001 This paper belongs to the series of papers helping the U.S, and Homeland Security identify the closeness of terrorist attacks, and constructs the attacks index for Missouri. Other indices constructed include the Index for the U.S. http://mpra.ub.uni-uenchen.de/1145/01/MPRA_paper_1145.pdf, New York State http://mpra.ub.uni-muenchen.de/3776/01/MPRA_paper_3776.pdf,
New York City http://mpra.ub.uni-muenchen.de/4200/01/MPRA_paper_4200.pdf, Arizona State http://mpra.ub.uni-muenchen.de/4360/01/MPRA_paper_4360.pdf, Massachusetts State http://mpra.ub.uni-muenchen.de/4342/01/MPRA_paper_4342.pdf., California http://mpra.ub.uni-muenchen.de/4547/01/MPRA_paper_4547.pdf., Washington http://mpra.ub.uni-muenchen.de/4604/01/MPRA_paper_4604.pdf., Ohio http://mpra.ub.uni-muenchen.de/4605/01/MPRA_paper_4605.pdf., Philadelphia City, http://mpra.ub.uni-muenchen.de/4783/01/MPRA_paper_4783.pdf, Arkansas http://mpra.ub.uni-muenchen.de/4606/01/MPRA_paper_4606.pdf These indices must be used as dependent variables in structural models for terrorist attacks and in models assessing the effects of terrorism over the U.S. economy.
2007-01-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4940/1/MPRA_paper_4940.pdf
Gómez-sorzano, Gustavo (2007): Cycles of violence, and terrorist attacks index for the State of Missouri.
en
oai:mpra.ub.uni-muenchen.de:4941
2019-10-21T06:38:05Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4332:433232
7375626A656374733D4F:4F35:4F3531
7375626A656374733D4E:4E34:4E3432
7375626A656374733D43:4338:433838
7375626A656374733D48:4835:483536
7375626A656374733D44:4437:443734
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4941/
Cycles of violence, and attacks index for the State of Florida
Gómez-sorzano, Gustavo
C51 - Model Construction and Estimation
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
O51 - U.S. ; Canada
N42 - U.S. ; Canada: 1913-
C88 - Other Computer Software
H56 - National Security and War
D74 - Conflict ; Conflict Resolution ; Alliances ; Revolutions
I apply the Beveridge-Nelson business cycle decomposition method to the time series of per capita murder of Florida State (1933-2005). Separating out “permanent” from “cyclical” murder, I hypothesize that the cyclical part coincide with documented waves of organized crime, internal tensions, crime legislation, social, and political unrest, and with the periodic terrorist attacks to the U.S. The estimated cyclical component of murder shows that terrorist attacks against the U.S. have affected Florida, creating estimated turning point dates marked by the most tragic terrorist attacks to the nation: the World Trade Center bombing in 1993, and 9/11 2001 This paper belongs to the series of papers helping the U.S, and Homeland Security identify the closeness of terrorist attacks, and constructs the attacks index for Florida. Other indices constructed include the Index for the U.S. http://mpra.ub.uni-uenchen.de/1145/01/MPRA_paper_1145.pdf, New York State http://mpra.ub.uni-muenchen.de/3776/01/MPRA_paper_3776.pdf,
New York City http://mpra.ub.uni-muenchen.de/4200/01/MPRA_paper_4200.pdf, Arizona State http://mpra.ub.uni-muenchen.de/4360/01/MPRA_paper_4360.pdf, Massachusetts State http://mpra.ub.uni-muenchen.de/4342/01/MPRA_paper_4342.pdf., California http://mpra.ub.uni-muenchen.de/4547/01/MPRA_paper_4547.pdf., Washington http://mpra.ub.uni-muenchen.de/4604/01/MPRA_paper_4604.pdf., Ohio http://mpra.ub.uni-muenchen.de/4605/01/MPRA_paper_4605.pdf., Philadelphia City, http://mpra.ub.uni-muenchen.de/4783/01/MPRA_paper_4783.pdf, Arkansas http://mpra.ub.uni-muenchen.de/4606/01/MPRA_paper_4606.pdf. These indices must be used as dependent variables in structural models for terrorist attacks and in models assessing the effects of terrorism over the U.S. economy.
2007-01-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4941/1/MPRA_paper_4941.pdf
Gómez-sorzano, Gustavo (2007): Cycles of violence, and attacks index for the State of Florida.
en
oai:mpra.ub.uni-muenchen.de:5175
2019-09-27T12:24:44Z
7374617475733D756E707562
7375626A656374733D44:4438:443833
7375626A656374733D44:4432:443233
7375626A656374733D43:4335:433531
7375626A656374733D44:4438:443832
7375626A656374733D44:4432:443234
7375626A656374733D43:4335:433533
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5175/
Predicting the Profit Potential of a Microeconomic Process: An Information Theoretic/Thermodynamic Approach
George, Michael
D83 - Search ; Learning ; Information and Knowledge ; Communication ; Belief ; Unawareness
D23 - Organizational Behavior ; Transaction Costs ; Property Rights
C51 - Model Construction and Estimation
D82 - Asymmetric and Private Information ; Mechanism Design
D24 - Production ; Cost ; Capital ; Capital, Total Factor, and Multifactor Productivity ; Capacity
C53 - Forecasting and Prediction Methods ; Simulation Methods
Abstract
It would be of great benefit if management could predict the huge profits that would result from modest investments in process improvement initiatives such as Lean, Six Sigma and Complexity reduction. While the application of these initiatives was initially restricted to manufacturing, they have been expanded to transactional processes such as product development, marketing, and indeed all microeconomic processes... This paper derives an equation that, subject to further testing, appears to make such a profit prediction possible allowing a rational investment in microeconomic process improvement.
That the profit of a company is greatly increased by the reduction of internal waste was originally demonstrated by Henry Ford, but has been greatly extended by Toyota. All waste in a process results in longer lead times, measured from the injection of work into the process until its delivery to the customer or user. Thus the increase in profit is principally driven by the reduction of lead time through process improvement. The lead time of any process is governed by the Queuing Theory formula known as Little’s Law.
The central result of this paper is that the reduction lead time as expressed by Little’s Law leads to an equation for the reduction of process Entropy. The expression is identical with the reduction of entropy and thermodynamic waste in a heat engine. Case studies are used to estimate the magnitude of Boltzmann’s Constant for Microeconomic processes. The resulting Equation of Profit allows the prediction of the amount of waste cost elimination based on explicit Lean, Six Sigma and Complexity reduction process improvement parameters. More data is needed to more accurately estimate the magnitude of Boltzmann’s constant for microeconomic processes.
2007-09-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5175/1/MPRA_paper_5175.pdf
George, Michael (2007): Predicting the Profit Potential of a Microeconomic Process: An Information Theoretic/Thermodynamic Approach.
en
oai:mpra.ub.uni-muenchen.de:5431
2019-09-28T16:34:16Z
7374617475733D756E707562
7375626A656374733D45:4533:453332
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5431/
A multivariate innovations state space Beveridge Nelson decomposition
de Silva, Ashton
E32 - Business Fluctuations ; Cycles
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C51 - Model Construction and Estimation
The Beveridge Nelson vector innovation structural time series framework is new formu-
lation that decomposes a set of variables into their permanent and temporary components.
The framework models inter-series relationships and common features in a simple man-
ner. In particular, it is shown that this new speci¯cation is more simple than conventional
state space and cointegration approaches. The approach is illustrated using a trivariate
data set comprising the GD(N)P of Australia, America and the UK.
2007-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5431/1/MPRA_paper_5431.pdf
de Silva, Ashton (2007): A multivariate innovations state space Beveridge Nelson decomposition.
en
oai:mpra.ub.uni-muenchen.de:5655
2019-09-27T17:41:00Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D44:4436:443633
7375626A656374733D43:4338:433832
7375626A656374733D44:4439
7375626A656374733D43:4335:433532
7375626A656374733D43:4338:433837
7375626A656374733D48:4834:483434
7375626A656374733D44:4437
7375626A656374733D43:4335:433533
7375626A656374733D44:4437:443734
7375626A656374733D4F:4F35:4F3534
7375626A656374733D4E:4E34:4E3436
7375626A656374733D43:4332:433232
7375626A656374733D48:4835:483536
7375626A656374733D4B:4B34:4B3432
7375626A656374733D43:4332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5655/
Developing the concept of Sustainable Peace using Econometrics and scenarios granting Sustainable Peace in Colombia by year 2019
Gomez-Sorzano, Gustavo
C51 - Model Construction and Estimation
D63 - Equity, Justice, Inequality, and Other Normative Criteria and Measurement
C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data ; Data Access
D9 - Intertemporal Choice
C52 - Model Evaluation, Validation, and Selection
C87 - Econometric Software
H44 - Publicly Provided Goods: Mixed Markets
D7 - Analysis of Collective Decision-Making
C53 - Forecasting and Prediction Methods ; Simulation Methods
D74 - Conflict ; Conflict Resolution ; Alliances ; Revolutions
O54 - Latin America ; Caribbean
N46 - Latin America ; Caribbean
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
H56 - National Security and War
K42 - Illegal Behavior and the Enforcement of Law
C2 - Single Equation Models ; Single Variables
This paper belongs to my research program on violence and terrorism started in 1993, as a consequence of the growing concern regarding the increase in Colombian violence, and especially for its escalation during the 1990’s. After 14 years of research, particularly after developing a model of cyclical terrorist murder in Colombia 1950-2004, forecasts 2005-2019 (Gómez-Sorzano 2005, http://mpra.ub.uni-muenchen.de/134/01/MPRA_paper_134.pdf), the econometrics of violence, terrorism, and scenarios for peace in Colombia from 1950 to 2019 (Gómez-Sorzano 2006, http://mpra.ub.uni-muenchen.de/539/01/MPRA_paper_539.pdf), and Scenarios for Sustainable Peace in Colombia by year 2019 (Gómez-Sorzano 2006B, http://mpra.ub.uni-muenchen.de/135/01/MPRA_paper_135.pdf) , I claim in this paper that I have formally developed the concept of Sustainable Peace using advanced econometrics. The concept of Sustainable Peace is thus presented to the international academic community, and is based in the construction of a structural econometric model for National murder, and a model for cyclical terrorist murder that have been simultaneously used for designing Scenarios granting Sustainable Peace in Colombia by year 2019.
2007-04-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5655/1/MPRA_paper_5655.pdf
Gomez-Sorzano, Gustavo (2007): Developing the concept of Sustainable Peace using Econometrics and scenarios granting Sustainable Peace in Colombia by year 2019.
en
oai:mpra.ub.uni-muenchen.de:5813
2019-10-12T16:46:24Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5813/
Empirically Based Modeling in the Social Sciences and Spurious Stylized Facts
Bassler, Kevin E.
Gunaratne, Gemunu H.
McCauley, Joseph L.
C51 - Model Construction and Estimation
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
The discovery of the dynamics of a time series requires
construction of the transition density, 1-point densities and
scaling exponents provide no knowledge of the dynamics.
Time series require some sort of statistical regularity,
otherwise there is no basis for analysis. We state the possible
tests for statistical regularity in terms of increments. The
condition for stationary increments, not scaling, detemines
long time pair autocorrelations. An incorrect assumption of
stationary increments generates spurious stylized facts, fat
tails and a Hurst exponent Hs=1/2, when the increments are
nonstationary, as they are in FX markets. The
nonstationarity arises from systematic uneveness in noise
traders’ behavior. Spurious results arise mathematically
from using a log increment with a ‘sliding window’. The
Hurst exponent Hs generated by the using the sliding
window technique on a time series plays the same role as
Mandelbrot’s Joseph exponent. Mandelbrot originally
assumed that the ‘badly behaved second moment of cotton
returns is due to fat tails, but that nonconvergent behavior
providess instead direct evidence for nonstationary
increments.
2007-10-17
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5813/1/MPRA_paper_5813.pdf
Bassler, Kevin E. and Gunaratne, Gemunu H. and McCauley, Joseph L. (2007): Empirically Based Modeling in the Social Sciences and Spurious Stylized Facts.
en
oai:mpra.ub.uni-muenchen.de:6132
2019-10-13T06:52:31Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D45:4533:453332
7375626A656374733D52:5232:523231
7375626A656374733D43:4332:433231
7375626A656374733D52:5231:523131
7375626A656374733D44:4430:443031
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6132/
Acnowledging for spatial effects in the Portuguese housing markets
G. Carvalho, Pedro
Ribeiro, Alexandra
C51 - Model Construction and Estimation
E32 - Business Fluctuations ; Cycles
R21 - Housing Demand
C21 - Cross-Sectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions
R11 - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
D01 - Microeconomic Behavior: Underlying Principles
The aim of this paper is to revisit a former paper on the Portuguese housing market
(1995), acknowledging for spatial effects in order to interpret housing market changes
over 1995-2001.
The paper will include a first section devoted to explain the differences between the
OLS regression analysis and spatial econometrics, explaining the theoretical
background used to develop a spatial lag model with the same database; the second
section will show the misspecification problems we found when we ran the same model
for after 1995-1998 databases; the third section is devoted to describe new housing
literature findings relating housing market evolution with the macroeconomic cycles in
Portugal; as a consequence the fourth section will include the method we developed
with recent census data, to explain the evolution of the country macroeconomic cycles
and the agents’ new behavioural attitudes concerning housing; finally and using spatial
analysis we can understand the main changes occurred over the 1995-2001 period.
The evaluation of the results contradicts some mainstream scholar and political
knowledge to explain spatial inequalities between coast and interior municipalities.
Complexity issues seem to be present when we consider the way different market agents
make decisions on housing markets, looking this good either as a place to live or an
alternative investment asset. In the concluding remarks we raise some new interesting
questions for further research.
2007-11-31
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6132/1/MPRA_paper_6132.pdf
G. Carvalho, Pedro and Ribeiro, Alexandra (2007): Acnowledging for spatial effects in the Portuguese housing markets.
en
oai:mpra.ub.uni-muenchen.de:6243
2019-10-29T17:27:17Z
oai:mpra.ub.uni-muenchen.de:6564
2019-09-27T17:27:51Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D44:4432:443234
7375626A656374733D4C:4C36:4C3630
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6564/
What determines productivity dynamics at the firm level? Evidence from Spain
Stucchi, Rodolfo
C51 - Model Construction and Estimation
D24 - Production ; Cost ; Capital ; Capital, Total Factor, and Multifactor Productivity ; Capacity
L60 - General
The current literature on firm dynamics considers the mobility of firms within the productivity distribution to be determined by exogenous random shocks. This paper evaluates human capital and learning by doing as possible factors determining the mobility once the exogenous shocks have taken place. The main contribution of the paper is to provide evidence on the endogenous mobility of firms within the productivity distribution.
2007-10-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6564/1/MPRA_paper_6564.pdf
Stucchi, Rodolfo (2007): What determines productivity dynamics at the firm level? Evidence from Spain.
en
oai:mpra.ub.uni-muenchen.de:6886
2019-09-30T14:30:22Z
7374617475733D707562
7375626A656374733D43:4331:433133
7375626A656374733D43:4335:433531
7375626A656374733D43:4335:433532
7375626A656374733D42:4232:423233
7375626A656374733D43:4332:433233
7375626A656374733D43:4333:433333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6886/
Tendencies in the Romania's Regional Economic Development during the Period 1991-2004
Andrei, Tudorel
Iacob, Andreea Iluzia
Vlad, Liviu Bogdan
C13 - Estimation: General
C51 - Model Construction and Estimation
C52 - Model Evaluation, Validation, and Selection
B23 - Econometrics ; Quantitative and Mathematical Studies
C23 - Panel Data Models ; Spatio-temporal Models
C33 - Panel Data Models ; Spatio-temporal Models
The objective of this paper represents the analysis of the way the Romania's economic integration in the EU will influence the regional specialization and industrial activities localization within NUTS (the eight regions of Romania) during the period 1991-2004, using absolute measures (Herfindahl index).
2007-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6886/1/MPRA_paper_6886.pdf
Andrei, Tudorel and Iacob, Andreea Iluzia and Vlad, Liviu Bogdan (2007): Tendencies in the Romania's Regional Economic Development during the Period 1991-2004. Published in: Economic Computation and Economic Cybernetics Studies and Research , Vol. 41, No. 1-2/2007 (June 2007): pp. 107-119.
en
oai:mpra.ub.uni-muenchen.de:6889
2019-09-27T00:37:13Z
7374617475733D707562
7375626A656374733D43:4331:433133
7375626A656374733D43:4331:433130
7375626A656374733D43:4335:433531
7375626A656374733D42:4232:423233
7375626A656374733D43:4332:433235
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6889/
The Application of the Econometric Models with Qualitative Variables in the Analysis of the Non Academic Behaviors at the Level of the Romanian Higher Education System
Andrei, Tudorel
Teodorescu, Daniel
Iacob, Andreea Iluzia E. S.
Stancu, Stelian
C13 - Estimation: General
C10 - General
C51 - Model Construction and Estimation
B23 - Econometrics ; Quantitative and Mathematical Studies
C25 - Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions ; Probabilities
The purpose of this paper was to apply the econometric models with qualitative variables in order to analyze two non academic behaviors at the level of the Romanian higher education system: cheating on the exams by copying or by direct or intermediary intervention at the professor.
2007-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6889/1/MPRA_paper_6889.pdf
Andrei, Tudorel and Teodorescu, Daniel and Iacob, Andreea Iluzia E. S. and Stancu, Stelian (2007): The Application of the Econometric Models with Qualitative Variables in the Analysis of the Non Academic Behaviors at the Level of the Romanian Higher Education System. Published in: Economic Computation and Economic Cybernetics Studies and Research , Vol. 41, No. No. 3-4/2007 (December 2007): pp. 131-139.
en
oai:mpra.ub.uni-muenchen.de:6913
2019-09-28T11:23:43Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4331:433133
7375626A656374733D43:4332:433230
7375626A656374733D43:4335:433532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/6913/
On the distribution of the adaptive LASSO estimator
Pötscher, Benedikt M.
Schneider, Ulrike
C51 - Model Construction and Estimation
C13 - Estimation: General
C20 - General
C52 - Model Evaluation, Validation, and Selection
We study the distribution of the adaptive LASSO estimator (Zou (2006)) in finite samples as well as in the large-sample limit. The large-sample distributions are derived both for the case where the adaptive LASSO estimator is tuned to perform conservative model selection as well as for the case where tuning results in consistent model selection. We show that the finite-sample as well as the large-sample distributions are typically highly non-normal, regardless of the choice of the tuning parameter. The uniform convergence rate is also obtained, and is shown to be slower than n^{-1/2} in case the estimator is tuned to perform consistent model selection. In particular, these results question the statistical relevance of the `oracle' property of the adaptive LASSO estimator established in Zou 2006). Moreover, we also provide an impossibility result regarding the estimation of the distribution function of the adaptive LASSO estimator.
2007-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/6913/1/MPRA_paper_6913.pdf
Pötscher, Benedikt M. and Schneider, Ulrike (2007): On the distribution of the adaptive LASSO estimator.
en
oai:mpra.ub.uni-muenchen.de:7108
2019-09-27T22:25:35Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4332:433232
7375626A656374733D51:5135:513534
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7108/
Dynamic GMM Estimation With Structural Breaks. An Application to Global Warming and its Causes.
Travaglini, Guido
C51 - Model Construction and Estimation
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
Q54 - Climate ; Natural Disasters and Their Management ; Global Warming
In this paper I propose a nonstandard t-test statistic for detecting level and trend breaks of I(0) series. Theoretical and limit-distribution critical values obtained from Montecarlo experimentation are supplied. The null hypothesis of anthropogenic versus natural causes of global warming is then tested for the period 1850-2006 by means of a dynamic GMM model which incorporates the null of breaks of anthropogenic origin. World average temperatures are found to be tapering off since a few decades by now, and to exhibit no significant breaks attributable to human activities. While these play a minor causative role in climate changes, most natural forcings and in particular solar sunspots are major warmers. Finally, in contrast to widely held opinions, greenhouse gases are in general temperature dimmers.
2008-02-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7108/1/MPRA_paper_7108.pdf
Travaglini, Guido (2008): Dynamic GMM Estimation With Structural Breaks. An Application to Global Warming and its Causes.
en
oai:mpra.ub.uni-muenchen.de:7561
2019-09-28T04:42:17Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D46:4631:463135
7375626A656374733D4F:4F31:4F3138
7375626A656374733D43:4335:433533
7375626A656374733D43:4336:433633
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7561/
Параллельные вычисления в идентификации динамических моделей экономики // Параллельные вычислительные технологии (ПаВТ'2008): Труды международной научной конференции (Санкт-Петербург, 28 января – 1 февраля 2008 г.). – Челябинск: Изд. ЮУрГУ, 2008. – 599 с. C.207-214.
Olenev, Nicholas
C51 - Model Construction and Estimation
F15 - Economic Integration
O18 - Urban, Rural, Regional, and Transportation Analysis ; Housing ; Infrastructure
C53 - Forecasting and Prediction Methods ; Simulation Methods
C63 - Computational Techniques ; Simulation Modeling
Dynamic models of economy contain a lot of parameters. Such models seldom manage to be identified so precisely that results of calculation have appeared are close to historical data. Parallel calculations facilitate the decision of a problem of identification, owing to essential acceleration of calculation of parameters. By search of the optimum decision this or that convolution of criteria of affinity of statistical and settlement macroparameters is used. For studying properties of a turning out nonlinear problem of optimization and detection of the latent dependence of parameters it is convenient to use methods of sets of approachibility and their visualization. Determination of parameters for interacting regional economies can be carried out in parallel on each of regions.
2008-01-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7561/1/MPRA_paper_7561.pdf
Olenev, Nicholas (2008): Параллельные вычисления в идентификации динамических моделей экономики // Параллельные вычислительные технологии (ПаВТ'2008): Труды международной научной конференции (Санкт-Петербург, 28 января – 1 февраля 2008 г.). – Челябинск: Изд. ЮУрГУ, 2008. – 599 с. C.207-214. Published in: (January 2008): pp. 207-214.
ru
oai:mpra.ub.uni-muenchen.de:7654
2019-10-24T18:15:37Z
oai:mpra.ub.uni-muenchen.de:7821
2019-09-27T11:57:36Z
7374617475733D707562
7375626A656374733D4F:4F31:4F3131
7375626A656374733D43:4331:433133
7375626A656374733D43:4335:433531
7375626A656374733D43:4335:433532
7375626A656374733D4F:4F31:4F3137
7375626A656374733D43:4330:433032
7375626A656374733D45:4531:453137
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7821/
Параллельные вычисления в математическом моделировании региональной экономики // Параллельные вычислительные технологии - 2007. Труды первой международной научной конференции. Челябинск: Изд-во Южно-Уральского государственного университета, 2007. C.140-151.
Olenev, Nicholas
O11 - Macroeconomic Analyses of Economic Development
C13 - Estimation: General
C51 - Model Construction and Estimation
C52 - Model Evaluation, Validation, and Selection
O17 - Formal and Informal Sectors ; Shadow Economy ; Institutional Arrangements
C02 - Mathematical Methods
E17 - Forecasting and Simulation: Models and Applications
Parallel calculations on modern multiprocessing technics open new opportunities in application of mathematical models for research ekonomy of region. Use of normative models was limited to complexity of their identification due to a lot of unknown parameters. In work the technique of identification of models of economy is offered, criteria of affinity and similarity of time numbers of the economic parameters, used for indirect definition of unknown parameters by comparison of settlement parameters with their statistical analogues are presented. Are yielded results of numerical experiments with balance normative multisector model of economy of the Kirov Region from Russia, a model of regional economy being by working prototype.
2006-12-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7821/1/MPRA_paper_7821.pdf
Olenev, Nicholas (2006): Параллельные вычисления в математическом моделировании региональной экономики // Параллельные вычислительные технологии - 2007. Труды первой международной научной конференции. Челябинск: Изд-во Южно-Уральского государственного университета, 2007. C.140-151. Published in: (29 January 2007): pp. 140-151.
ru
oai:mpra.ub.uni-muenchen.de:7879
2019-09-27T09:28:53Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D47:4731:473132
7375626A656374733D47:4733:473331
7375626A656374733D43:4330:433032
7375626A656374733D43:4338:433838
7375626A656374733D47:4733:473334
7375626A656374733D43:4336:433637
7375626A656374733D4D:4D32:4D3231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7879/
An alternative approach to firms’ evaluation: expert systems and fuzzy logic
Magni, Carlo Alberto
C51 - Model Construction and Estimation
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
G31 - Capital Budgeting ; Fixed Investment and Inventory Studies ; Capacity
C02 - Mathematical Methods
C88 - Other Computer Software
G34 - Mergers ; Acquisitions ; Restructuring ; Corporate Governance
C67 - Input-Output Models
M21 - Business Economics
Discounted Cash Flow techniques are the generally accepted methods for valuing firms. Such methods do not provide explicit acknowledgment of the value determinants and overlook their interrelations. This paper proposes a different method of firm valuation based on fuzzy logic and expert systems. It does represent a conceptual transposition of Discounted Cash Flow techniques but, unlike the latter, it takes explicit account of quantitative and qualitative variables and their mutual integration. Financial, strategic and business aspects are considered by focusing on twenty-nine value drivers that are combined together via “if-then” rules. The output of the system is a real number in the interval [0,1], which represents the value-creation power of the firm. To corroborate the model a sensitivity analysis is conducted. The system may be used for rating and ranking firms as well as for assessing the impact of managers’ decisions on value creation and as a tool of corporate governance.
2004-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7879/1/MPRA_paper_7879.pdf
Magni, Carlo Alberto (2004): An alternative approach to firms’ evaluation: expert systems and fuzzy logic. Published in: International Journal of Information Technology and Decision Making , Vol. 1, No. 5 (March 2006): pp. 195-225.
en
oai:mpra.ub.uni-muenchen.de:8145
2019-09-26T23:58:24Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D46:4634
7375626A656374733D46:4634:463431
7375626A656374733D46:4634:463433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/8145/
“A Model of Adjustment and Growth
Reinhart, Carmen
C51 - Model Construction and Estimation
F4 - Macroeconomic Aspects of International Trade and Finance
F41 - Open Economy Macroeconomics
F43 - Economic Growth of Open Economies
A model that merges the monetary approach to the balance of payments and a neoclassical growth model into a unified framework in which inflation, growth, and the balance of payments are simultaneously determined and estimated. The tradeoff between the simplifying assumtions of the model and its ability to fit reality is assessed in terms of a diverse sample of developing countries for which the key parameters of the model are estimated.
1990-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/8145/1/MPRA_paper_8145.pdf
Reinhart, Carmen (1990): “A Model of Adjustment and Growth. Published in: IMF Staff Papers, , Vol. 37, No. 1 (March 1990): pp. 168-182.
en
oai:mpra.ub.uni-muenchen.de:8898
2019-10-24T17:03:47Z
oai:mpra.ub.uni-muenchen.de:9076
2019-09-26T19:28:01Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D47:4731
7375626A656374733D43:4331:433134
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9076/
Garch Parameter Estimation Using High-Frequency Data
Visser, Marcel P.
C51 - Model Construction and Estimation
G1 - General Financial Markets
C14 - Semiparametric and Nonparametric Methods: General
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
Estimation of the parameters of Garch models for financial data is typically based on daily close-to-close returns. This paper shows that the efficiency of the parameter estimators may be greatly improved by using volatility proxies based on intraday data. The paper develops a Garch quasi maximum likelihood estimator (QMLE) based on these proxies. Examples of such proxies are the realized volatility and the intraday high-low range. Empirical analysis of the S&P 500 index tick data shows that the use of a suitable proxy may reduce the variances of the estimators of the Garch autoregression parameters by a factor 20.
2008-06-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9076/1/MPRA_paper_9076.pdf
Visser, Marcel P. (2008): Garch Parameter Estimation Using High-Frequency Data.
en
oai:mpra.ub.uni-muenchen.de:9257
2019-10-08T04:55:58Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D51:5135:513532
7375626A656374733D43:4331:433134
7375626A656374733D44:4432:443234
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/9257/
Estimation of semiparametric stochastic frontiers under shape constraints with application to pollution generating technologies
Kortelainen, Mika
C51 - Model Construction and Estimation
Q52 - Pollution Control Adoption and Costs ; Distributional Effects ; Employment Effects
C14 - Semiparametric and Nonparametric Methods: General
D24 - Production ; Cost ; Capital ; Capital, Total Factor, and Multifactor Productivity ; Capacity
A number of studies have explored the semi- and nonparametric estimation of stochastic
frontier models by using kernel regression or other nonparametric smoothing techniques.
In contrast to popular deterministic nonparametric estimators, these approaches do not
allow one to impose any shape constraints (or regularity conditions) on the frontier
function. On the other hand, as many of the previous techniques are based on the
nonparametric estimation of the frontier function, the convergence rate of frontier
estimators can be sensitive to the number of inputs, which is generally known as “the
curse of dimensionality” problem. This paper proposes a new semiparametric approach
for stochastic frontier estimation that avoids the curse of dimensionality and allows one to
impose shape constraints on the frontier function. Our approach is based on the singleindex
model and applies both single-index estimation techniques and shape-constrained
nonparametric least squares. In addition to production frontier and technical efficiency
estimation, we show how the technique can be used to estimate pollution generating
technologies. The new approach is illustrated by an empirical application to the
environmental adjusted performance evaluation of U.S. coal-fired electric power plants.
2008-06-20
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/9257/1/MPRA_paper_9257.pdf
Kortelainen, Mika (2008): Estimation of semiparametric stochastic frontiers under shape constraints with application to pollution generating technologies.
en
oai:mpra.ub.uni-muenchen.de:10421
2019-10-02T09:21:07Z
7374617475733D696E7072657373
7375626A656374733D43:4335:433531
7375626A656374733D51:5134:513430
7375626A656374733D47:4731:473133
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/10421/
A semiparametric factor model for electricity forward curve dynamics
Borak, Szymon
Weron, Rafal
C51 - Model Construction and Estimation
Q40 - General
G13 - Contingent Pricing ; Futures Pricing
In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth, seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a parsimonious factor representation of the curve. Using closing prices from the Nordic power market Nord Pool we provide empirical evidence that the DSFM is an efficient tool for approximating forward curve dynamics.
2008-07-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/10421/1/MPRA_paper_10421.pdf
Borak, Szymon and Weron, Rafal (2008): A semiparametric factor model for electricity forward curve dynamics. Forthcoming in: Journal of Energy Markets No. 1 (3) (2008): pp. 3-16.
en
oai:mpra.ub.uni-muenchen.de:10424
2019-10-03T17:28:45Z
7374617475733D696E7072657373
7375626A656374733D43:4335:433531
7375626A656374733D51:5134:513430
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/10424/
Heavy-tails and regime-switching in electricity prices
Weron, Rafal
C51 - Model Construction and Estimation
Q40 - General
In this paper we first analyze the stylized facts of electricity prices, in particular, the extreme volatility and price spikes which lead to heavy-tailed distributions of
price changes. Then we calibrate Markov regime-switching (MRS) models with heavy-tailed components and show that they adequately address the aforementioned characteristics. Contrary to the common belief that electricity price models ‘should be built on log-prices’, we find evidence that modeling the prices themselves is more beneficial and methodologically sound, at least in case of MRS models.
2008-05-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/10424/1/MPRA_paper_10424.pdf
Weron, Rafal (2008): Heavy-tails and regime-switching in electricity prices. Forthcoming in: Mathematical Methods of Operations Research
en
oai:mpra.ub.uni-muenchen.de:10455
2019-09-30T16:43:54Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D44:4435:443537
7375626A656374733D45:4531:453137
7375626A656374733D43:4336:433637
7375626A656374733D46:4634:463433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/10455/
Un Modèle d’Equilibre pour la Determination des Effets Nationaux de la Creation d’une Zone de Libre Echange Agricole Euro-Mediterraneenne
Arce, Rafael de
Mahia, Ramón
C51 - Model Construction and Estimation
D57 - Input-Output Tables and Analysis
E17 - Forecasting and Simulation: Models and Applications
C67 - Input-Output Models
F43 - Economic Growth of Open Economies
In this paper, we propose a usual strategy in order to estimate the impact of a free trade area agreement between EU and Mediterranean Partner Countries (MPC's). In this frame, a dynamized Input-Output model is developed, obtaining the main economic impacts in each MPC country (employment, Value Added and GDP growth due to the new Free Trade Area).
2003-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/10455/1/MPRA_paper_10455.pdf
Arce, Rafael de and Mahia, Ramón (2003): Un Modèle d’Equilibre pour la Determination des Effets Nationaux de la Creation d’une Zone de Libre Echange Agricole Euro-Mediterraneenne. Published in: Femise Reports No. 2003 (December 2003)
fr
oai:mpra.ub.uni-muenchen.de:10465
2019-09-29T00:50:28Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D45:4536:453632
7375626A656374733D45:4532:453237
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/10465/
A macroeconomic structural model for the Portuguese economy
Mourinho Félix, Ricardo
C51 - Model Construction and Estimation
E62 - Fiscal Policy
E27 - Forecasting and Simulation: Models and Applications
This paper presents a macroeconomic model with some microfoundations for a small open economy. The main purpose is the simulation of external environment and fiscal policy shocks. The model includes sufficiently disaggregated public sector and household disposable income accounts and it considers a fiscal policy rule that ensures the fulfilment of some budgetary requirements. Thus, the impact in main macroeconomic aggregates of alternative external environment shocks can be evaluated under the assumption that the government automatically adjusts the income tax rate to fulfill these requirements. Furthermore, it is well known that the impact of fiscal policy shocks depends crucially on the economic agents’ ability to adjust their
behaviour to fiscal policy changes, according to their assessment on future economic developments. Since, this model considers economic agents that form model-consistent expectations, then fiscal policy simulations can be performed properly.
In this study, the model is calibrated for the Portuguese economy and the fiscal rule budgetary requirements (a target fiscal balance of 3% of GDP and a debt-to-GDP ratio target of 60%) correspond to the Stability and Growth Pact excessive deficit thresholds. The simulations presented here can contribute to the current discussion of budgetary consolidation measures in Portugal.
2005-10-18
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/10465/1/MPRA_paper_10465.pdf
Mourinho Félix, Ricardo (2005): A macroeconomic structural model for the Portuguese economy. Published in: Working Paper Series No. 13-05 (25 November 2005)
en
oai:mpra.ub.uni-muenchen.de:10638
2019-09-29T04:33:53Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4331:433130
7375626A656374733D45:4532:453234
7375626A656374733D43:4332:433232
7375626A656374733D43:4330:433031
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/10638/
Legea lui Okun pentru România în perioada 1992-2004
TURTUREAN, Ciprian Ionel
C51 - Model Construction and Estimation
C10 - General
E24 - Employment ; Unemployment ; Wages ; Intergenerational Income Distribution ; Aggregate Human Capital ; Aggregate Labor Productivity
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
C01 - Econometrics
In this article the author examines, based on the inflation rate and unemployment rate registered in Romania during 1993-2004, how to show Okun's Law. Results consist of two distinct models explaining the dependency between the GDP’s growth rate of and the unemployment rate’s growth and vice versa. This shows that in the case of Romania we can not be talking about reciprocal and unique two-way relationship approach using the same model, the direct and mutual dependencies between growth of unemployment rate and the growth rate of GDP’s as shown in the original formulation of Okun's Law.
2007-10-24
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/10638/1/MPRA_paper_10638.pdf
TURTUREAN, Ciprian Ionel (2007): Legea lui Okun pentru România în perioada 1992-2004. Published in: Politici, modele si scenarii de crestere economica in vederea aderarii Romaniei la Uniunea Europeana No. ISBN 978-973-594-978-5 (24 October 2007): pp. 214-221.
ro
oai:mpra.ub.uni-muenchen.de:10737
2019-09-27T16:08:53Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D4F:4F31:4F3138
7375626A656374733D43:4335:433532
7375626A656374733D52:5231:523132
7375626A656374733D4F:4F35:4F3532
7375626A656374733D43:4332:433231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/10737/
The non-stationary influence of geography on the spatial agglomeration of production in the EU
Chasco, Coro
López, Ana María
Guillain, Rachel
C51 - Model Construction and Estimation
O18 - Urban, Rural, Regional, and Transportation Analysis ; Housing ; Infrastructure
C52 - Model Evaluation, Validation, and Selection
R12 - Size and Spatial Distributions of Regional Economic Activity
O52 - Europe
C21 - Cross-Sectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions
In this paper, we investigate the relative importance of geographic features on the location of production in the EU. Specifically, we want to quantify how much of the spatial pattern of GDP can be attributed to only exogenous first nature elements (physical and political geography) and how much can be derived from endogenous second nature factors (man-made agglomeration economies). In order to disentangle both effects empirically, and to learn how they are interrelated, we control for second nature. We use a methodology based on an analysis of variance (ANOVA), which is applied to a panel of 1,171 European NUT-3 in 2006. We demonstrate that -due to a high degree of spatial non-stationarity present in the data- results can be biased if spatial autocorrelation and spatial heterogeneity, as well as multicollinearity and endogeneity, are not properly taken into account.
2008-09-24
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/10737/1/MPRA_paper_10737.pdf
Chasco, Coro and López, Ana María and Guillain, Rachel (2008): The non-stationary influence of geography on the spatial agglomeration of production in the EU.
en
oai:mpra.ub.uni-muenchen.de:10859
2019-09-27T08:05:58Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D45:4533:453332
7375626A656374733D43:4335:433533
7375626A656374733D45:4533:453331
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/10859/
Direct and iterated multistep AR methods for difference stationary processes
Proietti, Tommaso
C51 - Model Construction and Estimation
E32 - Business Fluctuations ; Cycles
C53 - Forecasting and Prediction Methods ; Simulation Methods
E31 - Price Level ; Inflation ; Deflation
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
The paper focuses on the comparison of the direct and iterated AR predictors when Xt is a difference stationary process. In particular, it provides some useful results for comparing the efficiency of the two predictors and for extracting the trend from macroeconomic time series using the two methods. The main results are based on an encompassing representation for the two predictors which enables to derive their properties quite easily under a maintained model. The paper provides an analytic expression for the mean square forecast error of the two predictors and derives useful recursive formulae for computing the direct
and iterated coefficients. From the empirical standpoint, we propose estimators of the AR coefficients based on the tapered Yule-Walker estimates; we also provide a test of equal forecast accuracy which is very simple to implement and whose critical values can be obtained with the bootstrap method. Since multistep prediction is tightly bound up with the estimation of the long run component in a time series,
we turn to the role of the direct method for trend estimation and derive the corresponding multistep
Beveridge-Nelson decomposition.
2008-10-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/10859/1/MPRA_paper_10859.pdf
Proietti, Tommaso (2008): Direct and iterated multistep AR methods for difference stationary processes.
en
oai:mpra.ub.uni-muenchen.de:11060
2019-09-28T04:29:46Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433531
7375626A656374733D43:4335:433533
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11060/
Forecasting macroeconomic variables using a structural state space model
de Silva, Ashton
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C51 - Model Construction and Estimation
C53 - Forecasting and Prediction Methods ; Simulation Methods
This paper has a twofold purpose; the first is to present a
small macroeconomic model in state space form, the second is to demonstrate that it produces accurate forecasts. The first of these objectives is achieved by fitting two forms of a structural state space macroeconomic model to Australian data. Both forms model short and long
run relationships. Forecasts from these models are subsequently compared to a structural vector autoregressive specification. This comparison fulfills the second objective demonstrating that the state space formulation produces more accurate forecasts for a selection of
macroeconomic variables.
2008-09-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11060/1/MPRA_paper_11060.pdf
de Silva, Ashton (2008): Forecasting macroeconomic variables using a structural state space model.
en
oai:mpra.ub.uni-muenchen.de:11176
2019-09-26T12:57:41Z
7374617475733D696E7072657373
7375626A656374733D43:4336
7375626A656374733D43:4335:433531
7375626A656374733D43:4330
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11176/
Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market
Yip, Wing
Stephens, David
Olhede, Sofia
C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling
C51 - Model Construction and Estimation
C0 - General
This paper presents hedging strategies for European and exotic options in a
Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con-
structed under different market assumptions, such as the existence of power
jump assets or moment swaps. In the case of European options or baskets of
European options, static hedging is implemented. It is shown that perfect
hedging can be achieved. Delta and gamma hedging strategies are extended to
higher moment hedging by investing in other traded derivatives depending on the
same underlying asset. This development is of practical importance as such
other derivatives might be readily available. Moment swaps or power jump assets
are not typically liquidly traded. It is shown how minimal variance portfolios
can be used to hedge the higher order terms in a Taylor expansion of the
pricing function, investing only in a risk-free bank account, the underlying
asset and potentially variance swaps. The numerical algorithms and performance
of the hedging strategies are presented, showing the practical utility of the
derived results.
2008-10-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11176/4/MPRA_paper_11176.pdf
Yip, Wing and Stephens, David and Olhede, Sofia (2008): Hedging strategies and minimal variance portfolios for European and exotic options in a Levy market. Forthcoming in: Mathematical Finance
en
oai:mpra.ub.uni-muenchen.de:11304
2019-09-26T09:22:58Z
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7375626A656374733D43:4335:433531
7375626A656374733D4F:4F31:4F3131
7375626A656374733D44:4433:443331
7375626A656374733D4F:4F31:4F3135
7375626A656374733D43:4332:433231
7375626A656374733D44:4436:443630
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11304/
National flags, national flag colors, and the well-being of countries
Amavilah, Voxi Heinrich
C51 - Model Construction and Estimation
O11 - Macroeconomic Analyses of Economic Development
D31 - Personal Income, Wealth, and Their Distributions
O15 - Human Resources ; Human Development ; Income Distribution ; Migration
C21 - Cross-Sectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions
D60 - General
This paper utilizes a simple production function model to assess the relative importance of
national flags and national flag colors on the well-being of 93 nations in 2007. It finds that the existence of
national flags affects well-being positively. Well-being is inelastic with respect to national flag colors. In
other words, it is far more important to well-being to have a national flag than whether the flag is a certain
color combination. There is considerable regional variation, but the effects of national flags on well-being
are invariant with respect to region.
2008-10-29
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11304/1/MPRA_paper_11304.pdf
Amavilah, Voxi Heinrich (2008): National flags, national flag colors, and the well-being of countries.
en
oai:mpra.ub.uni-muenchen.de:11305
2019-10-21T12:30:37Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D45:4533:453332
7375626A656374733D4F:4F34:4F3437
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11305/
Business Cycle Correlation and Output Linkages among the Asia Pacific Economies
Chan, Tze-Haw
Khong, Wye Leong Roy
C51 - Model Construction and Estimation
E32 - Business Fluctuations ; Cycles
O47 - Empirical Studies of Economic Growth ; Aggregate Productivity ; Cross-Country Output Convergence
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
Currency crises and financial instability in the 1990s have increased the needs of regional cooperation, hence leading to the proposition of optimal currency area (OCA). But only if shocks are symmetric, the cost of relinquish the flexible monetary policy is to be outweighed by the benefits of forming OCA. To tackle the issue, this paper studies the extent of business cycle correlation and output linkages among fifteen Asia Pacific economies during 1961-2004. The real outputs series which sourced from the Penn World Data were estimated in standardized international dollars to construct business cycles based on the Christiano-Fitzgerald (2003)’s asymmetric band-pass filtering method. On the whole, the selected APEC members (especially ASEANs and NIEs) have achieved some important degree of business cycle co-fluctuations since the 1990s and further enhanced after 1997, most possibly attributed to the improved intra-trading and cross-boarder investments. For the US-Japan-ASEAN5 series, a dynamic analysis was conducted using the Autoregressive Distributed Log bounds test and the Unrestricted Error Correction Model (UECM) representation advanced in Pesaran et al. (2002). Nonetheless, the idiosyncratic and common shocks in ASEAN economies are more identical to the Japanese experience rather than the US’s. The overall finding has signified the brighter likelihood of economic cooperation and regional currency arrangements among APEC members.
2007-12-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11305/1/MPRA_paper_11305.pdf
Chan, Tze-Haw and Khong, Wye Leong Roy (2007): Business Cycle Correlation and Output Linkages among the Asia Pacific Economies.
en
oai:mpra.ub.uni-muenchen.de:11400
2019-09-27T01:59:45Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D4C:4C31:4C3133
7375626A656374733D4C:4C39:4C3934
7375626A656374733D44:4434:443433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11400/
Electricity Pricing and Market Power - Evidence from Germany
Janssen, Matthias
Wobben, Magnus
C51 - Model Construction and Estimation
L13 - Oligopoly and Other Imperfect Markets
L94 - Electric Utilities
D43 - Oligopoly and Other Forms of Market Imperfection
The aim of this paper is to develop a methodology for measuring the exercise of potential market power in liberalized electricity markets. We therefore investigate producer behavior in the context of electricity pricing with respect to fundamental time-dependent marginal cost (TMC), i.e. CO2- and fuel cost. In doing so, we do not - in contrast to most current approaches to market power
investigation - rely on an estimate of the entire generation cost, which inevitably suffers from the lack of appropriate available data. Applying an analytical model of a day-ahead electricity market, we derive work-on rates, which provide information about the impact of TMC variations on electricity prices in the market
constellations of perfect competition, quasi-monopoly and monopoly. Comparing these model-based work-on rates with actual work-on rates, estimated by an adjusted first-differences regression model of German power prices on the cost for hard coal, natural gas and emission allowances, we find evidence of the exercise of market power in the period 2006 to 2008. However, our results reveal that German market competitiveness increases marginally. We confirm our results by simulating a TMC-driven diffusion model of futures power prices estimated by maximum-likelihood.
2008-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11400/1/MPRA_paper_11400.pdf
Janssen, Matthias and Wobben, Magnus (2008): Electricity Pricing and Market Power - Evidence from Germany.
en
oai:mpra.ub.uni-muenchen.de:11401
2019-09-26T10:45:12Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D47:4731:473135
7375626A656374733D46:4633:463336
7375626A656374733D50:5035:503532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11401/
Dependence Structures in Chinese and U.S. Financial Markets -- A Time-varying Conditional Copula Approach
Hu, Jian
C51 - Model Construction and Estimation
G15 - International Financial Markets
F36 - Financial Aspects of Economic Integration
P52 - Comparative Studies of Particular Economies
In this paper, we use a Time-Varying Conditional Copula approach (TVCC) to model Chinese and U.S. stock markets‚ dependence structures with other financial markets. The AR-GARCH-t model is used to examine the marginals, while Normal and Generalized Joe-Clayton copula models are employed to analyze the joint distributions. In this pairwise analysis, both constant and time-varying conditional dependence parameters are estimated by a two-step maximum likelihood method. A comparative analysis of dependence structures in Chinese versus U.S. stock markets is also provided. There are three main findings: First, the time-varying-dependence model does not always perform better than constant-dependence model. This result has not previously been reported in the literature. Second, although previous research extensively reports that the lower tail dependence between stock markets tends to be higher than the upper tail dependence, we find a counterexample where the upper tail dependence is much higher than the lower tail dependence in some short periods. Last, Chinese financial market is relatively separate from other international financial markets in contrast to the U.S. market. The tail dependence with other financial markets is much lower in China than in the U.S.
2008-10-31
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11401/1/MPRA_paper_11401.pdf
Hu, Jian (2008): Dependence Structures in Chinese and U.S. Financial Markets -- A Time-varying Conditional Copula Approach.
en
oai:mpra.ub.uni-muenchen.de:11445
2019-09-26T10:26:20Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D47:4731:473134
7375626A656374733D52:5231:523132
7375626A656374733D43:4333:433333
7375626A656374733D52:5233:523333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11445/
Office Rent Determinants: A Hedonic Panel Analysis
Fuerst, Franz
C51 - Model Construction and Estimation
G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
R12 - Size and Spatial Distributions of Regional Economic Activity
C33 - Panel Data Models ; Spatio-temporal Models
R33 - Nonagricultural and Nonresidential Real Estate Markets
It has been frequently observed that office markets are subject to particularly high fluctuations in rents and vacancy levels, thus exposing real estate investors to considerable risk regarding expected future income streams. This paper analyzes the determinants of office rents and their variability over time and across sub-markets of a city using empirical data from New York City to gain additional insight into the rent price formation and its stability across space and over time.
2007-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11445/1/MPRA_paper_11445.pdf
Fuerst, Franz (2007): Office Rent Determinants: A Hedonic Panel Analysis.
en
oai:mpra.ub.uni-muenchen.de:11473
2019-09-26T19:31:28Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4335:433533
7375626A656374733D45:4533:453337
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11473/
A multiple regression model for inflation rate in Romania in the enlarged EU
Falnita, Eugen
Sipos, Ciprian
C51 - Model Construction and Estimation
C53 - Forecasting and Prediction Methods ; Simulation Methods
E37 - Forecasting and Simulation: Models and Applications
The main goal of Romanian monetary authorities at this point is to maintain the inflation rate in the proposed target. In that respect, the process of disinflation was due to considerably slower raises in administered and volatile prices, whose effects ran counter to the inflationary impact of the newly introduced indirect tax on alcohol and tobacco products. The persistence of inflationary risk associated with the current macroeconomic context, largely as a result of the increasing of some indirect taxes and of fast expansion in domestic demand, prompted the monetary authorities to continue the gradually tighten policy.
Those facts makes necessary to elaborate a model that studies the trend of inflationary process due to most important influence factors. A very important factorial variable is the average interest rate on credit institutions with direct implications in the evolution of the domestic demand. Another variable used by authorities is the minimum reserve requirements on Romanian Leu denominated liabilities. It was increased in the last period to slowing down the speed of growth of credit in domestic currency.
All these conditions are considered in the process of elaboration of the multiple regression models for Romania in the enlarged EU. A very important result of analysis of this model is that the inflation rate in Romania is slowing down, even with the negative impact of price adjustments after integration. Also, the model underlines the National Bank of Romania’s significant tools for apply its monetary policy with the constraints of the EU.
Final conclusions of the analysis of the multiple regression models relieve the necessity to have stronger links of the Romanian economy with the countries from the EU. In the perspective of complete integration, all domains have to connect stronger than now with the European standards. In the same time Romanian people have to understand all the benefits and all the constraints of integration in the enlarged EU.
2007-01-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11473/1/MPRA_paper_11473.pdf
Falnita, Eugen and Sipos, Ciprian (2007): A multiple regression model for inflation rate in Romania in the enlarged EU. Published in: Economic integration, competition and cooperation (1 August 2007)
en
oai:mpra.ub.uni-muenchen.de:11571
2019-09-29T04:34:43Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4333:433332
7375626A656374733D45:4534:453433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11571/
Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity
Lucchetti, Riccardo
Palomba, Giulio
C51 - Model Construction and Estimation
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
E43 - Interest Rates: Determination, Term Structure, and Effects
Starting from the work by Campbell and Shiller (1987), empirical analysis of interest rates has been conducted in the framework of cointegration. However, parts of this approach have been questioned recently, as the adjustment mechanism may not follow a simple linear rule; another line of criticism points out that stationarity of the spreads is difficult to maintain empirically.
In this paper, we analyse data on US bond yields by means of an augmented VAR specification which approximates a generic nonlinear adjustment model. We argue that nonlinearity captures macro information via the shape of the yield curve and thus provides an alternative explanation for some findings recently appeared in the literature.
Moreover, we show how conditional heteroskedasticity can be taken into account via GARCH specifications for the conditional variance, either univariate and multivariate.
2008
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11571/1/MPRA_paper_11571.pdf
Lucchetti, Riccardo and Palomba, Giulio (2008): Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity.
en
oai:mpra.ub.uni-muenchen.de:11628
2019-10-08T16:41:14Z
7374617475733D707562
7375626A656374733D43:4336:433639
7375626A656374733D43:4335:433531
7375626A656374733D43:4338:433838
7375626A656374733D4C:4C38:4C3836
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11628/
ICT in Czech companies: business efficiency potentials to be achieved.
Vymětal, Dominik
C69 - Other
C51 - Model Construction and Estimation
C88 - Other Computer Software
L86 - Information and Internet Services ; Computer Software
The paper deals with business potential analysis based on the data published by Czech
Statistic Authority (SÚ). It shows that the infrastructure state of the art even in small Czech
companies enables to expand ERP and CRM systems, trading over Internet, Supply Chain
Management and other new trends. Internet security is here of greatest importance, however it
cannot be seen as major obstacle for new trading methods. The greatest challenge identified is
the process and workflow optimization. To streamline workflow the document management
supporting nearly seamless integration crossover the functional areas is of greatest
importance. Moreover, process optimization can run into difficulties due to cross-organization
functionalities of new IT architecture concepts like Service Oriented Architecture, WEB2
concepts and other methods and means. In this paper the value flow approach is shortly
mentioned as an alternative to process modeling and workflow approach. Value oriented
methods can overcome the process oriented approach limitations.
2008-08-22
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11628/1/MPRA_paper_11628.pdf
Vymětal, Dominik (2008): ICT in Czech companies: business efficiency potentials to be achieved. Published in: Zborník z medzinárodnej vedeckej konferencie Nové prístupy k riadeniu ponuky podnikov a Jazyková výuka ekonomických odborníkov (2 October 2008): pp. 227-240.
en
oai:mpra.ub.uni-muenchen.de:11713
2019-09-30T11:08:33Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4331:433135
7375626A656374733D48:4836:483638
7375626A656374733D48:4836:483633
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11713/
A simulation model of public debt sustainability
Albu, Lucian-Liviu
C51 - Model Construction and Estimation
C15 - Statistical Simulation Methods: General
H68 - Forecasts of Budgets, Deficits, and Debt
H63 - Debt ; Debt Management ; Sovereign Debt
There is a long period since the problem of public debt sustainability captures the attention of economists. However, there is no unanimity concerning an adequate unique sustainability indicator or function generally accepted. Just in this line of elaborating new models and improving methodologies in order to quantify the impact of various factors on public debt sustainability is our paper. Moreover, last years, during its pre- and post-accession into EU period, Romanian economy is facing to numerous problems. Among these, the public debt sustainability plays a central role, its implications practically expanding on all fields connected to the economic dynamics.
2008
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11713/1/MPRA_paper_11713.pdf
Albu, Lucian-Liviu (2008): A simulation model of public debt sustainability.
en
oai:mpra.ub.uni-muenchen.de:11972
2019-09-28T12:37:38Z
7374617475733D707562
7375626A656374733D43:4335:433531
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11972/
Statistical estimation of nonstationaryGaussian processes with long-range dependence and intermittency
Gao, jiti
Anh, vo
Heyde, christopher
C51 - Model Construction and Estimation
This paper considers statistical inference for nonstationaryGaussian processes with long-range dependence and intermittency. The existence of such a process has been established by Anh et al. (J. Statist. Plann. Inference 80 (1999) 95–110). We systematically consider the case where the spectral densityof nonstationaryGaussian processes with stationaryincrements is of a general and
1999-12-13
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11972/1/MPRA_paper_11972.pdf
Gao, jiti and Anh, vo and Heyde, christopher (1999): Statistical estimation of nonstationaryGaussian processes with long-range dependence and intermittency. Published in: Stochastic Processes and Their Applications , Vol. 99, No. 1 (March 2002): pp. 295-323.
en
oai:mpra.ub.uni-muenchen.de:12213
2019-09-26T12:25:38Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4331:433133
7375626A656374733D43:4332:433230
7375626A656374733D43:4335:433532
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/12213/
On the distribution of the adaptive LASSO estimator
Pötscher, Benedikt M.
Schneider, Ulrike
C51 - Model Construction and Estimation
C13 - Estimation: General
C20 - General
C52 - Model Evaluation, Validation, and Selection
We study the distribution of the adaptive LASSO estimator (Zou (2006)) in finite samples as well as in the large-sample limit. The large-sample distributions are derived both for the case where the adaptive LASSO estimator is tuned to perform conservative model selection as well as for the case where the tuning results in consistent model selection. We show that the finite-sample as well as the large-sample distributions are typically highly non-normal, regardless of the choice of the tuning parameter. The uniform convergence rate is also obtained, and is shown to be slower than n^{-1/2} in case the estimator is tuned to perform consistent model selection. In particular, these results question the statistical relevance of the `oracle' property of the adaptive LASSO estimator established in Zou 2006). Moreover, we also provide an impossibility result regarding the estimation of the distribution function of the adaptive LASSO estimator. The theoretical results, which are obtained for a regression model with orthogonal design, are complemented by a Monte Carlo study using non-orthogonal regressors.
2007-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/12213/2/MPRA_paper_12213.pdf
Pötscher, Benedikt M. and Schneider, Ulrike (2007): On the distribution of the adaptive LASSO estimator.
en
oai:mpra.ub.uni-muenchen.de:12700
2019-09-26T15:56:45Z
7374617475733D756E707562
7375626A656374733D46:4631:463135
7375626A656374733D43:4335:433531
7375626A656374733D4F:4F33:4F3330
7375626A656374733D43:4332:433234
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/12700/
The Internationalization of Inventive Activity: A Gravity Model Using Patent Data
Picci, Lucio
F15 - Economic Integration
C51 - Model Construction and Estimation
O30 - General
C24 - Truncated and Censored Models ; Switching Regression Models ; Threshold Regression Models
This paper discusses the extent and the determinants of the internationalization of European inventive activity, between 1990 and 2004, using an innovative method to treat
the information contained in the European Patent Office's Patstat database.
The observed level of internationalization of inventive activities, while being rather low, has steadily increased over time. The amount of collaboration between actors residing in different countries is assessed by means of a "gravity model", as it is familiar in the literature on international trade. The amount of bilateral collaboration is positively affected by the presence of a common language and a common border, and by the common participation in the European Union. Participation in the Euro Zone is also found to have a (marginally) negative effect.
International collaboration is negatively affected by distance, with estimated elasticities that are significantly smaller than the ones that characterize international trade.
Contrary to the rumors about the "death of distance", this effect has become stronger in recent years.
2008-12-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/12700/1/MPRA_paper_12700.pdf
Picci, Lucio (2008): The Internationalization of Inventive Activity: A Gravity Model Using Patent Data.
en
oai:mpra.ub.uni-muenchen.de:12919
2019-10-02T09:13:06Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D47:4731:473131
7375626A656374733D45:4532:453232
7375626A656374733D45:4534:453434
7375626A656374733D43:4330:433031
7375626A656374733D44:4431:443134
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/12919/
Optimizing models of a stock portfolio issued by Financial Investment Companies
Corduneanu, Carmen
Turcas, Daniela
C51 - Model Construction and Estimation
G11 - Portfolio Choice ; Investment Decisions
E22 - Investment ; Capital ; Intangible Capital ; Capacity
E44 - Financial Markets and the Macroeconomy
C01 - Econometrics
D14 - Household Saving; Personal Finance
The complex methodology used in financial portfolio management proves that H. Markowitz optimization approach is one of the most applied techniques on developed global financial markets.
Financial information spreading and processing speed, real time access to information, the performance maximization criterion for managed portfolios, are fundamental factors requiring higher reaction speed from the portfolio manager in order to take the appropriate strategic decisions.
Sustained decision process requires specific applications and flexibility to present financial circumstances, a relevant example being Crystal Ball software.
This paper intends to test in practice the facilities offered by Crystal Ball regarding a stock portfolio and to compare the results generated by Markowitz approach.
2008-12-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/12919/1/MPRA_paper_12919.pdf
Corduneanu, Carmen and Turcas, Daniela (2008): Optimizing models of a stock portfolio issued by Financial Investment Companies.
en
oai:mpra.ub.uni-muenchen.de:13007
2019-09-30T23:52:15Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D4C:4C39:4C3936
7375626A656374733D43:4335:433533
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/13007/
Estimating components of ICT expenditure: a model-based approach with applicability to short time-series
Cooper, Russel
Madden, Gary G
C51 - Model Construction and Estimation
L96 - Telecommunications
C53 - Forecasting and Prediction Methods ; Simulation Methods
This paper develops a microeconomic model-based approach to forecast national information and communications technology expenditure that is helpful when only very short time-series are available. The model specification incorporates parameters for network effects and national e-readiness. Finally, the model allows for observed non-homotheticity and ‘noise’ found in sample data, with the latter attributed to country-specific influences.
2008
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/13007/1/MPRA_paper_13007.pdf
Cooper, Russel and Madden, Gary G (2008): Estimating components of ICT expenditure: a model-based approach with applicability to short time-series. Published in: Applied Economics , Vol. 10, No. 1 (2008)
en
oai:mpra.ub.uni-muenchen.de:13026
2019-09-29T18:50:48Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D48:4833:483331
7375626A656374733D4F:4F31:4F3137
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/13026/
An attempt to estimate the size of informal economy based on household behaviour modeling
Albu, Lucian-Liviu
Kim, Byung-Yeon
Duchene, Gerard
C51 - Model Construction and Estimation
H31 - Household
O17 - Formal and Informal Sectors ; Shadow Economy ; Institutional Arrangements
Having in view the three main methods for the estimation of the informal economy's size, the study focuses in the first part on data and methodological problems, trying at the same time to outline a few behavioral aspects by using only simple simulation models. Thus, based on a 288-sample and using different types of computations, the authors describe the households' participation in informal activities as varying between 20.4% and 30.6%. In the second part of the article, some more sophisticated dynamic models to simulate very complicated types of household behavior relating to participation in secondary activities and in informal economy are presented.
2002-03-31
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/13026/1/MPRA_paper_13026.pdf
Albu, Lucian-Liviu and Kim, Byung-Yeon and Duchene, Gerard (2002): An attempt to estimate the size of informal economy based on household behaviour modeling. Published in: Romanian Journal of Economic Forecasting , Vol. 1, : pp. 17-24.
en
oai:mpra.ub.uni-muenchen.de:13087
2019-09-28T09:08:06Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D44:4437
7375626A656374733D5A:5A31
7375626A656374733D5A:5A31:5A3133
7375626A656374733D44:4437:443732
7375626A656374733D43:4332:433231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/13087/
Russian Election Reform and the Effect of Social Conformity on Voting and the Party System: 2007 and 2008
Coleman, Stephen
C51 - Model Construction and Estimation
D7 - Analysis of Collective Decision-Making
Z1 - Cultural Economics ; Economic Sociology ; Economic Anthropology
Z13 - Economic Sociology ; Economic Anthropology ; Social and Economic Stratification
D72 - Political Processes: Rent-Seeking, Lobbying, Elections, Legislatures, and Voting Behavior
C21 - Cross-Sectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions
In 2007 Russian voters elected representatives to the State Duma under new electoral procedures that President V. Putin had instituted. A presidential election followed in 2008 leading to Putin’s new role as Prime Minister. To many observers, the reforms and the election campaigns resulted in a party system manipulated to the advantage of the government, although Putin’s reported goal was to reduce the number of political parties. Earlier research [1,2,6] reported that social conformity exerted a strong, persistent, and predictable influence on voting in national elections from 1991 to 2003. This analysis examines how the effect of social conformity on Russian voters might have changed from earlier elections as a result of the electoral reforms and campaign practices. Specific questions addressed are how well the political party system now aligns with the interests of voters, and whether this type of analysis can speak to fairness of the elections.
2009-01-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/13087/1/MPRA_paper_13087.pdf
Coleman, Stephen (2009): Russian Election Reform and the Effect of Social Conformity on Voting and the Party System: 2007 and 2008.
en
oai:mpra.ub.uni-muenchen.de:13102
2019-09-26T11:56:46Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4335:433533
7375626A656374733D45:4530:453030
7375626A656374733D43:4338:433830
7375626A656374733D43:4330:433031
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/13102/
Building and Using a Small Macroeconometric Model: Klein Model I as an Example
Renfro, Charles G
C51 - Model Construction and Estimation
C53 - Forecasting and Prediction Methods ; Simulation Methods
E00 - General
C80 - General
C01 - Econometrics
This book describes the estimation and use of Klein Model I, including the formation of the individual equations, the data used for its estimation and the methodology of the construction and use of the model involving the MODLER software and an electronic computer
2009-01-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/13102/1/MPRA_paper_13102.pdf
Renfro, Charles G (2009): Building and Using a Small Macroeconometric Model: Klein Model I as an Example.
en
oai:mpra.ub.uni-muenchen.de:13270
2019-09-26T22:25:56Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4336:433633
7375626A656374733D43:4330:433032
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/13270/
Hopf bifurcation in a dynamic IS-LM model with time delay
Neamtu, Mihaela
Opris, Dumitru
Chilarescu, Constantin
C51 - Model Construction and Estimation
C63 - Computational Techniques ; Simulation Modeling
C02 - Mathematical Methods
The paper investigates the impact of delayed tax revenues on the fiscal policy out-comes. Choosing the delay as a bifurcation parameter we study the direction and the stability of the bifurcating periodic solutions. We show when the system is stable with respect to the delay. Some numerical examples are given to confirm the theoretical results.
2005-11-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/13270/1/MPRA_paper_13270.pdf
Neamtu, Mihaela and Opris, Dumitru and Chilarescu, Constantin (2005): Hopf bifurcation in a dynamic IS-LM model with time delay. Published in: Chaos, Solitons and Fractals , Vol. 34, No. 2 (2007): pp. 519-530.
en
oai:mpra.ub.uni-muenchen.de:13347
2019-09-26T10:12:51Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4336:433631
7375626A656374733D51:5132:513230
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/13347/
Analysis of green net national product and genuine saving in Portugal, 1991 - 2005
Mota, Rui Pedro
Domingos, Tiago
Martins, Victor
C51 - Model Construction and Estimation
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
Q20 - General
The context of this paper is the measurement of welfare and weak sustainability, defined as non-declining utility, in dynamic economies, i.e., green, environmental or comprehensive accounting. We estimate the green net national product and genuine saving for Portugal 1991-2005, accounting for the disamenity of air pollution emissions, the depreciation of commercial forests - pine and eucalyptus -, the value of time (through technological progress), excluding the effect of business cycles and discussing the assumptions behind the usual terms included in the empirics of comprehensive accounting. For the accounting period considered we find that both GNNP and GS are positive, thereby indicating no sustainability problem in Portugal, although both GNNP and GS depict a trend towards unsustainability. Excluding technological progress there is a contradiction in the sustainability message: GS is negative after 2002, whereas GNNP is always positive, indicating that welfare increased.
2008-12-20
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/13347/1/MPRA_paper_13347.pdf
Mota, Rui Pedro and Domingos, Tiago and Martins, Victor (2008): Analysis of green net national product and genuine saving in Portugal, 1991 - 2005.
en
oai:mpra.ub.uni-muenchen.de:13910
2019-09-28T12:32:41Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4333:433332
7375626A656374733D45:4533:453332
7375626A656374733D43:4335:433532
7375626A656374733D45:4535:453532
7375626A656374733D43:4331:433131
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/13910/
Bayesian Analysis of DSGE Models with Regime Switching
Eo, Yunjong
C51 - Model Construction and Estimation
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
E32 - Business Fluctuations ; Cycles
C52 - Model Evaluation, Validation, and Selection
E52 - Monetary Policy
C11 - Bayesian Analysis: General
I estimate DSGE models with recurring regime changes in monetary policy (inflation target and reaction coefficients), technology (growth rate and volatility), and/or nominal price rigidities. In the models, agents are assumed to know deep parameter values but make probabilistic inference about prevailing and future regimes based on Bayes’ rule. I develop an estimation method that
takes these probabilistic inferences into account when relating state variables to observed data. In an application to postwar U.S. data, I find stronger support for regime switching in monetary policy than in technology or nominal rigidities. In addition, a model with regime switching policy that conforms to the long-run Taylor principle given in Davig and Leeper (2007) is preferred to a determinacy-indeterminacy model motivated by Lubik and Schorfheide (2004). These empirical results indicate that, even though a passive policy regime produced more volatility in the economy from the early 1970s to the mid-1980s, the economy can be explained by determinacy over the entire postwar period, implying no role for sunspot shocks in explaining the changes in volatility.
2008-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/13910/1/MPRA_paper_13910.pdf
Eo, Yunjong (2008): Bayesian Analysis of DSGE Models with Regime Switching.
en
oai:mpra.ub.uni-muenchen.de:14210
2019-09-27T12:07:07Z
7374617475733D707562
7375626A656374733D43:4331:433133
7375626A656374733D43:4335:433531
7375626A656374733D4F:4F31:4F3137
7375626A656374733D45:4532:453236
7375626A656374733D50:5032:503236
7375626A656374733D48:4832:483236
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/14210/
Underground economy quantitative models. Some applications to Romania’s case
Albu, Lucian-Liviu
Daianu, Daniel
Pavelescu, Florin-Marius
C13 - Estimation: General
C51 - Model Construction and Estimation
O17 - Formal and Informal Sectors ; Shadow Economy ; Institutional Arrangements
E26 - Informal Economy ; Underground Economy
P26 - Political Economy ; Property Rights
H26 - Tax Evasion and Avoidance
Using some special models, this study tries to quantify the size of underground economy in Romania. The exposition plan includes: 1) Models based on direct approaches; 2) Models based on indirect approaches; 3) A generalised model for the allocation of time; 4) A model based on May’s logistic; 5) Conclusions.
2002-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/14210/1/MPRA_paper_14210.pdf
Albu, Lucian-Liviu and Daianu, Daniel and Pavelescu, Florin-Marius (2002): Underground economy quantitative models. Some applications to Romania’s case. Published in: Revue Roumaine des Sciences Economiques , Vol. 47, No. 1-2 : pp. 147-172.
en
oai:mpra.ub.uni-muenchen.de:14286
2019-10-05T09:34:52Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D44:4431:443133
7375626A656374733D44:4433:443331
7375626A656374733D48:4833:483331
7375626A656374733D4F:4F31:4F3137
7375626A656374733D43:4338:433831
7375626A656374733D45:4532:453236
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/14286/
Use of households survey data to estimate the size of the informal economy in Romania
Albu, Lucian-Liviu
Nicolae, Mariana
C51 - Model Construction and Estimation
D13 - Household Production and Intrahousehold Allocation
D31 - Personal Income, Wealth, and Their Distributions
H31 - Household
O17 - Formal and Informal Sectors ; Shadow Economy ; Institutional Arrangements
C81 - Methodology for Collecting, Estimating, and Organizing Microeconomic Data ; Data Access
E26 - Informal Economy ; Underground Economy
The study is focused on estimating the informal economy in Romania based on survey in households. Moreover, some specific dynamic models to simulate complicated types of household’s behaviour (regimes) relating to participation in informal economy are presented.
2003-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/14286/1/MPRA_paper_14286.pdf
Albu, Lucian-Liviu and Nicolae, Mariana (2003): Use of households survey data to estimate the size of the informal economy in Romania. Published in: The Informal Economy in the EU Accession Countries. Size, Scope, Trends and Challenges to the Process of EU Enlargement (2003): pp. 199-212.
en
oai:mpra.ub.uni-muenchen.de:14304
2019-09-27T04:37:49Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D44:4437
7375626A656374733D5A:5A31
7375626A656374733D5A:5A31:5A3133
7375626A656374733D44:4437:443732
7375626A656374733D43:4332:433231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/14304/
Russian Election Reform and the Effect of Social Conformity on Voting and the Party System: 2007 and 2008
Coleman, Stephen
C51 - Model Construction and Estimation
D7 - Analysis of Collective Decision-Making
Z1 - Cultural Economics ; Economic Sociology ; Economic Anthropology
Z13 - Economic Sociology ; Economic Anthropology ; Social and Economic Stratification
D72 - Political Processes: Rent-Seeking, Lobbying, Elections, Legislatures, and Voting Behavior
C21 - Cross-Sectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions
In 2007 Russian voters elected representatives to the State Duma under new electoral procedures that President V. Putin had instituted. A presidential election followed in 2008 leading to Putin’s new role as Prime Minister. To many observers, the reforms and the election campaigns resulted in a party system manipulated to the advantage of the government, although Putin’s reported goal was to reduce the number of political parties. Earlier research [1,2,6] reported that social conformity exerted a strong, persistent, and predictable influence on voting in national elections from 1991 to 2003. This analysis examines how the effect of social conformity on Russian voters might have changed from earlier elections as a result of the electoral reforms and campaign practices. Specific questions addressed are how well the political party system now aligns with the interests of voters, and whether this type of analysis can speak to fairness of the elections.
2009-01-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/14304/1/MPRA_paper_14304.pdf
Coleman, Stephen (2009): Russian Election Reform and the Effect of Social Conformity on Voting and the Party System: 2007 and 2008.
en
oai:mpra.ub.uni-muenchen.de:14311
2019-10-01T03:33:21Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4332:433234
7375626A656374733D43:4333:433335
7375626A656374733D43:4331:433133
7375626A656374733D45:4533:453332
7375626A656374733D43:4335:433533
7375626A656374733D43:4330:433032
7375626A656374733D43:4332:433233
7375626A656374733D43:4332:433232
7375626A656374733D43:4331:433135
7375626A656374733D42:4234:423431
7375626A656374733D43:4330:433031
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/14311/
Nyquist Frequency in Sequentially Sampled Data
Faghih, Nezameddin
Faghih, Ali
C51 - Model Construction and Estimation
C24 - Truncated and Censored Models ; Switching Regression Models ; Threshold Regression Models
C35 - Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions
C13 - Estimation: General
E32 - Business Fluctuations ; Cycles
C53 - Forecasting and Prediction Methods ; Simulation Methods
C02 - Mathematical Methods
C23 - Panel Data Models ; Spatio-temporal Models
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
C15 - Statistical Simulation Methods: General
B41 - Economic Methodology
C01 - Econometrics
This paper studies the sequential sampling scheme as a solution to the problem of aliasing, where the sampling interval is restricted to a minimum allowable value. Sequential sampling is analyzed and it is proved that when the sampling ratio is an integral number, the associated spectral estimates give a Nyquist frequency . This sampling scheme can, therefore, be employed to yield a required cut- off frequency.
2008
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/14311/1/MPRA_paper_14311.pdf
Faghih, Nezameddin and Faghih, Ali (2008): Nyquist Frequency in Sequentially Sampled Data.
en
oai:mpra.ub.uni-muenchen.de:14364
2019-09-27T16:35:02Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D4F:4F31:4F3136
7375626A656374733D50:5032:503237
7375626A656374733D46:4634:463431
7375626A656374733D43:4331:433135
7375626A656374733D45:4534:453434
7375626A656374733D48:4836:483638
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/14364/
Sustainability of public debt: a theoretical and empirical investigation
Albu, Lucian-Liviu
Pelinescu, Elena
C51 - Model Construction and Estimation
O16 - Financial Markets ; Saving and Capital Investment ; Corporate Finance and Governance
P27 - Performance and Prospects
F41 - Open Economy Macroeconomics
C15 - Statistical Simulation Methods: General
E44 - Financial Markets and the Macroeconomy
H68 - Forecasts of Budgets, Deficits, and Debt
At the beginning of the transition period, the public debt in Romania was insignificant. However, during the following years, the accumulating process accelerated. Although the indebtedness degree continues to be smaller than registered levels in other European countries, more dangerous could be its accelerating trend in conditions of some not so very high-performing macroeconomic policy management. The present study attempts to answer certain problems related to the governing mechanism of the public debt accumulation. Particularly, it examines: a) some significant implications of the public sector deficits on the dynamics of the main macroeconomic indicators; b) certain factors having impact on sustainability degree; and c) possibilities for setting up fundamental parameters and a time horizon to stop the debt accumulation process. Certain plausible hypotheses will be selected and some likely evolutions will be simulated.
2000-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/14364/1/MPRA_paper_14364.pdf
Albu, Lucian-Liviu and Pelinescu, Elena (2000): Sustainability of public debt: a theoretical and empirical investigation. Published in: Revue Roumaine des Sciences Economiques , Vol. 45, No. 1 : pp. 101-127.
en
oai:mpra.ub.uni-muenchen.de:14645
2019-09-27T02:47:53Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4335:433533
7375626A656374733D45:4533:453331
7375626A656374733D43:4335:433532
7375626A656374733D45:4533:453337
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/14645/
Inflation Forecasting in Pakistan using Artificial Neural Networks
Haider, Adnan
Hanif, Muhammad Nadeem
C51 - Model Construction and Estimation
C53 - Forecasting and Prediction Methods ; Simulation Methods
E31 - Price Level ; Inflation ; Deflation
C52 - Model Evaluation, Validation, and Selection
E37 - Forecasting and Simulation: Models and Applications
An artificial neural network (hence after, ANN) is an information processing paradigm that is inspired by the way biological nervous systems, such as the brain, process information. In previous two decades, ANN applications in economics and finance; for such tasks as pattern reorganization, and time series forecasting, have dramatically increased. Many central banks use forecasting
models based on ANN methodology for predicting various macroeconomic indicators, like inflation, GDP Growth and currency in circulation etc. In this paper, we have attempted to forecast monthly YoY inflation for Pakistan by
using ANN for FY08 on the basis of monthly data of July 1993 to June 2007. We also compare the forecast performance of the ANN model with conventional univariate time series forecasting models such as AR(1) and ARIMA based models and observed that RMSE of ANN based forecasts is much less than the RMSE of forecasts based on AR(1) and ARIMA models. At least by this criterion forecast based on ANN are more precise.
2007-07-13
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/14645/1/MPRA_paper_14645.pdf
Haider, Adnan and Hanif, Muhammad Nadeem (2007): Inflation Forecasting in Pakistan using Artificial Neural Networks.
en
oai:mpra.ub.uni-muenchen.de:14648
2019-09-28T16:53:56Z
7374617475733D756E707562
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433531
7375626A656374733D43:4335:433532
7375626A656374733D45:4532:453237
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/14648/
Structural Breaks, Regime Change and Asymmetric Adjustment: A Short and Long Run Global Approach to the Output/Unemployment Dynamics
Mendonca, Gui Pedro
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C51 - Model Construction and Estimation
C52 - Model Evaluation, Validation, and Selection
E27 - Forecasting and Simulation: Models and Applications
Even though the output and unemployment relation has always been a key theme in applied macroeconometrics research, the global hypothesis of modular short and long run dynamics assuming classic macroeconomic assumptions, is still to become a widely discussed subject in the field, and, therefore entails a large scope for further improvement, discussion and experimentation. Following recent advances in non linear bivariate estimation techniques this paper evaluates the joint hypotheses of endogenous growth, the natural rate hypothesis and asymmetric short run error correction. To tackle this global proposal a three step methodology, based on numeric grid search procedures is employed on data from nineteen OCDE countries. First, a numerical grid search is used to estimate linear trend output regimes with structural breaks and long run natural Unemployment rate regimes are endogenously obtained from these estimates. Finally, different grid search procedures, based on the original two step procedure for estimating linear cointegration models, are used to estimate the short run adjustment process assuming threshold vector error correction dynamics, following recent proposals on asymmetric Okun adjustment.
2008-11-28
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/14648/1/MPRA_paper_14648.pdf
Mendonca, Gui Pedro (2008): Structural Breaks, Regime Change and Asymmetric Adjustment: A Short and Long Run Global Approach to the Output/Unemployment Dynamics.
en
oai:mpra.ub.uni-muenchen.de:14874
2019-10-04T10:06:44Z
7374617475733D707562
7375626A656374733D43:4333:433332
7375626A656374733D43:4335:433531
7375626A656374733D45:4533:453331
7375626A656374733D45:4533:453337
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/14874/
Efecto transferencia (pass-through) del tipo de cambio en los precios de bienes y servicios en Venezuela
Mendoza Lugo, Omar
Pedauga, Luis Enrique
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C51 - Model Construction and Estimation
E31 - Price Level ; Inflation ; Deflation
E37 - Forecasting and Simulation: Models and Applications
This paper delves into the asymmetries of the exchange rate pass-through on prices in the case of Venezuela, extending the analysis of Mendoza (2004) the prices of goods and services. The data used is monthly for the period 07/90 -12/04. We find that pass-through in services is less than pass-through in goods. This result may reflect the presence of a major component of non-tradables in the former than the latter. For both groups there is evidence of price asymmetries associated mainly to the behavior of oil prices, the misalignment of the real exchange rate and monetary expansions or contractions.
2006-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/14874/1/MPRA_paper_14874.pdf
Mendoza Lugo, Omar and Pedauga, Luis Enrique (2006): Efecto transferencia (pass-through) del tipo de cambio en los precios de bienes y servicios en Venezuela. Published in: Nueva Economía , Vol. XV, No. 26
es
oai:mpra.ub.uni-muenchen.de:15139
2019-09-26T18:40:35Z
7374617475733D707562
7375626A656374733D43:4335:433531
7375626A656374733D43:4333:433332
7375626A656374733D4E:4E33:4E3335
7375626A656374733D52:5234:523431
7375626A656374733D4A:4A31:4A3131
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/15139/
Passenger Car Ownership Estimation toward 2030 in Japan: BAU Scenario with Socio-economic Factors
Hirota, Keiko
C51 - Model Construction and Estimation
C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
N35 - Asia including Middle East
R41 - Transportation: Demand, Supply, and Congestion ; Travel Time ; Safety and Accidents ; Transportation Noise
J11 - Demographic Trends, Macroeconomic Effects, and Forecasts
The estimation of passenger car ownership is a crucial estimation for auto-related production and for the analysis of many transportation-related policies such as Green House Gas (GHG), emissions, and energy consumption policies. Previous studies of car ownership estimation have generally focused on accurate adherence to the track record, statistical signification, or model structure; however, there are problems in focusing on all these factors together. A variation in the assumptions can produce different forecast results. Further, the uncertainties in the forecasting processes were enormous, and this made the final results unreliable. It is important for these previous studies with economic variables to have accurate results of passenger car ownership with regard to the various estimation factors such as emission levels, CO2, and car parts production. For the production estimation and for the policy analysis, it is necessary to draw a car ownership pattern as a baseline scenario “the Business as Usual.”
The purpose of our passenger car ownership estimation model with the Business as Usual scenario ―JARI BAU Model―. JARI BAU Model is to estimate passenger car ownership by resolving these difficulties. Our passenger car ownership estimation model with the JARI BAU Model for the demand function is intended to provide information on the total passenger car ownership in Japan from the present time until the year 2030.
This paper is an attempt at methodological amelioration by conducting a fairly comprehensive literature survey on the estimation models of passenger car ownership. The estimated results will be strictly examined by t-value, and regression coefficients will be estimated at the 1% significance level. The accuracy of the estimated result will be compared to the statistical record.
This paper is unique in that it attempts to estimate car ownership solely on the basis of socioeconomic trends, without including the physical characteristics of automobiles such as fuel economy, vehicle age, or infrastructure development. Considering an aging society with a declining birth rate and an increasing governmental debt, the population may be polarized into high- and low-income groups. The polarization of income distribution affects the polarization of car ownership. We assume that the driver’s license holders in the high-income group can own their vehicles.
The BAU model estimates 60.09 million passenger vehicles in 2010 and 61.59 million in 2030. The estimation model improves both the accuracy and statistical estimation. From the viewpoint of accuracy, the deviation is between –4% and +8% as compared with the actual record. The estimated t-values are significant for the entire data set and the limited data set (the 1970s, 1980s, and 1990–2002).
2006-03-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/15139/2/MPRA_paper_15139.pdf
Hirota, Keiko (2006): Passenger Car Ownership Estimation toward 2030 in Japan: BAU Scenario with Socio-economic Factors. Published in: Studies in Regional Science , Vol. 37, No. 1 (2007): pp. 25-39.
en
oai:mpra.ub.uni-muenchen.de:15215
2019-09-30T15:39:47Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D45:4533:453332
7375626A656374733D4C:4C38:4C3833
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/15215/
A Dynamic Correlation Approach of the Swiss Tourism Income
Leon, Costas
Eeckels, Bruno
C51 - Model Construction and Estimation
E32 - Business Fluctuations ; Cycles
L83 - Sports ; Gambling ; Restaurants ; Recreation ; Tourism
We apply cross-spectral methods, dynamic correlation index of comovements and a VAR model to study the cyclical components of GDP and tourism income of Switzerland with annual data for the period 1980 – 2007. We find evidence of 4 dominant cycles for GDP and an average duration between 9 and 11 years. Tourism income is characterized by more cycles, giving an average cycle of about 8 years. There are also common cycles both in the typical business cycle and in the longer-run frequency bands. Lead / lag analysis shows that the two cyclical components are roughly synchronized. Simulations via a VAR model show that the maximum effect of 1% GDP shock on tourism income is higher than the maximum effect of 1% tourism income shock on GDP. The effects of these shocks last for about 12-14 years, although the major part of the shocks is absorbed within 5-6 years.
2009-05-13
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/15215/1/MPRA_paper_15215.pdf
Leon, Costas and Eeckels, Bruno (2009): A Dynamic Correlation Approach of the Swiss Tourism Income.
en
oai:mpra.ub.uni-muenchen.de:15249
2019-09-30T10:00:17Z
7374617475733D756E707562
7375626A656374733D43:4335:433531
7375626A656374733D4A:4A31:4A3134
7375626A656374733D49:4933:493331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/15249/
Happiness and age cycles – return to start…
Fischer, Justina AV
C51 - Model Construction and Estimation
J14 - Economics of the Elderly ; Economics of the Handicapped ; Non-Labor Market Discrimination
I31 - General Welfare, Well-Being
Previous happiness research has explicitly assumed that subjective well-being is U-shaped in age. This paper sheds new light on this issue testing several functional forms. Using micro data from the World Values Survey on 44’000 persons in 30 economically well-developed OECD countries with long life expectancies, we reveal that age follows a hyperbolic form. We find that life satisfaction reaches another local maximum around the age of 83, with a level identical to that of a 26-years old. This hyperbolic well-being-age relation is robust to the inclusion of cohort effects. We corroborate the functional form using a sample of non-OECD countries.
2009-02-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/15249/1/MPRA_paper_15249.pdf
Fischer, Justina AV (2009): Happiness and age cycles – return to start….
en
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