Download or read book Fully Modified Estimation with Nearly Integrated Regressors written by Erik Hjalmarsson and published by . This book was released on 2006 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Inference in Regression Models with Nearly Integrated Regressors written by Michael Jansson and published by . This book was released on 2004 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers the problem of conducting inference on the regression coefficient in a bivariate regression model with a highly persistent regressor. Gaussian power envelopes are obtained for a class of testing procedures satisfying a conditionality restriction. In addition, the paper proposes feasible testing procedures that attain these Gaussian power envelopes whether or not the innovations of the regression model are normally distributed.

Download or read book Essays in Honor of Joon Y Park written by Yoosoon Chang and published by Emerald Group Publishing. This book was released on 2023-04-24 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.

Download or read book New Methods for Inference in Long run Predictive Regressions written by Erik Hjalmarsson and published by . This book was released on 2006 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Nonstationary Panels Panel Cointegration and Dynamic Panels written by Badi H. Baltagi and published by Elsevier. This book was released on 2000 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 16th Edition of Advances in Econometrics we present twelve papers discussing the current interface between Marketing and Econometrics. The authors are leading scholars in the fields and introduce the latest models for analysing marketing data. The papers are representative of the types of problems and methods that are used within the field of marketing. Marketing focuses on the interaction between the firm and the consumer. Economics encompasses this interaction as well as many others. Economics, along with psychology and sociology, provides a theoretical foundation for marketing.

Download or read book Econometric Analysis of Panel Data written by Badi H. Baltagi and published by Springer Nature. This book was released on 2021-03-16 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook offers a comprehensive introduction to panel data econometrics, an area that has enjoyed considerable growth over the last two decades. Micro and Macro panels are becoming increasingly available, and methods for dealing with these types of data are in high demand among practitioners. Software programs have fostered this growth, including freely available programs in R and numerous user-written programs in both Stata and EViews. Written by one of the world’s leading researchers and authors in the field, Econometric Analysis of Panel Data has established itself as the leading textbook for graduate and postgraduate courses on panel data. It provides up-to-date coverage of basic panel data techniques, illustrated with real economic applications and datasets, which are available at the book’s website on springer.com. This new sixth edition has been fully revised and updated, and includes new material on dynamic panels, limited dependent variables and nonstationary panels, as well as spatial panel data. The author also provides empirical illustrations and examples using Stata and EViews. “This is a definitive book written by one of the architects of modern, panel data econometrics. It provides both a practical introduction to the subject matter, as well as a thorough discussion of the underlying statistical principles without taxing the reader too greatly." Professor Kajal Lahiri, State University of New York, Albany, USA. "This book is the most comprehensive work available on panel data. It is written by one of the leading contributors to the field, and is notable for its encyclopaedic coverage and its clarity of exposition. It is useful to theorists and to people doing applied work using panel data. It is valuable as a text for a course in panel data, as a supplementary text for more general courses in econometrics, and as a reference." Professor Peter Schmidt, Michigan State University, USA. “Panel data econometrics is in its ascendancy, combining the power of cross section averaging with all the subtleties of temporal and spatial dependence. Badi Baltagi provides a remarkable roadmap of this fascinating interface of econometric method, enticing the novitiate with technical gentleness, the expert with comprehensive coverage and the practitioner with many empirical applications.” Professor Peter C. B. Phillips, Cowles Foundation, Yale University, USA.

Download or read book Modeling Direct Investment Valuation Adjustments and Estimating Quarterly Positions written by Jane Ihrig and published by . This book was released on 2006 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Finance Discussion Papers written by and published by . This book was released on 2008 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing the Expectations Hypothesis when Interest Rates are Near Integrated written by Meredith J. Beechey and published by . This book was released on 2008 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Nominal interest rates are unlikely to be generated by unit-root processes. Using data on short and long interest rates from eight developed and six emerging economies, we test the expectations hypothesis using cointegration methods under the assumption that interest rates are near integrated. If the null hypothesis of no cointegration is rejected, we then test whether the estimated cointegrating vector is consistent with that suggested by the expectations hypothesis. The results show support for cointegration in ten of the fourteen countries we consider, and the cointegrating vector is similar across countries. However, the parameters differ from those suggested by theory. We relate our findings to existing literature on the failure of the expectations hypothesis and to the role of term premia"--Federal Reserve Board web site.

Download or read book Trade Integration Competition and the Decline in Exchange rate Pass through written by Christopher J. Gust and published by . This book was released on 2006 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Predictive Regressions with Panel Data written by Erik Hjalmarsson and published by . This book was released on 2006 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Closing Open Economy Models written by Martin Bodenstein and published by . This book was released on 2006 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Co integration Error Correction and the Econometric Analysis of Non Stationary Data written by Anindya Banerjee and published by Oxford University Press. This book was released on 1993-05-27 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a wide-ranging account of the literature on co-integration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behaviour are common in economics, although techniques appropriate to analysing such data are of recent origin and there are few existing expositions of the literature. This book focuses on the exploration of relationships among integrated data series and the exploitation of these relationships in dynamic econometric modelling. The concepts of co-integration and error-correction models are fundamental components of the modelling strategy. This area of time-series econometrics has grown in importance over the past decade and is of interest to econometric theorists and applied econometricians alike. By explaining the important concepts informally, but also presenting them formally, the book bridges the gap between purely descriptive and purely theoretical accounts of the literature. The asymptotic theory of integrated processes is described and the tools provided by this theory are used to develop the distributions of estimators and test statistics. Practical modelling advice, and the use of techniques for systems estimation, are also emphasized. A knowledge of econometrics, statistics, and matrix algebra at the level of a final-year undergraduate or first-year undergraduate course in econometrics is sufficient for most of the book. Other mathematical tools are described as they occur.

Download or read book Transmission of Volatility and Trading Activity in the Global Interdealer Foreign Exchange Market written by Fang Cai and published by . This book was released on 2006 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Does the Time Inconsistency Problem Make Flexible Exchange Rates Look Worse Than You Think written by Roc Armenter and published by . This book was released on 2006 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Efficiency in Housing Markets written by Erik Hjalmarsson and published by . This book was released on 2006 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Globalization of Indian Industries written by Filip De Beule and published by Springer. This book was released on 2015-11-07 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on Indian manufacturing industries and analyses the impact of inward foreign direct investment on the domestic sector on the one hand, and exports and outward foreign direct investment by Indian companies on the other. Although the emphasis is mostly general, specific industries, such as the automotive industry or the wind energy sector are also explored. The differences between low and high technology industries are also addressed. In terms of theoretical setting and analysis, the book draws both from international business and industrial organization literature. The various characteristics of Indian industries, such as the determinants and impacts of R&D, the effects of spillovers, the drivers of productivity and technical efficiency are thoroughly researched employing appropriate quantitative methodologies that are relevant to the specific domain and topic under investigation. The book also focuses on the bearing of policy on promoting manufacturing industries in India and is therefore of interest to researchers, industrialists and policy makers alike.