Empirical Vector Autoregressive Modeling
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Empirical Vector Autoregressive Modeling
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Author : Marius Ooms
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Empirical Vector Autoregressive Modeling written by Marius Ooms and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
1. 1 Integrating results The empirical study of macroeconomic time series is interesting. It is also difficult and not immediately rewarding. Many statistical and economic issues are involved. The main problems is that these issues are so interrelated that it does not seem sensible to address them one at a time. As soon as one sets about the making of a model of macroeconomic time series one has to choose which problems one will try to tackle oneself and which problems one will leave unresolved or to be solved by others. From a theoretic point of view it can be fruitful to concentrate oneself on only one problem. If one follows this strategy in empirical application one runs a serious risk of making a seemingly interesting model, that is just a corollary of some important mistake in the handling of other problems. Two well known examples of statistical artifacts are the finding of Kuznets "pseudo-waves" of about 20 years in economic activity (Sargent (1979, p. 248)) and the "spurious regression" of macroeconomic time series described in Granger and Newbold (1986, §6. 4). The easiest way to get away with possible mistakes is to admit they may be there in the first place, but that time constraints and unfamiliarity with the solution do not allow the researcher to do something about them. This can be a viable argument.
Model Reduction Methods For Vector Autoregressive Processes
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Author : Ralf Brüggemann
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-09-25
Model Reduction Methods For Vector Autoregressive Processes written by Ralf Brüggemann and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-25 with Mathematics categories.
1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the dominant research tools in the analysis of macroeconomic time series during the last two decades. The great success of this modeling class started with Sims' (1980) critique of the traditional simultaneous equation models (SEM). Sims criticized the use of 'too many incredible restrictions' based on 'supposed a priori knowledge' in large scale macroeconometric models which were popular at that time. Therefore, he advo cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Ever since his influential paper these models have been employed extensively to characterize the underlying dynamics in systems of time series. In particular, tools to summarize the dynamic interaction between the system variables, such as impulse response analysis or forecast error variance decompo sitions, have been developed over the years. The econometrics of VAR models and related quantities is now well established and has found its way into various textbooks including inter alia Llitkepohl (1991), Hamilton (1994), Enders (1995), Hendry (1995) and Greene (2002). The unrestricted VAR model provides a general and very flexible framework that proved to be useful to summarize the data characteristics of economic time series. Unfortunately, the flexibility of these models causes severe problems: In an unrestricted VAR model, each variable is expressed as a linear function of lagged values of itself and all other variables in the system.
Structural Vector Autoregressive Analysis
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Author : Lutz Kilian
language : en
Publisher: Cambridge University Press
Release Date : 2017-11-23
Structural Vector Autoregressive Analysis written by Lutz Kilian and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-11-23 with Business & Economics categories.
This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.
Empirical Implications Of Theoretical Models In Political Science
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Author : Jim Granato
language : en
Publisher: Cambridge University Press
Release Date : 2021-05-13
Empirical Implications Of Theoretical Models In Political Science written by Jim Granato and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-05-13 with Political Science categories.
Provides a framework to demonstrate how to unify formal, theoretical and empirical analysis through various interdisciplinary examples.
The Cointegrated Var Model
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Author : Katarina Juselius
language : en
Publisher: OUP Oxford
Release Date : 2006-12-07
The Cointegrated Var Model written by Katarina Juselius and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-12-07 with Business & Economics categories.
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Simulation Tools And Techniques
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Author : Houbing Song
language : en
Publisher: Springer Nature
Release Date : 2021-04-26
Simulation Tools And Techniques written by Houbing Song and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-04-26 with Computers categories.
This two-volume set constitutes the refereed post-conference proceedings of the 12th International Conference on Simulation Tools and Techniques, SIMUTools 2020, held in Guiyang, China, in August 2020. Due to COVID-19 pandemic the conference was held virtually. The 125 revised full papers were carefully selected from 354 submissions. The papers focus on simulation methods, simulation techniques, simulation software, simulation performance, modeling formalisms, simulation verification and widely used frameworks.
Icidc 2022
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Author : Zuriati Ahmad Zukarnain
language : en
Publisher: European Alliance for Innovation
Release Date : 2022-10-13
Icidc 2022 written by Zuriati Ahmad Zukarnain and has been published by European Alliance for Innovation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-10-13 with Computers categories.
The 2022 International Conference on Information Economy, Data Modeling and Cloud Computing (ICIDC 2022) was successfully held in Qingdao, China from June 17 to 19, 2022. Under the impact of COVID-19, ICIDC 2022 was held adopting a combination of online and offline conference. During this conference, we were greatly honored to have Prof Datuk Dr Hj Kasim Hj Md Mansur from Universiti Malaysia Sabah, Malaysia to serve as our Conference Chairman. And there were 260 individuals attending the conference. The conference agenda was composed of keynote speeches, oral presentations, and online Q&A discussion. The proceedings of ICIDC 2022 cover various topics, including Big Data Finance, E-Commerce and Digital Business, Modeling Method, 3D Modeling, Internet of Things, Cloud Computing Platform, etc. All the papers have been checked through rigorous review and processes to meet the requirements of publication. Data modeling allows us to obtain the dynamic change trend of various indicator data, so how to use big data information to model and study the development trend of economic operation plan is of great significance. And that is exactly the purpose of this conference, focusing on the application of big data in the economic field as well as conducting more profound research in combination with cloud computing.
Modelling Regional Scenarios For The Enlarged Europe
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Author : Roberta Capello
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-02-01
Modelling Regional Scenarios For The Enlarged Europe written by Roberta Capello and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-02-01 with Business & Economics categories.
Tackling the question of what the European territory will look like over the next fifteen years, this volume provides quali-quantitative territorial scenarios for the enlarged Europe, under different assumptions on future globalisation strategies of BRIC (Brazil, Russia, India and China) and East and West European countries. The approach is as neutral as possible vis-à-vis the results, leading to a new forecasting model, the MASST model, built by the authors.
Econometric Decision Models
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Author : Josef Gruber
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-29
Econometric Decision Models written by Josef Gruber and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-29 with Business & Economics categories.
This volume contains a refereed selection of revised papers which were originally presented at the Second International Conference on Econometric Decision Models, University of Hagen (FernUni versitat). The conference was held in Haus Nordhelle, a meeting place in the mountainous area " Sauerland" , some 50 kilometers south of Hagen, on August 29 - September 1, 1989. Some details about this conference are given in the first paper, they need not be repeated here. The 40 papers included in this volume are organized in 10 "parts", shown in the table of contents. Included are such "fashionable" topics like "optimal control", "cointegration" and "rational expec tations models". In each part, the papers have been arranged alphabetically by author, unless there were good reasons for a different arrangement. To facilitate the decision making of the readers, all papers (except a few short ones) contain an abstract, a list of keywords and a table of contents. At the end of the proceedings volume, there is a list of authors. More than ten years ago, I began to organize meetings of econometricians, mainly called "seminar" or " colloquium". One major purpose of these meetings has always been to improve international cooperation of econometric model builders (and model users) from "the East" and "the West". Unprecedented changes to the better have taken place recently ("perestroika"). For a large fraction of participants from the Soviet Union, the 1989 conference was the first conference in a Western country.
Bayesian Analysis Of Time Varying Parameter Vector Autoregressive Model For The Japanese Economy And Monetary Policy
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Author : Jouchi Nakajima
language : en
Publisher:
Release Date : 2009
Bayesian Analysis Of Time Varying Parameter Vector Autoregressive Model For The Japanese Economy And Monetary Policy written by Jouchi Nakajima and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Japan categories.
This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The time-varying parameters are estimated via the Markov chain Monte Carlo method and the posterior estimates of parameters reveal the time-varying structure of the Japanese economy and monetary policy during the period from 1981 to 2008. The marginal likelihoods of the TVP-VAR model and other VAR models are also estimated. The estimated marginal likelihoods indicate that the TVP-VAR model best fits the Japanese economic data.--Author's abstract.