The Fully Modified OLS Estimator as a System Estimator PDF Download

Author: Kristina Kostial
Publisher:
ISBN:
Category : Cointegration
Languages : en
Pages : 68

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Author: P. C. B. Phillips
Publisher: Cambridge University Press
ISBN: 9780521807234
Category : Business & Economics
Languages : en
Pages : 390

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Book Description
The essays in this book explore important theoretical and applied advances in econometrics.

Author: Badi H. Baltagi
Publisher: Elsevier
ISBN: 0762306882
Category : Business & Economics
Languages : en
Pages : 351

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Book Description
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.

Author: Robert A. Meyers
Publisher: Springer Science & Business Media
ISBN: 1441977007
Category : Business & Economics
Languages : en
Pages : 919

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Book Description
Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.

Author: M. Hashem Pesaran
Publisher: Oxford University Press
ISBN: 0191058475
Category : Business & Economics
Languages : en
Pages : 1443

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Book Description
This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual. It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.

Author: Jason K. Wong
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 46

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Author: Kevin D. Hoover
Publisher: Springer Science & Business Media
ISBN: 940110669X
Category : Business & Economics
Languages : en
Pages : 575

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Book Description
Each chapter of Macroeconometrics is written by respected econometricians in order to provide useful information and perspectives for those who wish to apply econometrics in macroeconomics. The chapters are all written with clear methodological perspectives, making the virtues and limitations of particular econometric approaches accessible to a general readership familiar with applied macroeconomics. The real tensions in macroeconometrics are revealed by the critical comments from different econometricians, having an alternative perspective, which follow each chapter.

Author: Prema-chandra Athukorala
Publisher: Asian Development Bank
ISBN: 9292579746
Category : Business & Economics
Languages : en
Pages : 291

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Book Description
This is a pivotal period in Sri Lanka's economic development. The end of conflict opens a door for accelerated economic growth and poverty reduction. Reform is needed to regain momentum because fiscal imbalances and rising public debt could jeopardize macroeconomic stability. The economy would benefit from significant trade and commercial policy reform. The labor market suffers from sluggish growth of formal sector employment and from skills mismatches, which can be addressed by changes in education policy and systems. The book analyzes these and related critical constraints on the Sri Lankan economy, and proposes a set of policy reforms that would lay the foundations for more rapid and inclusive development.

Author: G. S. Maddala
Publisher: Cambridge University Press
ISBN: 9780521587822
Category : Business & Economics
Languages : en
Pages : 528

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Book Description
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.

Author: Mr.Paolo Dudine
Publisher: International Monetary Fund
ISBN: 1475569793
Category : Business & Economics
Languages : en
Pages : 33

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Book Description
In this paper we provide short- and long-run tax buoyancy estimates for 107 countries (distributed between advanced, emerging and low-income) for the period 1980–2014. By means of Fully-Modified OLS and (Pooled) Mean Group estimators, we find that: i) for advanced economies both long-run and short-run buoyancies are not different from one; ii) long run tax buoyancy exceeds one in the case of CIT for advanced economies, PIT and SSC in emerging markets, and TGS for low income countries, iii) in advanced countries (emerging market economies) CIT (CIT and TGS) buoyancy is larger during contractions than during times of economic expansions; iv) both trade openness and human capital increase buoyancy while inflation and output volatility decrease it.