Results 1 - 10 of 1,617

An autoregressive distributed lag modelling approach to cointegration analysis

by M. Hashem Pesaran - Cambridge University , 1999
"... This paper examines the use of autoregressive distributed lag (ARDL) models for the analysis of long-run relations when the underlying variables are I(1). It shows that after appropriate augmentation of the order of the ARDL model, the OLS estimators of the short-run parameters are p T-consistent wi ..."
Abstract - Cited by 393 (6 self) - Add to MetaCart
This paper examines the use of autoregressive distributed lag (ARDL) models for the analysis of long-run relations when the underlying variables are I(1). It shows that after appropriate augmentation of the order of the ARDL model, the OLS estimators of the short-run parameters are p T

Investing for the long run when returns are predictable

by Nicholas Barberis - Journal of Finance , 2000
"... We examine how the evidence of predictability in asset returns affects optimal portfolio choice for investors with long horizons. Particular attention is paid to estimation risk, or uncertainty about the true values of model parameters. We find that even after incorporating parameter uncertainty, th ..."
Abstract - Cited by 444 (0 self) - Add to MetaCart
We examine how the evidence of predictability in asset returns affects optimal portfolio choice for investors with long horizons. Particular attention is paid to estimation risk, or uncertainty about the true values of model parameters. We find that even after incorporating parameter uncertainty

Panel Cointegration; Asymptotic and Finite Sample Properties of Pooled Time Series Tests, With an Application to the PPP Hypothesis; New Results. Working paper

by Peter Pedroni , 1997
"... We examine properties of residual-based tests for the null of no cointegration for dynamic panels in which both the short-run dynamics and the long-run slope coefficients are permitted to be heterogeneous across individual members of the panel+ The tests also allow for individual heterogeneous fixed ..."
Abstract - Cited by 529 (13 self) - Add to MetaCart
We examine properties of residual-based tests for the null of no cointegration for dynamic panels in which both the short-run dynamics and the long-run slope coefficients are permitted to be heterogeneous across individual members of the panel+ The tests also allow for individual heterogeneous

Long-run price elasticities . . .

by Dean Karlan, Jonathan Zinman , 2013
"... The long-run price elasticity of demand for credit is a key parameter for intertemporal modeling, policy levers, and lending practice. We use randomized interest rates, offered across 80 regions by Mexico’s largest microlender, to identify a 29-month dollars-borrowed elasticity of-1.9. This elastici ..."
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The long-run price elasticity of demand for credit is a key parameter for intertemporal modeling, policy levers, and lending practice. We use randomized interest rates, offered across 80 regions by Mexico’s largest microlender, to identify a 29-month dollars-borrowed elasticity of-1

Analysis of Long-Running Replicated Systems

by Sriram Ramabhadran , et al. - IN PROC. OF THE 25TH IEEE ANNUAL CONFERENCE ON COMPUTER COMMUNICATIONS (INFOCOM , 2006
"... We address the problem of using replication to reliably maintain state in a distributed system for time spans that far exceed the lifetimes of individual replicas. This scenario is relevant for any system comprised of a potentially large and selectable number of replicated components, each of which ..."
Abstract - Cited by 50 (4 self) - Add to MetaCart
storage and bandwidth limits on the system, and describe methods to optimally choose system parameters so as to maximize lifetime. Our analysis sheds light on the efficacy of various replication strategies.

Nonlinear Minimization Estimators in the Presence of Cointegrating Relations

by Robert M. De Jong , 2001
"... In this paper, we consider estimation of a long-run and a short-run parameter jointly in the presence of nonlinearities. The theory developed establishes limit behavior of minimization estimators of the long-run and short-run parameters jointly. Typically, if the long-run parameter that is presen ..."
Abstract - Cited by 4 (0 self) - Add to MetaCart
In this paper, we consider estimation of a long-run and a short-run parameter jointly in the presence of nonlinearities. The theory developed establishes limit behavior of minimization estimators of the long-run and short-run parameters jointly. Typically, if the long-run parameter

On visible surface generation by a priori tree structures

by Henry Fuchs, Zvi M. Kedem, Bruce F. Naylor - Computer Graphics , 1980
"... This paper describes a new algorithm for solving the hidden surface (or line) problem, to more rapidly generate realistic images of 3-D scenes composed of polygons, and presents the development of theoretical foundations in the area as well as additional related algorithms. As in many applications t ..."
Abstract - Cited by 370 (6 self) - Add to MetaCart
the environment to be displayed consists of polygons many of whose relative geometric relations are static, we attempt to capitalize on this by pre processing tile environment,s database so as to decrease the run-time computations required to generate a scene. This preprocessing is based on generating a &

Estimating Long Run and Short Run Effects in Static Panel Models

by Peter Egger, Michael Pfaffermayr, Peter Egger, Michael Pfaffermayr , 2003
"... This paper assesses the biases of four different estimators with re-spect to the short run and the long run parameters if a static panel model is used, although the data generating process is a dynamic error components model. We analytically derive the associated biases and provide a discussion of t ..."
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This paper assesses the biases of four different estimators with re-spect to the short run and the long run parameters if a static panel model is used, although the data generating process is a dynamic error components model. We analytically derive the associated biases and provide a discussion

Linear Regression Limit Theory for Nonstationary Panel Data

by Peter C. B. Phillips, Hyungsik R. Moon - ECONOMETRICA , 1999
"... This paper develops a regression limit theory for nonstationary panel data with large numbers of cross section Ž n. and time series Ž T. observations. The limit theory allows for both sequential limits, wherein T� � followed by n��, and joint limits where T, n�� simultaneously; and the relationship ..."
Abstract - Cited by 312 (22 self) - Add to MetaCart
between these multidimensional limits is explored. The panel structures considered allow for no time series cointegration, heterogeneous cointegration, homogeneous cointegration, and near-homogeneous cointegration. The paper explores the existence of long-run average relations between integrated panel

Long-Run Neutrality in a Long-Memory Model

by Sangkun Bae, Mark J. Jensen
"... . In this paper we use a bivariate, fractionally integrated, autoregressive, moving average model of money and real output to extend Fisher and Seater (1993) long-run neutrality requirements to longmemory processes. We derive new restrictions on the order of the nominal and real variable and discuss ..."
Abstract - Cited by 1 (0 self) - Add to MetaCart
. In this paper we use a bivariate, fractionally integrated, autoregressive, moving average model of money and real output to extend Fisher and Seater (1993) long-run neutrality requirements to longmemory processes. We derive new restrictions on the order of the nominal and real variable
Results 1 - 10 of 1,617