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Results 21 - 30
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128,862
Error Correction Models of MSA Housing “Supply” Elasticities: Implications for Price Recovery
, 2014
"... MSA-level estimates of a housing supply schedule must offer a solution to the twin problems of simultaneity and stationarity that plague the time series data for local housing prices and stock. An Error Correction Model (ECM) is shown to provide a solution to stationarity, but not simultaneity. A Ve ..."
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MSA-level estimates of a housing supply schedule must offer a solution to the twin problems of simultaneity and stationarity that plague the time series data for local housing prices and stock. An Error Correction Model (ECM) is shown to provide a solution to stationarity, but not simultaneity. A
Bayesian Analysis of Markov Switching Vector Error Correction Model
"... This paper introduces a Bayesian approach to a Markov switching vector error correction model that allows for regime shifts in the intercept terms, the lag terms, the adjustment terms and the variance-covariance matrix. The pro-posed Bayesian method allows for estimation of the cointegrating vector ..."
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This paper introduces a Bayesian approach to a Markov switching vector error correction model that allows for regime shifts in the intercept terms, the lag terms, the adjustment terms and the variance-covariance matrix. The pro-posed Bayesian method allows for estimation of the cointegrating vector
A Quarterly Foreign Trade Error Correction Model of China *
"... This paper applies dynamic specification approach and error correction model form to construct a quarterly foreign trade model of China at the aggregate level for the period of 1992-2004. The empirical results indicate China’s imports and exports depend on each other both in the long run and short r ..."
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This paper applies dynamic specification approach and error correction model form to construct a quarterly foreign trade model of China at the aggregate level for the period of 1992-2004. The empirical results indicate China’s imports and exports depend on each other both in the long run and short
Performance of Periodic Error Correction Models in Forecasting Consumption Data
, 1996
"... Periodic time series models have become an appealing tool for the analysis of time series showing distinct seasonal patterns. Since these models condition the data--generating mechanism of a given time series on the season they are able to cope with periodic generalisations of common economic models ..."
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Cited by 5 (0 self)
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. Different specifications of a periodic Error--Correction Model (ECM) for the consumption series are used for estimation and forecasting. The analysed time series are consumption and income series from UK, Sweden, Germany and Japan.
Estimation of Nonlinear Error Correction Models. Forthcoming in Econometric Theory
, 2010
"... Asymptotic theory for the estimation of nonlinear vector error correction mod-els (VECM) that exhibit regime-speci
c short-run dynamics is developed. In par-ticular, regimes are determined by the error correction term and the transition between regimes is allowed to be discontinuous, as in e.g. thre ..."
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Cited by 4 (2 self)
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Asymptotic theory for the estimation of nonlinear vector error correction mod-els (VECM) that exhibit regime-speci
c short-run dynamics is developed. In par-ticular, regimes are determined by the error correction term and the transition between regimes is allowed to be discontinuous, as in e
A Sieve Bootstrap Test for Cointegration in a Conditional Error Correction Model
, 2007
"... In this paper we propose a bootstrap version of the Wald test for cointegration in a single-equation conditional error correction model. The multivariate sieve bootstrap is used to deal with dependence in the series. We show that the introduced bootstrap test is asymptotically valid. We also analyze ..."
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Cited by 4 (2 self)
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In this paper we propose a bootstrap version of the Wald test for cointegration in a single-equation conditional error correction model. The multivariate sieve bootstrap is used to deal with dependence in the series. We show that the introduced bootstrap test is asymptotically valid. We also
An Evolutionary Algorithm for the Estimation of Threshold Vector Error Correction Models ✩
"... We develop an evolutionary algorithm to estimate Threshold Vector Error Correction models (TVECM) with more than two cointegrated variables. Since disregarding a threshold in cointegration models renders standard approaches to the estimation of the cointegration vectors inefficient, TVECM necessitat ..."
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Cited by 1 (0 self)
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We develop an evolutionary algorithm to estimate Threshold Vector Error Correction models (TVECM) with more than two cointegrated variables. Since disregarding a threshold in cointegration models renders standard approaches to the estimation of the cointegration vectors inefficient, TVECM
Testing the Purchasing Power Parity in Pooled Systems of Error Correction Models
, 2000
"... In this paper we test the purchasing power parity for the post Bretton Woods period for 18 main industrial countries. As base currencies we use alternatively the Deutsche mark, the Japanese yen, and the US dollar. We employ error correction models for single countries and on the level of pooled equa ..."
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In this paper we test the purchasing power parity for the post Bretton Woods period for 18 main industrial countries. As base currencies we use alternatively the Deutsche mark, the Japanese yen, and the US dollar. We employ error correction models for single countries and on the level of pooled
Impulse Response Analysis with Long Run Restrictions on Error Correction Models
, 2000
"... This paper investigates impulse response analysis with long-run restrictions on vector error-correction models (VECMs), where cointegrating vectors are not necessarily identified. Structural shocks are decomposed into permanent and transitory components. Long-run identifying restrictions are imposed ..."
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Cited by 6 (2 self)
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This paper investigates impulse response analysis with long-run restrictions on vector error-correction models (VECMs), where cointegrating vectors are not necessarily identified. Structural shocks are decomposed into permanent and transitory components. Long-run identifying restrictions
PROPERTY CRIME AND MACROECONOMIC VARIABLES IN MALAYSIA: SOME EMPIRICAL EVIDENCE FROM A VECTOR ERROR-CORRECTION MODEL
, 2008
"... variables in Malaysia: Some empirical evidence from a vector error-correction model ..."
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variables in Malaysia: Some empirical evidence from a vector error-correction model
Results 21 - 30
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128,862
