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V3' VECM PowerPoint PPT Presentation
V3' VECM - Engle and Granger's two step procedure and the 1-step ECM have concentrated on ... L (r , b): concentrated likelihood, given r and b, ...
Engle and Granger's two step procedure and the 1-step ECM have concentrated on ... L (r , b): concentrated likelihood, given r and b, ...
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Fiscal Effects of Foreign Aid An Application of Vector Autoregressive VAR Techniques PowerPoint PPT Presentation
Fiscal Effects of Foreign Aid An Application of Vector Autoregressive VAR Techniques - Deriving the VECM. Consider the VAR(2) Subtract to give. From RHS add and subtract. 20 ... Sims, C. (1980) Macro economics and Reality, Econometrica 48, 1-48. ...
Deriving the VECM. Consider the VAR(2) Subtract to give. From RHS add and subtract. 20 ... Sims, C. (1980) Macro economics and Reality, Econometrica 48, 1-48. ...
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Is%20Information%20Risk%20Priced?%20Evidence%20from%20the%20Price%20Discovery%20of%20Large%20Trades PowerPoint PPT Presentation
Is%20Information%20Risk%20Priced?%20Evidence%20from%20the%20Price%20Discovery%20of%20Large%20Trades - Is Information Risk Priced? Evidence from the Price Discovery of Large Trades Discussed by Yi-Tsung Lee NCCU Brief Summary By using VECM, this paper develops an ...
Is Information Risk Priced? Evidence from the Price Discovery of Large Trades Discussed by Yi-Tsung Lee NCCU Brief Summary By using VECM, this paper develops an ...
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MACROECONOMETRICS PowerPoint PPT Presentation
MACROECONOMETRICS - MACROECONOMETRICS. LAB 4 VARs and VECMs. ROADMAP. Everything ... twoway (line lrpkb lrconsumption if date q(2004.4)) (or alternatively, ... (Johansen trace ...
MACROECONOMETRICS. LAB 4 VARs and VECMs. ROADMAP. Everything ... twoway (line lrpkb lrconsumption if date q(2004.4)) (or alternatively, ... (Johansen trace ...
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PROC VARMAX PowerPoint PPT Presentation
PROC VARMAX - PROC VARMAX estimates both VAR and BVAR models for stationary. data ... title 'Simulated Data for VAR(1) Model'; proc gplot data=simul1; ...
PROC VARMAX estimates both VAR and BVAR models for stationary. data ... title 'Simulated Data for VAR(1) Model'; proc gplot data=simul1; ...
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An Empirical Evaluation of Relationship Between Crude Oil and Natural Gas Prices PowerPoint PPT Presentation
An Empirical Evaluation of Relationship Between Crude Oil and Natural Gas Prices - An Empirical Evaluation of Relationship Between Crude Oil ... Jose Villar. jvillar@eia.doe.gov. Natural Gas Division. Energy Information Administration (EIA) ...
An Empirical Evaluation of Relationship Between Crude Oil ... Jose Villar. jvillar@eia.doe.gov. Natural Gas Division. Energy Information Administration (EIA) ...
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The effect of the EU accession on the Hungarian beef market: a price transmission analysis PowerPoint PPT Presentation
The effect of the EU accession on the Hungarian beef market: a price transmission analysis - ... in Hungarian Forint and are referring to one kilogram product EVOLUTION OF SECTORAL PRICES METHODOLOGY Unit root test : Augmented Dickey-Fuller ... test: Johansen ...
... in Hungarian Forint and are referring to one kilogram product EVOLUTION OF SECTORAL PRICES METHODOLOGY Unit root test : Augmented Dickey-Fuller ... test: Johansen ...
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Forecasting Performance of Selected Econometric Models PowerPoint PPT Presentation
Forecasting Performance of Selected Econometric Models - ... marketing strategies and effective decision-making (Diebold and Mariano,1995). The need for market information (projection) has grown with the deregulation and ...
... marketing strategies and effective decision-making (Diebold and Mariano,1995). The need for market information (projection) has grown with the deregulation and ...
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R. Joyeux and G. Milunovich Forecasting Australian Passports PowerPoint PPT Presentation
R. Joyeux and G. Milunovich Forecasting Australian Passports - ... the number of passport applications lodged with the Department ... patterns in the number of passport applications make them difficult to forecast. ...
... the number of passport applications lodged with the Department ... patterns in the number of passport applications make them difficult to forecast. ...
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Spurious Regression and Simple Cointegration PowerPoint PPT Presentation
Spurious Regression and Simple Cointegration - Spurious Regression and Simple Cointegration Gloria Gonz lez-Rivera University of California, Riverside and Jes s Gonzalo U. Carlos III de Madrid
Spurious Regression and Simple Cointegration Gloria Gonz lez-Rivera University of California, Riverside and Jes s Gonzalo U. Carlos III de Madrid
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SVAR Modeling in STATA PowerPoint PPT Presentation
SVAR Modeling in STATA - After the reduced from VAR representation has been aptly estimated, the ... Amisano & C Gianni (1997): Topics in Structural VAR Econometrics, New York. ...
After the reduced from VAR representation has been aptly estimated, the ... Amisano & C Gianni (1997): Topics in Structural VAR Econometrics, New York. ...
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NEEDS ASSESSMENT ON training in MODELLING PowerPoint PPT Presentation
NEEDS ASSESSMENT ON training in MODELLING - title: needs assessment on capacity building program in economic modelling & forecasting for eac central banks author: dr. usengumukiza f licien
title: needs assessment on capacity building program in economic modelling & forecasting for eac central banks author: dr. usengumukiza f licien
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Multivariate Cointegartion PowerPoint PPT Presentation
Multivariate Cointegartion - Multivariate Cointegartion The Johansen Maximum Likelihood Procedure Granger Causality Tests Continued According to Granger, causality can be further sub-divided into ...
Multivariate Cointegartion The Johansen Maximum Likelihood Procedure Granger Causality Tests Continued According to Granger, causality can be further sub-divided into ...
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PRICE DISCOVERY IN SPOT and FUTURE HARD COMMODITY MARKETS PowerPoint PPT Presentation
PRICE DISCOVERY IN SPOT and FUTURE HARD COMMODITY MARKETS - Trading Places Movie. 3. We are going to talk about ... Introduction ... is reflected first in changed future prices or changed cash prices (Hoffman 1932) ...
Trading Places Movie. 3. We are going to talk about ... Introduction ... is reflected first in changed future prices or changed cash prices (Hoffman 1932) ...
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The Relationship between Crude Oil and Natural Gas Prices PowerPoint PPT Presentation
The Relationship between Crude Oil and Natural Gas Prices - Why focus on natural gas and oil prices? Historically, a 10:1 ratio between ... gas plants decrease the cost of electricity generation using gas ceteris paribus ...
Why focus on natural gas and oil prices? Historically, a 10:1 ratio between ... gas plants decrease the cost of electricity generation using gas ceteris paribus ...
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X. ANALISIS DATA PowerPoint PPT Presentation
X. ANALISIS DATA - X. ANALISIS DATA Oleh Bambang Juanda Pendahuluan: Analisis Data Analisis data: peroses mencakup penelusuran & pengungkapan informasi relevan dlm data; penyajian ...
X. ANALISIS DATA Oleh Bambang Juanda Pendahuluan: Analisis Data Analisis data: peroses mencakup penelusuran & pengungkapan informasi relevan dlm data; penyajian ...
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V1 Introduction to VAR PowerPoint PPT Presentation
V1 Introduction to VAR - 2. Sims (1980) critique is parallel to that of Lucas, but concentrate on the ... The spread between long and short term interest rates. Unanticipated inflation ...
2. Sims (1980) critique is parallel to that of Lucas, but concentrate on the ... The spread between long and short term interest rates. Unanticipated inflation ...
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2006 National Taiwan University International Conference in Finance PowerPoint PPT Presentation
2006 National Taiwan University International Conference in Finance - Similar institutional characteristics ... among distinct investor clienteles (retail/institutional; local/foreign; liquidity/informed) ...
Similar institutional characteristics ... among distinct investor clienteles (retail/institutional; local/foreign; liquidity/informed) ...
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Diapositiva 1 PowerPoint PPT Presentation
Diapositiva 1 - PPP = El tipo de cambio entre dos monedas es igual a la raz n de los ... El poder de compra de una unidad en una moneda es igual en ambas econom as. Dr. Galindo ...
PPP = El tipo de cambio entre dos monedas es igual a la raz n de los ... El poder de compra de una unidad en una moneda es igual en ambas econom as. Dr. Galindo ...
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TRATTAMENTO PowerPoint PPT Presentation
TRATTAMENTO - Are incidences of persistent disease after spontaneous abortion due to a early complete mole? ... Diagnosis of hydatidiform mole is often difficult ...
Are incidences of persistent disease after spontaneous abortion due to a early complete mole? ... Diagnosis of hydatidiform mole is often difficult ...
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International Market Integration for Natural Gas A Cointegration Analysis of Gas Prices in Europe, N PowerPoint PPT Presentation
International Market Integration for Natural Gas A Cointegration Analysis of Gas Prices in Europe, N - Engle, Robert F. and Clive W.J. Granger (1987): Cointegration and Error ... Houston, Texas, The James A. Baker III Institute for Public Policy. ...
Engle, Robert F. and Clive W.J. Granger (1987): Cointegration and Error ... Houston, Texas, The James A. Baker III Institute for Public Policy. ...
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BANCO CENTRAL DE COSTA RICA Estado actual de la modelacin y estrategias futuras Noviembre del 2004 PowerPoint PPT Presentation
BANCO CENTRAL DE COSTA RICA Estado actual de la modelacin y estrategias futuras Noviembre del 2004 - Marco anal tico para evaluar situaci n econ mica actual y evoluci n reciente ... Permite un v nculo m s estrecho entre la especificaci n estimada y el modelo ...
Marco anal tico para evaluar situaci n econ mica actual y evoluci n reciente ... Permite un v nculo m s estrecho entre la especificaci n estimada y el modelo ...
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Autocorrelation PowerPoint PPT Presentation
Autocorrelation - Chapter 6 Autocorrelation What is in this Chapter? How do we detect this problem? What are the consequences? What are the solutions? What is in this Chapter?
Chapter 6 Autocorrelation What is in this Chapter? How do we detect this problem? What are the consequences? What are the solutions? What is in this Chapter?
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Productivity Shocks, Budget Deficits and the Current Account Bussiere, Fratzscher, Muller Discussion PowerPoint PPT Presentation
Productivity Shocks, Budget Deficits and the Current Account Bussiere, Fratzscher, Muller Discussion - The Salad Days: 1980s papers (Summers, Bernheim, Roubini, Evans) ... If it is idiosyncratic white noise, aggregating will wash it out. ...
The Salad Days: 1980s papers (Summers, Bernheim, Roubini, Evans) ... If it is idiosyncratic white noise, aggregating will wash it out. ...
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Evaluating CPB Forecasts: A Comparison to VAR Models PowerPoint PPT Presentation
Evaluating CPB Forecasts: A Comparison to VAR Models - Evaluating CPB Forecasts: A Comparison to VAR Models. Introduction ... Who is CPB? Publish forecasts 4 times per year. Real' forecasts in March and September ...
Evaluating CPB Forecasts: A Comparison to VAR Models. Introduction ... Who is CPB? Publish forecasts 4 times per year. Real' forecasts in March and September ...
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Information PowerPoint PPT Presentation
Information - FAULTY PARTS IN AUTO INDUSTRY. HARMFUL CHEMICALS IN FOOD PRODUCTS ... AUTO RECALLS. COSTS involved with recalls. Direct costs are very small ...
FAULTY PARTS IN AUTO INDUSTRY. HARMFUL CHEMICALS IN FOOD PRODUCTS ... AUTO RECALLS. COSTS involved with recalls. Direct costs are very small ...
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Competitiveness and Efficiency of the Banking Sector and Economic Growth in Egypt PowerPoint PPT Presentation
Competitiveness and Efficiency of the Banking Sector and Economic Growth in Egypt - Insurance premium as a percentage of the GDP have reached ... Bill for mandatory insurance covering civil liability in automobile accidents. Mortgage Market ...
Insurance premium as a percentage of the GDP have reached ... Bill for mandatory insurance covering civil liability in automobile accidents. Mortgage Market ...
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Monetary Policy and Commodity Prices PowerPoint PPT Presentation
Monetary Policy and Commodity Prices - How the shifts in policy regime have impacted the access to external commercial borrowing (ECBs) ? How the key attributes of ... Dismantling of capital controls ...
How the shifts in policy regime have impacted the access to external commercial borrowing (ECBs) ? How the key attributes of ... Dismantling of capital controls ...
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BANK LENDING, BANK PERFORMANCE AND COMMERCIAL PROPERTY PRICES PowerPoint PPT Presentation
BANK LENDING, BANK PERFORMANCE AND COMMERCIAL PROPERTY PRICES - Little empirical evidence on link from commercial property cycle to credit cycle, ... Directed to real estate if high quality borrowers shift to securities market or ...
Little empirical evidence on link from commercial property cycle to credit cycle, ... Directed to real estate if high quality borrowers shift to securities market or ...
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Presented by Tatevik Zohrabyan PowerPoint PPT Presentation
Presented by Tatevik Zohrabyan - In contemporaneous time, South and Middle Atlantics as well as the New England ... Dynamic and contemporaneous linkages among the house prices of nine US regions ...
In contemporaneous time, South and Middle Atlantics as well as the New England ... Dynamic and contemporaneous linkages among the house prices of nine US regions ...
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Modelling labour market at the MNB Zolt PowerPoint PPT Presentation
Modelling labour market at the MNB Zolt - Inflation fcast error analysis at the MNB, what are the main ... Modified UIP 'l Schmitt-Grohe and Uribe. Currently calibrated version, estimation underway ...
Inflation fcast error analysis at the MNB, what are the main ... Modified UIP 'l Schmitt-Grohe and Uribe. Currently calibrated version, estimation underway ...
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Diapositiva 1 PowerPoint PPT Presentation
Diapositiva 1 - Debate 'Measurement without theory' Existen diferentes tipos de ciclo y tendencia: ... 2SLS y luego LR para = 0. MODELOS MULTIVARIADOS DE CICLO Y TENDENCIA ...
Debate 'Measurement without theory' Existen diferentes tipos de ciclo y tendencia: ... 2SLS y luego LR para = 0. MODELOS MULTIVARIADOS DE CICLO Y TENDENCIA ...
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Evaluating Hedging Performance PowerPoint PPT Presentation
Evaluating Hedging Performance - pt = a b pt-1 ut, where pt is the change in spot prices, i.e., spot return ... Cuv is the covariance between ut and vt. Var(.) is the variance ...
pt = a b pt-1 ut, where pt is the change in spot prices, i.e., spot return ... Cuv is the covariance between ut and vt. Var(.) is the variance ...
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UNIT ROOTS PowerPoint PPT Presentation
UNIT ROOTS - 157 observations used in the estimation of all ADF regressions. ... 95% critical value for the augmented Dickey-Fuller statistic = -2.8799 ...
157 observations used in the estimation of all ADF regressions. ... 95% critical value for the augmented Dickey-Fuller statistic = -2.8799 ...
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Interdependence between USA, Western European and CEE Stock Markets PowerPoint PPT Presentation
Interdependence between USA, Western European and CEE Stock Markets - the academy of economic studies bucharest the faculty of finance, insurance, banking and stock exchange dofin - doctoral school of finance and banking
the academy of economic studies bucharest the faculty of finance, insurance, banking and stock exchange dofin - doctoral school of finance and banking
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Diapositiva 1 PowerPoint PPT Presentation
Diapositiva 1 - La econom a est sujeta a cambios repentinos asociados a legislaci n, pol tica ... relations, Journal of Bussines and Economics and Statistics, 14, pp. 11-30 ...
La econom a est sujeta a cambios repentinos asociados a legislaci n, pol tica ... relations, Journal of Bussines and Economics and Statistics, 14, pp. 11-30 ...
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ECONOMICS PowerPoint PPT Presentation
ECONOMICS - National and international networks. 23. Doctoral students ... Focus on modelling FX and stock index returns by linear and non-linear models ...
National and international networks. 23. Doctoral students ... Focus on modelling FX and stock index returns by linear and non-linear models ...
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Autocorrelation PowerPoint PPT Presentation
Autocorrelation - Regarding the problem of detection, we start with the Durbin-Watson (DW) ... Granger and Newbold present some examples with artificially generated data where ...
Regarding the problem of detection, we start with the Durbin-Watson (DW) ... Granger and Newbold present some examples with artificially generated data where ...
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Conference on Macroeconomics of Housing Markets PowerPoint PPT Presentation
Conference on Macroeconomics of Housing Markets - Implications for the time series-based approaches ... more appropriate for the study of business cycles then time domain methodologies ...
Implications for the time series-based approaches ... more appropriate for the study of business cycles then time domain methodologies ...
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Prsentation PowerPoint PowerPoint PPT Presentation
Prsentation PowerPoint - CGEMP DEA Economie Industrielle. Pr sentation des th ses. Universit ... Fran ois BOISSELEAU, Doctorant CGEMP / TU Delft. Anthony BAEZA, Doctorant CGEMP / UAM ...
CGEMP DEA Economie Industrielle. Pr sentation des th ses. Universit ... Fran ois BOISSELEAU, Doctorant CGEMP / TU Delft. Anthony BAEZA, Doctorant CGEMP / UAM ...
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TIME SERIES REGRESSION: COINTEGRATION
TIME SERIES REGRESSION: COINTEGRATION - 2. THE PROBLEM WITH NONSTATIONARY TIME SERIES ... number of lags in VAR (various methods: Sims LR, AIC/SIC/HIC) ... Mehra (1998) The bond rate and actual future ...
2. THE PROBLEM WITH NONSTATIONARY TIME SERIES ... number of lags in VAR (various methods: Sims LR, AIC/SIC/HIC) ... Mehra (1998) The bond rate and actual future ...


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