Academic literature on the topic 'Model econometric'

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Journal articles on the topic "Model econometric"

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Kazakevičius, Vytautas, and Remigijus Leipus. "ON STATIONARITY IN THE ARCH(∞) MODEL." Econometric Theory 18, no. 1 (February 2002): 1–16. http://dx.doi.org/10.1017/s0266466602181011.

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We continue investigation of the ARCH(∞) model begun in Giraitis, Kokoszka, and Leipus (2000, Econometric Theory 16, 3–22). Nonrestrictive conditions for the existence of a strictly stationary solution are established. The paper generalizes the results of Nelson (1990, Econometric Theory 6, 318–334) and Bougerol and Picard (1992, Journal of Econometrics 52, 115–127) to the ARCH(∞) model.
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Ridge, Richard S., Gary A. Stern, and Ronald K. Watts. "Econometric Model Evaluation." Evaluation Review 14, no. 3 (June 1990): 308–14. http://dx.doi.org/10.1177/0193841x9001400306.

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Phillips, Peter C. B. "Econometric Model Determination." Econometrica 64, no. 4 (July 1996): 763. http://dx.doi.org/10.2307/2171845.

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Domínguez, Manuel A., and Ignacio N. Lobato. "A SIMPLE OMNIBUS OVERIDENTIFICATION SPECIFICATION TEST FOR TIME SERIES ECONOMETRIC MODELS." Econometric Theory 31, no. 4 (October 27, 2014): 891–910. http://dx.doi.org/10.1017/s0266466614000644.

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Despite their theoretical advantages, Integrated Conditional Moment (ICM) specification tests are not commonly employed in the econometrics practice. An important reason is that the employed test statistics are nonpivotal, and so critical values are not readily available. This article proposes an omnibus test in the spirit of the ICM tests of Bierens and Ploberger (1997, Econometrica 65, 1129–1151) where the test statistic is based on the minimized value of a quadratic function of the residuals of time series econometric models. The proposed test falls under the category of overidentification restriction tests started by Sargan (1958, Econometrica 26, 393–415). The corresponding projection interpretation leads us to propose a straightforward wild bootstrap procedure that requires only linear regressions to estimate the critical values irrespective of the model functional form. Hence, contrary to other existing ICM tests, the critical values are easily calculated while the test preserves the admissibility property of ICM tests.
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Maziarz, Mariusz. "‘Emerging contrary result’ phenomenon and scientific realism." Panoeconomicus, no. 00 (2020): 24. http://dx.doi.org/10.2298/pan171218024m.

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The article is aimed at reconsidering the question if the project of econometrics can be read in line with scientific realism. Previously, the methodological literature focused on the philosophy of econometrics, voices criticizing realist interpretations of econometrics were raised. The criticism was aimed at showing that econometric models lack robustness. The use of slightly different methods leads to obtaining different and often contrary models what supposedly undermine the project of econometrics. In this article, I aim at offering a new argument in defence of the current practice of the economists devoted to the empirical branch of macroeconomics. To do so, I apply M?ki?s (2009) model of representation to three case studies of contradictory pairs of econometric models and argue that contrary results are not necessarily a drawback of econometrics. Instead, the seemingly contradictory pairs of models are useful in various contexts constituted by their purpose and audience.
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Chung, Joseph H. "Introduction." L'Actualité économique 51, no. 4 (July 20, 2009): 505–9. http://dx.doi.org/10.7202/800641ar.

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Abstract One of the most significant post-war development in economics has been the contribution of econometrics to the refinement of techniques of analysis. Econometrics is now an integral part of economics teaching in most of the known universities throughout the world and large econometric models are being used for economic policies in industrialized countries. The CANDIDE model (Canadian Disaggregated Inter-Departmental Econometric Model) is a medium-term policy oriented model and an indication of some degree of maturity in the Art of model building in CANADA. The purpose of this special issue of L'Actualité Économique is to initiate undergraduate students in economics as well as the interested public to the model, to show how the model can be applied and finally to discuss some of its deficiencies. It is hoped that this special issue will be a useful tool for the teaching of econometrics in Canada. It has three parts. The first part comprising three papers, explains the nature and the characteristics of the model. The second part through five papers shows various applications of the model. Finally, in the third part, seven papers discuss some of the deficiencies of the major blocks of the model1. 1 Only the first two parts are included in this issue. The third part will be published in the next issue.
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Forchini, G. "OPTIMAL SIMILAR TESTS FOR STRUCTURAL CHANGE FOR THE LINEAR REGRESSION MODEL." Econometric Theory 18, no. 4 (May 17, 2002): 853–67. http://dx.doi.org/10.1017/s0266466602184027.

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This paper analyzes similar tests for structural change for the normal linear regression model in finite samples. Using the approach of Wald (1943, American Mathematical Society Transactions 54, 426–482), Hillier (1987, Econometric Theory 3, 1–44), Andrews and Ploberger (1994, Econometrica 62, 1382–1414), and Andrews, Lee, and Ploberger (1996, Journal of Econometrics 70, 9–36), we characterize a class of optimal similar tests for the existence of (possibly multiple) changepoints at unknown times. We extend the analysis of Andrews et al. (1996) by deriving weighted optimal similar tests for the case where the error variance is not known. We also show that when the sample size is large, the tests of Andrews et al. constructed by replacing the error variance with an estimate are equivalent to the optimal test derived in this paper. Power comparisons are provided by a small simulation study.
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LeSage, James P., and Olivier Parent. "Bayesian Model Averaging for Spatial Econometric Models." Geographical Analysis 39, no. 3 (July 2007): 241–67. http://dx.doi.org/10.1111/j.1538-4632.2007.00703.x.

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Rancan, Antonella. "Econometric modelling in Italy: From economic planning to academic research." HISTORY OF ECONOMIC THOUGHT AND POLICY, no. 1 (November 2021): 63–82. http://dx.doi.org/10.3280/spe2021-001003.

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The paper deals with the introduction and acceptance of econometric model-ling as a tool to conduct economic policy analysis in Italy in the Post War. A re-search practice first applied in public and private institutions other than universi-ties. It is argued that economic planning and policymakers' needs of empirical es-timations, simulations and forecasts played an important role in supporting quan-titative research, at the time when economics was still conceived as a theoretical discipline. Sylos Labini's (1967) econometric model, the Modellaccio (1970-75), the University of Bologna model (1976) were the first examples of econometric modelling activities within academia. Only since the late 1980s, also due to a gen-erational change, econometrics is fully accepted and introduced in economics cur-ricula with the discipline that aligned to international standards.
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Bidabad, Bijan. "A Small Macro-Econometric Model." American Finance & Banking Review 4, no. 1 (June 4, 2019): 22–31. http://dx.doi.org/10.46281/amfbr.v4i1.287.

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Different sizes of macro-econometric models are used for different policy purposes. In this paper, we introduce a small macro-econometric model that includes macro-aggregates variables that can be solved dynamically and be used as a sample model to be estimated for other countries.
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Dissertations / Theses on the topic "Model econometric"

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Billah, Baki 1965. "Model selection for time series forecasting models." Monash University, Dept. of Econometrics and Business Statistics, 2001. http://arrow.monash.edu.au/hdl/1959.1/8840.

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Wanhill, S. R. C. "An econometric model of Wales." Thesis, Bangor University, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.516562.

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Lim, Eng Lee. "An econometric model of South Australia /." Title page, contents and introduction only, 1985. http://web4.library.adelaide.edu.au/theses/09EC/09ecl7316.pdf.

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Lui, Hon-kwong, and 呂漢光. "An econometric model of spouse selection." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1996. http://hub.hku.hk/bib/B30110750.

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Lui, Hon-kwong. "An econometric model of spouse selection /." Hong Kong : University of Hong Kong, 1996. http://sunzi.lib.hku.hk/hkuto/record.jsp?B16027450.

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Bae, Kyungcho. "Energy consumption forecasting: Econometric model vs state space model." Diss., The University of Arizona, 1994. http://hdl.handle.net/10150/187010.

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This study examines the forecasting performance of two major multivariate methodologies: econometric modeling and multivariate state space modeling. The same variables are used in both models to facilitate comparison. They are evaluated by both expost and exante accuracy of U.S. energy consumption forecasts. Econometric models are highly simplified and a model selection procedure is applied to the models. Two different formats of multivariate state space models are examined: economic structure and identity structure. Goodrich's algorithm is employed to estimate the state space models. The state space models in both the econometric structure and the identity structure provided generally good estimates, usually, but not always, these forecasts were more accurate than those by the single econometric models.
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Volgina, Vera. "Postmerger financial performance: econometric analysis." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-16850.

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There are numerous researches done in the last couple decades dedicated to the observation of impact of merges and acquisitions on the performance of the company. The topic is considered to be up-to-date, as still there is no common approach to evaluating of benefits mergers are about to bring to a new established entity. In this thesis the issue of post-merger financial performance is investigated on an example of three biggest energy companies in Europe: RWE, E.ON and Vattenfall. The aim of the thesis is to find out whether financial performance of chosen companies improves after the merger occurs. This target is elaborated with a help of the analysis of commonly used financial ratios in corporate finance and construction of two regression models, which explain the interrelations between basic indicator of the company's growth (net income), the fact of the merger and determined financial ratios. As an outcome of the research, a few findings were obtained, such as worsening of financial performance three to five years after the merger, with continuing improvement in further years, quite stable financial indicators before the merger, positive interconnection between the fact of the merger and the net income. Such outcomes might be considered as significant, though further research and elaboration of the topic can be performed in the future.
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Lomax, John William. "An econometric model of the Grampian region." Thesis, Robert Gordon University, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.254448.

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Thompson, Wyatt. "An econometric model of Japanese meat markets /." free to MU campus, to others for purchase, 1998. http://wwwlib.umi.com/cr/mo/fullcit?p9904869.

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Spurway, Kayleigh Fay Nanette. "A study of the Consumption Capital Asset Pricing Model's appilcability across four countries." Thesis, Rhodes University, 2014. http://hdl.handle.net/10962/d1013016.

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Historically, the Consumption Capital Asset Pricing Method (C-CAPM) has performed poorly in that estimated parameters are implausible, model restrictions are often rejected and inferences appear to be very sensitive to the choice of economic agents' preferences. In this study, we estimate and test the C-CAPM with Constant Relative Risk Aversion (CRRA) using time series data from Germany, South Africa, Britain and America during relatively short time periods with the latest available data sets. Hansen's GMM approach is applied to estimate the parameters arising from this model. In general, estimated parameters fall outside the bounds specified by Lund & Engsted (1996) and Cuthbertson & Nitzsche (2004), even though the models are not rejected by the J-test and are associated with relatively small minimum distances.
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Books on the topic "Model econometric"

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Fund, International Monetary. MULTIMOD: A multi-region econometric model. Washington, D.C: International Monetary Fund, 1988.

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Giussani, Bruno. Econometric model of regional house prices. Kingston-upon-Thames: Apex Centre, 1990.

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Econometric model selection: A new approach. Dordrecht: Kluwer Academic, 1989.

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Grasa, Antonio Aznar. Econometric Model Selection: A New Approach. Dordrecht: Springer Netherlands, 1989. http://dx.doi.org/10.1007/978-94-017-1358-0.

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Choeryanto, Syaifoel. An econometric model for Indonesia, 1965-1990. [Jakarta]: Lembaga Penerbit, Fakultas Ekonomi, Universitas Indonesia, 2003.

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Uygur, Ercan. SESRTCIC econometric model of the Turkish economy. Ankara: Statistical, Economic and Social Research and Training Center for Islamic Countries, 1987.

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Bencik, Michal. Revision of an econometric model for Slovakia. Vienna: Institut für Höhere Studien/Institute for Advanced Studies, 1996.

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W, Johnson C. Econometric model of the PNW beef industry. [Pullman, Wash.]: Agriculture Research Center, College of Agriculture and Home Economics, Washington State University, 1986.

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O'Connell, Thomas. The structure of a quarterly econometric model. Dublin: Central Bank of Ireland, 1987.

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Heim, John J. An Econometric Model of the US Economy. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-50681-4.

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Book chapters on the topic "Model econometric"

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Pollock, Stephen. "The classical econometric model." In International Studies in Economics and Econometrics, 247–62. Dordrecht: Springer Netherlands, 1987. http://dx.doi.org/10.1007/978-94-009-3591-4_16.

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Parent, Oliver, and James P. LeSage. "Spatial Econometric Model Averaging." In Handbook of Applied Spatial Analysis, 435–60. Berlin, Heidelberg: Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-03647-7_21.

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Anselin, Luc. "Model Selection in Spatial Econometric Models." In Spatial Econometrics: Methods and Models, 243–52. Dordrecht: Springer Netherlands, 1988. http://dx.doi.org/10.1007/978-94-015-7799-1_14.

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Kacapyr, Elia. "The Classical Linear Regression Model." In Essential Econometric Techniques, 115–28. 3rd ed. New York: Routledge, 2022. http://dx.doi.org/10.4324/9781003213758-8.

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Boitier, Baptiste, Pierre Le Mouël, Julien Ravet, and Paul Zagamé. "The NEMESIS Macro-Econometric Model." In Macroeconomic Modelling of R&D and Innovation Policies, 129–54. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-71457-4_7.

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AbstractThis Chapter presents the NEMESIS macro-econometric model. This model has been used for several ex-ante and ex-post evaluations of the macroeconomic impact of EU R&I policies. After a general overview of the model, a thorough description of the representation of innovation in the model is provided. As an example of its workings, an application to the interim evaluation of the Horizon 2020 programme is also provided.
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Chiu, Yi-Chung. "Taiwan Model." In Econometric Models of Asian Link, 35–49. Tokyo: Springer Japan, 1985. http://dx.doi.org/10.1007/978-4-431-68028-4_3.

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Ezaki, Mitsuo, and Chikashi Moriguchi. "Japan Model." In Econometric Models of Asian Link, 167–82. Tokyo: Springer Japan, 1985. http://dx.doi.org/10.1007/978-4-431-68028-4_10.

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Niwa, Haruki. "China Model." In Econometric Models of Asian Link, 199–216. Tokyo: Springer Japan, 1985. http://dx.doi.org/10.1007/978-4-431-68028-4_12.

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Cheong, Munkun, and YangWoo Kim. "Korea Model." In Econometric Models of Asian Link, 51–66. Tokyo: Springer Japan, 1985. http://dx.doi.org/10.1007/978-4-431-68028-4_4.

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Ganjarerndee, Siri. "Thailand Model." In Econometric Models of Asian Link, 87–101. Tokyo: Springer Japan, 1985. http://dx.doi.org/10.1007/978-4-431-68028-4_6.

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Conference papers on the topic "Model econometric"

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Sun, Haitao. "The Computer Implementation of Econometric Model." In 2nd International Conference on Computer Application and System Modeling. Paris, France: Atlantis Press, 2012. http://dx.doi.org/10.2991/iccasm.2012.160.

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Weiwen, Gu, Wu Dinghua, Xie Zhiliang, and Gu Qingliang. "Shanghai econometric model (SHECMOD) and computer applications." In the 1985 ACM annual conference. New York, New York, USA: ACM Press, 1985. http://dx.doi.org/10.1145/320435.320468.

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"An interactive econometric model to evaluate offices." In 10th European Real Estate Society Conference: ERES Conference 2003. ERES, 2003. http://dx.doi.org/10.15396/eres2003_247.

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Wong, James M. W., S. Thomas Ng, Albert P. C. Chan, and Y. H. Chiang. "Forecasting Construction Manpower Demand: An Econometric Model." In Construction Research Congress 2009. Reston, VA: American Society of Civil Engineers, 2009. http://dx.doi.org/10.1061/41020(339)97.

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Mtembo, Victor, Gareth A. Taylor, and Arthur Ekwue. "A novel econometric model for peak demand forecasting." In 2014 49th International Universities Power Engineering Conference (UPEC). IEEE, 2014. http://dx.doi.org/10.1109/upec.2014.6934706.

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Ramczyk, Marek. "Application of Econometric Model for Water Economy Management." In Environmental Engineering. VGTU Technika, 2017. http://dx.doi.org/10.3846/enviro.2017.042.

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The econometric model can be a precise instrument for the analysis of the impact of the natural environmental degradation on the fishing economy. This paper aims at analysing the influence of the water quality changes in Charzykowskie Lake on the fishing economy. The economic-ecological models have been constructed, explaining the changes of economic effects of the lake fishery in the conditions of an increasing water pollution in the hypolimnion on the example of the catch of Rutilus rutilus, Blicca bjoerkna, Coregonus lavaretus, Anguilla anguilla and Esox lucius in Charzykowskie Lake. Performed empirical research focuses on the influence of the environmental factors on the size of fish catch. Calculations and analysis show clearly that even though the habitat factors have an influence on the catch size of each studied fish species, they do it with different intensity and in various combinations. Both, lake water quality and climate factors changes, cause measurable effects on fishing industry of Charzykowskie Lake. Among the examined Rutilus rutilus and Blicca bjoerkna, Blicca bjoerkna has the highest high environmental requirements regarding the water quality. Empirical calculations showed as well that Coregonus lavaretus has considerably higher water cleanness requirements than Rutilus rutilus and Blicca bjoerkna. While considering Rutilus rutilus and Blicca bjoerkna, most water characteristics still rather stimulate a development of these species, but when it comes to Coregonus lavaretus, in general they suppress its development. The model has also proved quite high habitat requirements for Anquilla anquilla and correctness of the thesis that Esox lucius avoids polluted water. Climatic factors influence is significant for the endogenous variables. The above prejudges the itineration of Rutilus rutilus, Blicca bjoerkna, Coregonus lavaretus, Anquilla anquilla and Esox lucius catch in Charzykowskie Lake. The results of the modelling can be used in managing the fishing economy of the lake.
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"An Econometric Model of the Residential Building Sector." In Third Conference of the European Real Estate Society: ERES Conference 1996. ERES, 1996. http://dx.doi.org/10.15396/eres1996_120.

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Zhou, Shenghan, and Fajie Wei. "Research on the Grey Econometric Model with Lags Information." In 2010 International Conference on Management and Service Science (MASS 2010). IEEE, 2010. http://dx.doi.org/10.1109/icmss.2010.5576895.

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Cuellar, Martha M., and Joaquin F. Sanchez. "Congestion control LAN networks using an econometric model ARIMA." In 2016 8th Euro American Conference on Telematics and Information Systems (EATIS). IEEE, 2016. http://dx.doi.org/10.1109/eatis.2016.7520124.

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Wang, Xiaolong. "Survey on Spatial Econometric Model for Cross-Sectional Data." In 2015 International Conference on Humanities and Social Science Research. Paris, France: Atlantis Press, 2015. http://dx.doi.org/10.2991/ichssr-15.2015.41.

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Reports on the topic "Model econometric"

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Graham, Bryan. An econometric model of link formation with degree heterogeneity. Cambridge, MA: National Bureau of Economic Research, July 2014. http://dx.doi.org/10.3386/w20341.

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Müller, Ulrich, James Stock, and Mark Watson. An Econometric Model of International Long-run Growth Dynamics. Cambridge, MA: National Bureau of Economic Research, December 2019. http://dx.doi.org/10.3386/w26593.

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Das, Sanghamitra. A Micro Econometric Model of Capital Utilization and Retirement. Cambridge, MA: National Bureau of Economic Research, December 1990. http://dx.doi.org/10.3386/w3568.

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Graham, Bryan S. An econometric model of link formation with degree heterogeneity. Cemmap, August 2015. http://dx.doi.org/10.1920/wp.cem.2015.4315.

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Graham, Bryan S. An econometric model of network formation with degree heterogeneity. The IFS, February 2017. http://dx.doi.org/10.1920/wp.cem.2017.0817.

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Butler, J. G., and D. A. Poyer. The econometric submodels of the Energy Policy Socioeconomic Impact Model (EPSIM). Office of Scientific and Technical Information (OSTI), April 1994. http://dx.doi.org/10.2172/10146737.

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Piazzesi, Monika. An Econometric Model of the Yield Curve with Macroeconomic Jump Effects. Cambridge, MA: National Bureau of Economic Research, April 2001. http://dx.doi.org/10.3386/w8246.

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Getmansky, Mila, Andrew Lo, and Igor Makarov. An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns. Cambridge, MA: National Bureau of Economic Research, March 2003. http://dx.doi.org/10.3386/w9571.

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Maddigan, R. J., L. J. Hill, D. M. Hamblin, J. W. Van Dyke, and T. C. Brown. An econometric simulation model of income and electricity demand in Alaska's Railbelt, 1982-2022. Office of Scientific and Technical Information (OSTI), January 1987. http://dx.doi.org/10.2172/6817805.

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Guidolin, Massimo, and Allan Timmermann. An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns. Federal Reserve Bank of St. Louis, 2005. http://dx.doi.org/10.20955/wp.2005.003.

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