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Journal articles on the topic 'Model econometric'

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Published: 30 May 2022

Last updated: 31 May 2022

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1

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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2

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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3

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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4

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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5

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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6

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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8

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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9

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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10

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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11

Franjo, Štiblar, Oplotnik Žan, and Vukotić Veselin. "Montenegrin Quarterly Macroeconomic Econometric Model." Prague Economic Papers 15, no. 2 (January 1, 2006): 156–71. http://dx.doi.org/10.18267/j.pep.282.

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12

Lady, George M., and Carlisle E. Moody. "Econometric Modeling and Model Falsification." Advances in Pure Mathematics 09, no. 09 (2019): 762–76. http://dx.doi.org/10.4236/apm.2019.99036.

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13

Petersen, C. E., and A. Cividini. "Vectorization and Econometric Model Simulation." IFAC Proceedings Volumes 22, no. 5 (June 1989): 569–75. http://dx.doi.org/10.1016/s1474-6670(17)53506-5.

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14

Witt, Christine A., and Stephen F. Witt. "Appraising An Econometric Forecasting Model." Journal of Travel Research 28, no. 3 (January 1990): 30–34. http://dx.doi.org/10.1177/004728759002800305.

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15

Shishido, Shuntaro, Fumimasa Hamada, Sei Kuribayashi, Mitsuo Yamada, and Mikio Suga. "Symposium of Macro Econometric Model." Input-Output Analysis 18, no. 1-2 (2010): 3–23. http://dx.doi.org/10.11107/papaios.18.1-2_3.

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16

Bechtold, Brigitte H. "A methodologist's econometric model selection." International Advances in Economic Research 1, no. 2 (May 1995): 119–28. http://dx.doi.org/10.1007/bf02295966.

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17

Petersen, Christian E., and Andrea Cividini. "Vectorization and econometric model simulation." Computer Science in Economics and Management 2, no. 2 (1989): 103–17. http://dx.doi.org/10.1007/bf00435828.

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18

Granato, Jim. "An Agenda For Econometric Model Building." Political Analysis 3 (1991): 123–54. http://dx.doi.org/10.1093/pan/3.1.123.

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This article addresses the lack of cohesion in econometric model building. This incoherence contributes to model building based on statistical criteria—correcting residuals—and not theoretical criteria. The models we build, therefore, are not valid replications of theory. To deal with this problem, an agenda for model building is outlined and discussed. Drawing on the methodological approaches of Hendry, Qin, and Favero (1989), Hendry and Richard (1982, 1983), Sargan (1964), and Spanos (1986), this agenda incorporates a “general to simple” modeling philosophy, a battery of diagnostic tests, reduction theory, and the development of models that include short-term and long-term parameters. A comparison is made between a model based on this agenda and a model based on corrected residuals. The findings show that the agenda-based model outperforms the residual correction model.

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19

Shabani, Zeinab, Shahin Rafiee, and Hossein Mobli. "Econometric Model on Energy Input and Yield in Carnation Flower." Journal of Agricultural Science and Applications 01, no. 01 (March 30, 2012): 8–12. http://dx.doi.org/10.14511/jasa.2012.010102.

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20

Kwilosz, Tadeusz, and Bogdan Filar. "Ekonometryczny model zużycia paliw ciekłych." Nafta-Gaz 75, no. 7 (July 2019): 404–12. http://dx.doi.org/10.18668/ng.2019.07.04.

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21

Cassing, S., and F. Giarratani. "A Simulation-Oriented Regional Econometric Model." Environment and Planning A: Economy and Space 18, no. 12 (December 1986): 1611–28. http://dx.doi.org/10.1068/a181611.

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This paper concerns the structure and application of an econometric model of the Pittsburgh region. A distinction is drawn between forecasting models and those to be used for policy simulation. With this in mind, a simulation-oriented model based on annual data is specified and applied.

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22

Kim, Dong-sup, and Seungwoo Shin. "THE ECONOMIC EXPLAINABILITY OF MACHINE LEARNING AND STANDARD ECONOMETRIC MODELS-AN APPLICATION TO THE U.S. MORTGAGE DEFAULT RISK." International Journal of Strategic Property Management 25, no. 5 (July 13, 2021): 396–412. http://dx.doi.org/10.3846/ijspm.2021.15129.

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This study aims to bridge the gap between two perspectives of explainability−machine learning and engineering, and economics and standard econometrics−by applying three marginal measurements. The existing real estate literature has primarily used econometric models to analyze the factors that affect the default risk of mortgage loans. However, in this study, we estimate a default risk model using a machine learning-based approach with the help of a U.S. securitized mortgage loan database. Moreover, we compare the economic explainability of the models by calculating the marginal effect and marginal importance of individual risk factors using both econometric and machine learning approaches. Machine learning-based models are quite effective in terms of predictive power; however, the general perception is that they do not efficiently explain the causal relationships within them. This study utilizes the concepts of marginal effects and marginal importance to compare the explanatory power of individual input variables in various models. This can simultaneously help improve the explainability of machine learning techniques and enhance the performance of standard econometric methods.

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23

Bezverkhyi, Kostiantyn. "Econometric model for quality evaluation of integrated reporting." Herald of Ternopil National Economic University, no. 3(89) (October 10, 2018): 96–104. http://dx.doi.org/10.35774/visnyk2018.03.096.

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The article considers the issues of evaluating the quality of integrated reporting in economic entities through using an econometric model. It is proved that the econometric model developed for monitoring the quality of integrated reporting is an effective tool for evaluation. Therefore, the subject matter of the article is an econometric model for quality evaluation of integrated reporting, and the study object is the quality of integrated reporting. Accordingly, the research objective is to develop an econometric model for quality evaluation of integrated reporting. The achievement of the objective requires solving the following tasks: 1) to establish a criterion for developing an econometric model for quality evaluation of integrated reporting; 2) to analyse changes of indicators, which affect the quality of integrated reporting; 3) to develop a correlation matrix for the connection of criteria included in integrated reporting; 4) to determine how indicators, which are included in integrated reporting, affect its quality; to analyse the outcomes of developing an econometric model for quality evaluation of integrated reporting. The proposed methods used for developing an econometric model for quality evaluation of integrated reporting in economic entities are as follows: analysis, synthesis, induction, deduction, abstraction, idealization, generalization, and modeling. The theoretical framework and further elaboration of practical steps towards quality evaluation of integrated reporting through using an econometric model is relevant and important for users of such reporting. The results of international annual competitions on quality evaluation of integrated reporting in European economic entities and enterprises of South Africa are presented. Introducing an econometric model for quality evaluation of integrated reporting is of particular importance for countries in transition. The study proposes approaches for quality evaluation of integrated reporting through using an econometric model. The obtained findings serve as a guide for setting new standards of integrated reporting in entities. In entities, the findings might be used to prepare, submit and make public reporting. In conclusion, the paper outlines future prospects which are aimed at using three more criteria for developing an econometric model of quality evaluation of integrated reporting, namely: 1) disclosure of information on performance in sustainable development; 2) compliance with the recommendations of the International Integrated Reporting Council; 3) interaction between interested parties.

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24

Urooj, Syeda Faiza, Muhammad Anees Khan, and Muzammal Ilyas Sindhu. "Relationship between Earning Multiples, Corporate Governance and Earnings Management Practices: An Empirical View with a Mediation Analysis." Global Social Sciences Review IV, no. I (March 30, 2019): 387–95. http://dx.doi.org/10.31703/gssr.2019(iv-i).50.

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This paper investigated the effect of corporate governance in improving the earnings multiple and reducing the discretionary accruals. This study developed four econometrics models. Random effect model employed for examining the first three econometric models, while for the fourth econometric model study used Andrew F. Hayes mediation process. Results suggest that BOD size, BOD meetings and audit committee size has a significant positive impact on earnings multiples, while earnings multiples have a negative impact on dictionary accrual. Moreover, BOD size and audit committee size has a significant negative impact on dictionary accrual, whereas BOD meetings and employee ownership has a significant positive impact on dictionary accrual. The results further revealed the novel link that earnings multiples partially mediate the relationship between corporate governance variables and dictionary accrual. The new findings provide important insights for all the stakeholders like government, practitioners, academia, researchers, banks, Bursa Malaysia, security commission and public listed companies.

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25

International Monetary Fund. "MULTIMOD: A Multi-Region Econometric Model." IMF Working Papers 88, no. 23 (1988): 1. http://dx.doi.org/10.5089/9781451921014.001.

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26

Anderson, Evan E., and Yu-Min Chen. "Microcomputer software evaluation: An econometric model." Decision Support Systems 19, no. 2 (February 1997): 75–92. http://dx.doi.org/10.1016/s0167-9236(96)00042-5.

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27

Wiśniewski, Jerzy Witold. "Empirical Econometric Model of an Enterprise." Folia Oeconomica Stetinensia 16, no. 1 (December 1, 2016): 232–47. http://dx.doi.org/10.1515/foli-2016-0015.

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Abstract This work will present an empirical econometric model describing an enterprise within the category of medium-sized companies (according to European Union classification). The company, code-named ENERGY, carries out a manufacturing, commercial, and service business activity. The statistical data used was in the form of quarterly time series, containing 24 statistical observations from the years 2008–2013. A hypothetical model of the enterprise is a system of interdependent equations. The econometric model is composed of seven stochastic equations. The empirical model is missing the equation describing investments in the enterprise. It results from the fact, that during the years 2008–2013 the company suffered meagre investments. Investment output equation, therefore, does not provide any relevant systemic information for the management, since most statistical information in the time series assumes zero values. An empirical model of the company ENERGY is a system of interdependent equations, with statistically significant feedback between labour efficiency (EFEMP) and the average pay per 1 employee (APAY). Additionally, there is recurrence of the relationships between the fixed assets (FIXAS), employment volume (EMP), and the size of the net sales income (SNET). The empirical equations of the model are characterized by a description accuracy of individual endogenous variables. The model also has good decision-making and forecasting qualities.

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28

Niedercorn, John H., and John F. Kain. "AN ECONOMETRIC MODEL OF METROPOLITAN DEVELOPMENT." Papers in Regional Science 11, no. 1 (January 14, 2005): 123–43. http://dx.doi.org/10.1111/j.1435-5597.1963.tb01894.x.

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29

Dritsakis, Nikolaos, and Spiros Athanasiadis. "An Econometric Model of Tourist Demand." Journal of Hospitality & Leisure Marketing 7, no. 2 (June 2000): 39–49. http://dx.doi.org/10.1300/j150v07n02_03.

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30

Mátyás, László. "The Gravity Model: Some Econometric Considerations." World Economy 21, no. 3 (May 1998): 397–401. http://dx.doi.org/10.1111/1467-9701.00136.

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31

Gilli, Manfred, and Giorgio Pauletto. "Econometric Model Simulation On Parallel Computers." International Journal of Supercomputing Applications 7, no. 3 (September 1993): 254–64. http://dx.doi.org/10.1177/109434209300700306.

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32

WANG, STANLEY D. H., and CHRISTOPHER B. KELLOGG. "An Econometric Model for American Lobster." Marine Resource Economics 5, no. 1 (January 1988): 61–70. http://dx.doi.org/10.1086/mre.5.1.42871965.

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33

Fair, Ray C. "Properties of a multicountry econometric model." Journal of Policy Modeling 9, no. 1 (March 1987): 83–123. http://dx.doi.org/10.1016/0161-8938(87)90005-6.

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34

Cicinelli, Claudio, Andrea Cossio, Francesco Nucci, Ottavio Ricchi, and Cristian Tegami. "The Italian Treasury Econometric Model (ITEM)." Economic Modelling 27, no. 1 (January 2010): 125–33. http://dx.doi.org/10.1016/j.econmod.2009.08.001.

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35

Dinenis, Elias, Sean Holly, Paul Levine, and Peter Smith. "The London Business School econometric model." Economic Modelling 6, no. 3 (July 1989): 243–351. http://dx.doi.org/10.1016/0264-9993(89)90026-6.

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36

Andersen, Torben G. "SIMULATION-BASED ECONOMETRIC METHODS." Econometric Theory 16, no. 1 (February 2000): 131–38. http://dx.doi.org/10.1017/s0266466600001080.

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The accessibility of high-performance computing power has always influenced theoretical and applied econometrics. Gouriéroux and Monfort begin their recent offering, Simulation-Based Econometric Methods, with a stylized three-stage classification of the history of statistical econometrics. In the first stage, lasting through the 1960's, models and estimation methods were designed to produce closed-form expressions for the estimators. This spurred thorough investigation of the standard linear model, linear simultaneous equations with the associated instrumental variable techniques, and maximum likelihood estimation within the exponential family. During the 1970's and 1980's the development of powerful numerical optimization routines led to the exploration of procedures without closed-form solutions for the estimators. During this period the general theory of nonlinear statistical inference was developed, and nonlinear micro models such as limited dependent variable models and nonlinear time series models, e.g., ARCH, were explored. The associated estimation principles included maximum likelihood (beyond the exponential family), pseudo-maximum likelihood, nonlinear least squares, and generalized method of moments. Finally, the third stage considers problems without a tractable analytic criterion function. Such problems almost invariably arise from the need to evaluate high-dimensional integrals. The idea is to circumvent the associated numerical problems by a simulation-based approach. The main requirement is therefore that the model may be simulated given the parameters and the exogenous variables. The approach delivers simulated counterparts to standard estimation procedures and has inspired the development of entirely new procedures based on the principle of indirect inference.

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37

Larocca, Roger. "Reconciling Conflicting Gauss-Markov Conditions in the Classical Linear Regression Model." Political Analysis 13, no. 2 (2005): 188–207. http://dx.doi.org/10.1093/pan/mpi011.

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This article reconciles conflicting accounts of Gauss-Markov conditions, which specify when ordinary least squares (OLS) estimators are also best linear unbiased (BLU) estimators. We show that exogeneity constraints that are commonly assumed in econometric treatments of the Gauss-Markov theorem are unnecessary for OLS estimates of the classical linear regression model to be BLU. We also generalize a set of necessary and sufficient conditions first established by McElroy (1967, Journal of the American Statistical Association 62:1302–1304), but not yet generally recognized in the econometric literature, that are appropriate for many political science applications. McElroy's conditions relax the traditional Gauss-Markov restriction on autocorrelation in the errors to allow a type of correlation, exchangeability, that has two desirable characteristics: (1) exchangeable data occur in a potentially important class of political science models, and (2) the form of autocorrelation that occurs in exchangeable data has a ready intuition. We thus show that a common class of sample selection models that does not satisfy the Gauss-Markov conditions specified in econometrics textbooks is, in fact, BLU under OLS estimation.

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38

Doszyń, Mariusz. "Econometric Support of a Mass Valuation Process." Folia Oeconomica Stetinensia 20, no. 1 (June 1, 2020): 81–94. http://dx.doi.org/10.2478/foli-2020-0005.

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AbstractResearch background: The issues undertaken in the paper include the specification of an econometric model in real estate mass appraisal. Advantages and disadvantages of using econometric models in real estate mass appraisal are discussed.Purpose: The issue of aiding the valuation process with an econometric model based on the Szczecin algorithm of real estate mass appraisal is discussed in the paper. Such problems like multicollinearity, lack of coincidence and nonmonotonic influence of attributes are pointed out. Also, potential solutions to these problems are mentioned. Moreover, the paper features a discussion of cases in which econometric appraisal is not sufficient.Research methodology: The base for constructing an econometric model is the so-called Szczecin algorithm of real estate mass appraisal. Based on the algorithm, the econometric model was created to enable determining the impact of real estate attributes and location on their value.Results: problems related with specification, estimation and verification of the real estate mass appraisal econometric model are discussed in an empirical example.Novelty: A non-linear model is proposed, which features explanatory variables introduced into the model, and by taking into consideration the scale of their measurement. The proposed model, by introducing dummy variables, also account for the impact of a location, which significantly improves the fit to empirical values.

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39

Kwilosz, Tadeusz, and Bogdan Filar. "Ekonometryczny model krótkoterminowego prognozowania zużycia gazu." Nafta-Gaz 77, no. 7 (July 2021): 454–62. http://dx.doi.org/10.18668/ng.2021.07.04.

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In order to develop a mathematical model of short-term gas demand, it is necessary to analyze the latest mathematical forecasting methods in order to select and adapt the right one (meeting the condition of efficiency and effectiveness). It is necessary to recognize and analyze factors (mainly environmental) affecting the result of short-term forecasts and sources of data that can be used. The result of the work is a numerical model of short-term gas demand for a selected territorial unit of the country. The developed model was calibrated and tested on historical data describing environmental conditions and real gas consumption. A heterogeneous linear econometric model was designed and calibrated on the basis of a selected set of attributes (explanatory variables). The estimated parameters of the model were statistically verified. It is worth noting that in the short term of the forecast (7 days) there are no significant changes in the gas market environment (launching new investments, connecting new users to the system, or changes in demand resulting from changing macroeconomic conditions). Other technical factors, such as production line failures at customers or industrial downtime, are difficult to predict, or knowledge about their occurrence is rarely available. For this reason, the only factors that may have an impact on changes in gas demand in the short term are weather factors, which were selected as explanatory variables for the developed model. Historical weather data was retrieved from the OpenWeatherMapHistoryBulk web service. Daily values of gas consumption for one of the voivodships of southern Poland were used as the response variable. The data was downloaded from the information exchange system of the transmission pipeline operator. The data covers a three-year period, as only such data has been made public. The explanatory variables include the daily values of weather data such as: average temperature, chilled temperature, minimum temperature, maximum temperature, atmospheric pressure, relative humidity, wind speed and wind direction.

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40

Li, Qi. "Consistent model specification tests for time series econometric models." Journal of Econometrics 92, no. 1 (September 1999): 101–47. http://dx.doi.org/10.1016/s0304-4076(98)00087-6.

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41

Phillips, P. C. B. "Partially Identified Econometric Models." Econometric Theory 5, no. 2 (August 1989): 181–240. http://dx.doi.org/10.1017/s0266466600012408.

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This paper studies a class of models where full identification is not necessarily assumed. We term such models partially identified. It is argued that partially identified systems are of practical importance since empirical investigators frequently proceed under conditions that are best described as apparent identification. One objective of the paper is to explore the properties of conventional statistical procedures in the context of identification failure. Our analysis concentrates on two major types of partially identified model: the classic simultaneous equations model under rank condition failures; and time series spurious regressions. Both types serve to illustrate the extensions that are needed to conventional asymptotic theory if the theory is to accommodate partially identified systems. In many of the cases studied, the limit distributions fall within the class of compound normal distributions. They are simply represented as covariance matrix or scalar mixtures of normals. This includes time series spurious regressions, where representations in terms of functionals of vector Brownian motion are more conventional in recent research following earlier work by the author.

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42

Skoruks, Dmitrijs, and Maija Šenfelde. "ECONOMETRIC METHODOLOGY OF MONOPOLIZATION PROCESS EVALUATION." Business, Management and Education 12, no. 1 (June 30, 2014): 47–59. http://dx.doi.org/10.3846/bme.2014.04.

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The research “Econometric Methodology of Monopolization Process Evaluation” gives a perspective description of monopolization process’ nature, occurrence source, development procedure and internal conjuncture specifics, as well as providing an example of modern econometrical method application within a unified framework of market competition analysis for the purpose of conducting a quantitative competition evaluation on an industry level for practical use in both private and public sectors. The main question of the aforementioned research is the definition and quantitative analysis of monopolization effects in modern day globalized markets, while constructing an empirical model of the econometric analysis, based on the use of international historical experience of monopoly formations standings, with the goal of introducing a further development scheme for the use of both econometrical and statistical instruments in line with the forecasting and business research need of enterprises and regulatory functions of the public sector. The current research uses a vast variety of monopolization evaluation ratios and their econometrical updates on companies that are involved in the study procedure in order to detect and scallar measure their market monopolizing potential, based on the implemented acquired market positions, turnover shares and competition policies.

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Manski, Charles F. "Econometrics for Decision Making: Building Foundations Sketched by Haavelmo and Wald." Econometrica 89, no. 6 (2021): 2827–53. http://dx.doi.org/10.3982/ecta17985.

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Haavelmo (1944) proposed a probabilistic structure for econometric modeling, aiming to make econometrics useful for decision making. His fundamental contribution has become thoroughly embedded in econometric research, yet it could not answer all the deep issues that the author raised. Notably, Haavelmo struggled to formalize the implications for decision making of the fact that models can at most approximate actuality. In the same period, Wald (1939, 1945) initiated his own seminal development of statistical decision theory. Haavelmo favorably cited Wald, but econometrics did not embrace statistical decision theory. Instead, it focused on study of identification, estimation, and statistical inference. This paper proposes use of statistical decision theory to evaluate the performance of models in decision making. I consider the common practice of as‐if optimization: specification of a model, point estimation of its parameters, and use of the point estimate to make a decision that would be optimal if the estimate were accurate. A central theme is that one should evaluate as‐if optimization or any other model‐based decision rule by its performance across the state space, listing all states of nature that one believes feasible, not across the model space. I apply the theme to prediction and treatment choice. Statistical decision theory is conceptually simple, but application is often challenging. Advancing computation is the primary task to complete the foundations sketched by Haavelmo and Wald.

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Maitra, Bhargab, Santanu Ghosh, Sudhanshu Sekhar Das, and Manfred Boltze. "Effect of model specification on valuation of travel attributes: a case study of rural feeder service to bus stop." Journal of Transport Literature 7, no. 2 (April 2013): 8–28. http://dx.doi.org/10.1590/s2238-10312013000200002.

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In willingness-to-pay (WTP) studies, stated preference (SP) data are analyzed by developing econometric models. However, the variation of WTP across different model specifications has not been studied adequately. This paper reports a comparison of various econometric models and estimated WTP values with reference to a case study of rural feeder service to bus stop. Econometric models included Multinomial Logit (MNL), Heteroskedastic Extreme Value (HEV), Nested Logit (NL), Covariance Heterogeneity Nested Logit (CHNL), and Random Parameter Logit (RPL). Various econometric models are found to be consistent and acceptable in terms of signs of coefficient estimates, statistical significance of coefficient estimates and overall goodness of fit. The WTP values are found to vary across different model specifications, although the variations are not consistent and predominant for all attributes. In the present case study, the effect of model specification is found predominant on WTP for a reduction in access walking distance. Also, RPL models accounting for deterministic heterogeneity are found superior to other econometric models such as MNL, HEV, NL, CHNL and RPL models accounting for only random heterogeneity. The work highlights the importance of model specification in WTP studies.

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Zhao, Xuemei, and Guofeng Yu. "Data-Driven Spatial Econometric Analysis Model for Regional Tourism Development." Mathematical Problems in Engineering 2021 (May 8, 2021): 1–7. http://dx.doi.org/10.1155/2021/6631833.

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Taking 16 cities in Anhui province as research units, based on the research perspective of spatial econometrics, using spatial autocorrelation analysis, this paper investigates the spatial correlation of regional tourism industry in Anhui province, indicating that regional per capita tourism income in Anhui province has obvious positive spatial autocorrelation and relatively obvious local spatial cluster characteristics. To further explore the influence factors of the development level of the regional tourism industry in Anhui and construct the spatial econometric model, the model results show that the Anhui tourism industry development has been accompanied by spatial agglomeration process, per capita GDP, the number of star-rated hotels, fixed assets investment, and employment in the tertiary industry which play a significant role for tourism development. Finally, some countermeasures and suggestions are put forward to promote the development of regional tourism in Anhui province.

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Hall, S. G., and S. G. B. Henry. "Rational Expectations in an Econometric Model: Niesr Model 8∗." National Institute Economic Review 114 (November 1985): 58–68. http://dx.doi.org/10.1177/002795018511400105.

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This article summarises research on the role of forward-looking behaviour in important sectors of a macro-econometric model. It is based on the work of a number of researchers at the National Institute over the last two years. Important changes are introduced into many central equations in the model We argue that on grounds of both the underlying theory and the plausibility of the empirical results, this work is a significant advance in explaining dynamic macro-economic behaviour.

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SWAMY, P. A. V. B., and GEORGE S. TAVLAS. "A NOTE ON MUTH'S RATIONAL EXPECTATIONS HYPOTHESIS: A TIME-VARYING COEFFICIENT INTERPRETATION." Macroeconomic Dynamics 10, no. 3 (April 25, 2006): 415–25. http://dx.doi.org/10.1017/s1365100506050267.

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Under certain interpretations of its coefficients, a specified econometric model is an exact representation of the “true” model, defining the “objective” probability distribution. This note enumerates these interpretations. In the absence of the conditions implied by these interpretations, the econometric model is misspecified. The note shows that model misspecifications prevent the satisfaction of a necessary and sufficient condition for individual expectations to be rational in Muth's sense. Whereas restrictive forms of econometric models can give very inaccurate predictions, this note describes the conditions under which the predictions generated from time-varying coefficient models coincide with the predictions generated from the relevant economic theory.

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Cho, Jin Seo, and Halbert White. "DIRECTIONALLY DIFFERENTIABLE ECONOMETRIC MODELS." Econometric Theory 34, no. 5 (August 22, 2017): 1101–31. http://dx.doi.org/10.1017/s0266466617000354.

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The current article examines the limit distribution of the quasi-maximum likelihood estimator obtained from a directionally differentiable quasi-likelihood function and represents its limit distribution as a functional of a Gaussian stochastic process indexed by direction. In this way, the standard analysis that assumes a differentiable quasi-likelihood function is treated as a special case of our analysis. We also examine and redefine the standard quasi-likelihood ratio, Wald, and Lagrange multiplier test statistics so that their null limit behaviors are regular under our model framework.

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Roljic, Lazo. "An expert system for national economy model simulations." Yugoslav Journal of Operations Research 12, no. 2 (2002): 247–69. http://dx.doi.org/10.2298/yjor0202247r.

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There are some fundamental economic uncertainties. We cannot forecast economic events with a very high scientific precision. It is very clear that there does not exist a unique 'general' model, which can yield all answers to a wide range of macroeconomic issues. Therefore, we use several different kinds of models on segments of the macroeconomic problem. Different models can distinguish/solve economy desegregation, time series analysis and other subfactors involved in macroeconomic problem solving. A major issue becomes finding a meaningful method to link these econometric models. Macroeconomic models were linked through development of an Expert System for National Economy Model Simulations (ESNEMS). ESNEMS consists of five parts: (1) small-scale short-term national econometric model, (2) Methodology of Interactive Nonlinear Goal Programming (MINGP), (3) data-base of historical macro-economic aggregates, (4) software interface for interactive communications between a model and a decision maker, and (5) software for solving problems. ESNEMS was developed to model the optimum macro-economic policy of a developing country (SFRY-formerly Yugoslavia). Most econometric models are very complex. Optimizing of the economic policy is typically defined as a nonlinear goal programming problem. To solve/optimize these models, a new methodology, MINGP, was developed as a part of ESNEMS. MINGP is methodologically based on linear goal programming and feasible directions method. Using Euler's Homogeneous Function Theorem, MINGP linearizes nonlinear homogeneous functions. The highest priorities in minimizing the objective function are the growth of gross domestic product and the decrease of inflation. In the core of the optimization model, MINGP, there is a small-scale econometric model. This model was designed through analysis of the causal relations in the SFRY's social reproduction process of the past 20 years. The objective of the econometric model is to simulate potential short term (one-year) national economic policies. Ex-ante simulation and optimization of economic policy for 1986 showed that, in SFRY, non-consistent macro-economic policy was resolute and led to both slower economic development and more rapid growth of inflation.

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Elsayir, Habib Ahmed. "Residual Analysis for Auto-Correlated Econometric Model." Journal of Mathematics and Statistics 15, no. 1 (January 1, 2019): 99–111. http://dx.doi.org/10.3844/jmssp.2019.99.111.

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