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Tesi sul tema "Econometric models"

Autore: Grafiati

Pubblicato: 4 giugno 2021

Ultima modifica: 25 luglio 2025

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1

Fahs, Faysal Habib. "Essays in the estimation of systems of limited dependent variables with application to demand systems." Online access for everyone, 2008. http://www.dissertations.wsu.edu/Dissertations/Summer2008/F_Fahs_072508.pdf.

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2

Conradie, Tiaan. "The South African economy and internationally fuelled business cycles: an econometric analysis." Thesis, Nelson Mandela Metropolitan University, 2015. http://hdl.handle.net/10948/4354.

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The objective of this study is to understand the dynamics of international monetary policy and the relationship that exists between larger more developed economies and smaller less developed economies within a policy context. The 2008 financial crisis has caused intense revival of Austrian economics due to the monetary nature of the recession caused as a subsequent effect of the stock/housing market collapse that occurred in 2007. One factor of the 2008 financial crisis that created intense concern was the extent to which the slowdown in economic activity was able to be transmitted across inte

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3

Vilela, Lucas Pimentel. "Hypothesis testing in econometric models." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/18249.

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Submitted by Lucas Pimentel Vilela (lucaspimentelvilela@gmail.com) on 2017-05-04T01:19:37Z No. of bitstreams: 1 Hypothesis Testing in Econometric Models - Vilela 2017.pdf: 2079231 bytes, checksum: d0387462f36ab4ab7e5d33163bb68416 (MD5)<br>Approved for entry into archive by Maria Almeida (maria.socorro@fgv.br) on 2017-05-15T19:31:43Z (GMT) No. of bitstreams: 1 Hypothesis Testing in Econometric Models - Vilela 2017.pdf: 2079231 bytes, checksum: d0387462f36ab4ab7e5d33163bb68416 (MD5)<br>Made available in DSpace on 2017-05-15T19:32:18Z (GMT). No. of bitstreams: 1 Hypothesis Testing in Economet

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4

Castelli, Francesca <1982&gt. "Econometric models of financial risks." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2012. http://amsdottorato.unibo.it/4274/1/Castelli_Francesca_tesi.pdf.

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The goal of this dissertation is to use statistical tools to analyze specific financial risks that have played dominant roles in the US financial crisis of 2008-2009. The first risk relates to the level of aggregate stress in the financial markets. I estimate the impact of financial stress on economic activity and monetary policy using structural VAR analysis. The second set of risks concerns the US housing market. There are in fact two prominent risks associated with a US mortgage, as borrowers can both prepay or default on a mortgage. I test the existence of unobservable heterogeneity in

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5

Castelli, Francesca <1982&gt. "Econometric models of financial risks." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2012. http://amsdottorato.unibo.it/4274/.

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Abstract (sommario):

The goal of this dissertation is to use statistical tools to analyze specific financial risks that have played dominant roles in the US financial crisis of 2008-2009. The first risk relates to the level of aggregate stress in the financial markets. I estimate the impact of financial stress on economic activity and monetary policy using structural VAR analysis. The second set of risks concerns the US housing market. There are in fact two prominent risks associated with a US mortgage, as borrowers can both prepay or default on a mortgage. I test the existence of unobservable heterogeneity in

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6

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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7

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, esti

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8

Paraskevopoulos, Ioannis. "Econometric models applied to production theory." Thesis, Queen Mary, University of London, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.392498.

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9

McGarry, Joanne S. "Seasonality in continuous time econometric models." Thesis, University of Essex, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.313064.

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10

Gualdani, C. "Econometric analysis of network formation models." Thesis, University College London (University of London), 2017. http://discovery.ucl.ac.uk/1566643/.

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This dissertation addresses topics in the econometrics of network formation models. Chapter 1 provides a review of the literature. Statistical models focus on the specification of the probability distribution of the network. Examples include models in which nodes are born sequentially and meet existing vertices according to random meetings and network-based meetings. Within this group of models, special attention is reserved to the milestone work by Jackson and Rogers (2007): after having discussed and replicated the main results of the paper, an extension of the original model is examined and

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11

Adusumilli, Karun. "Essays on inference in econometric models." Thesis, London School of Economics and Political Science (University of London), 2018. http://etheses.lse.ac.uk/3760/.

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This thesis contains three essays on inference in econometric models. Chapter 1 considers the question of bootstrap inference for Propensity Score Matching. Propensity Score Matching, where the propensity scores are estimated in a first step, is widely used for estimating treatment effects. In this context, the naive bootstrap is invalid (Abadie and Imbens, 2008). This chapter proposes a novel bootstrap procedure for this context, and demonstrates its consistency. Simulations and real data examples demonstrate the superior performance of the proposed method relative to using the asymptotic dis

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12

Skvorchevsky, Alexander Evgenievich, and S. V. Larka. "Econometric models robust estimation practical aspects." Thesis, НТУ "ХПІ", 2016. http://repository.kpi.kharkov.ua/handle/KhPI-Press/28251.

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13

Klongkratoke, Pittaya. "Econometric models in foreign exchange market." Thesis, University of Glasgow, 2016. http://theses.gla.ac.uk/7333/.

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According to the significance of the econometric models in foreign exchange market, the purpose of this research is to give a closer examination on some important issues in this area. The research covers exchange rate pass-through into import prices, liquidity risk and expected returns in the currency market, and the common risk factors in currency markets. Firstly, with the significant of the exchange rate pass-through in financial economics, the first empirical chapter studies on the degree of exchange rate pass-through into import in emerging economies and developed countries in panel evide

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14

Wellman, David B. "Econometric models of local area agriculture /." free to MU campus, to others for purchase, 2001. http://wwwlib.umi.com/cr/mo/fullcit?p3025660.

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15

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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16

Pitrun, Ivet 1959. "A smoothing spline approach to nonlinear inference for time series." Monash University, Dept. of Econometrics and Business Statistics, 2001. http://arrow.monash.edu.au/hdl/1959.1/8367.

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17

Limkriangkrai, Manapon. "An empirical investigation of asset-pricing models in Australia." University of Western Australia. Faculty of Business, 2007. http://theses.library.uwa.edu.au/adt-WU2007.0197.

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[Truncated abstract] This thesis examines competing asset-pricing models in Australia with the goal of establishing the model which best explains cross-sectional stock returns. The research employs Australian equity data over the period 1980-2001, with the major analyses covering the more recent period 1990-2001. The study first documents that existing asset-pricing models namely the capital asset pricing model (CAPM) and domestic Fama-French three-factor model fail to meet the widely applied Merton?s zero-intercept criterion for a well-specified pricing model. This study instead documents th

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18

Tangen, Alyssa. "The Impacts of Expected Structural Changes in Demand for Agricultural Commodities in China and India on World Agriculture." Thesis, North Dakota State University, 2009. https://hdl.handle.net/10365/29866.

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The objective of this study is to evaluate the changes in import and export demand in China and India on the United States and global agriculture in 2018. A spatial equilibrium model is developed to optimize production and trade in China, India, and other major importing and exporting regions in the world. This research focuses on four primary crops: wheat, com, rice and soybeans. In the model China and India are divided into 31 and 14 producing and consuming regions, respectively. The model also includes five exporting countries and ten importing countries/regions. The results indicate that I

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19

Dyrberg, Rommer Anne. "Accounting-based credit-scoring models : econometric investigations /." Copenhagen, 2005. http://www.gbv.de/dms/zbw/505621215.pdf.

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20

Mavroeidis, Sophocles. "Econometric issues in forward-looking monetary models." Thesis, University of Oxford, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.273303.

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Recently, single equation approaches for estimating structural models have become popular in the monetary economics literature. In particular, single-equation Generalized Method Moments estimators have been used for estimating forward-looking models with rational expectations. Two important examples are found in Clarida, Gali, and Gertler (1998) for the estimation of forward- looking Taylor rules and in Gali and Gertler (1999) for the estimation of a forward-looking model for inflation dynamics. In this thesis, we address the issues of identification which have been overlooked due to the incom

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21

Zeileis, Achim, Friedrich Leisch, Christian Kleiber, and Kurt Hornik. "Monitoring structural change in dynamic econometric models." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 2002. http://epub.wu.ac.at/1296/1/document.pdf.

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The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a monitoring situation - given a history period for which a regression relationship is known to be stable, we test whether incoming data are consistent with the previously established relationship. Procedures based on estimates of the regression coefficients are extended in three directions: we introduce (a) procedures based on OLS residuals, (b) rescaled statistics and (c) alternative asymptotic boundaries

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22

Weier, Annette 1960. "Demutualisation in the Australian life insurance industry." Monash University, Dept. of Economics, 2000. http://arrow.monash.edu.au/hdl/1959.1/8371.

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23

Angelov, Nikolay. "Essays on unit-root testing and on discrete-response modelling of firm mergers /." Uppsala : Department of Economics, Uppsala University, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-6358.

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24

Bokan, Nikola. "On taxes, labour market distortions and product imperfections." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/3053.

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This thesis aims to provide new and useful insights into the effects that various tax, labour and product market reforms have on the overall economic performance. Additionally, it aims also to provide insights about the optimal monetary and fiscal policy behaviour within the economy characterized with various real labour market frictions. We analyze the benefits of tax reforms and their effectiveness relative to product or other labour market reforms. A general equilibrium model with imperfect competition, wage bargaining and different forms of tax distortions is applied in order to analyze th

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25

Li, Ke 1969. "A general equilibrium analysis of the division of labour : violation and enforcement of property rights, impersonal networking decisions and bundling sale." Monash University, School of Asian Languages and Studies, 2001. http://arrow.monash.edu.au/hdl/1959.1/9256.

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26

Forchini, Giovanni. "Exact distribution theory for some econometric problems." Thesis, University of Southampton, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.242631.

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27

Fok, Dennis. "Advanced econometric marketing models = Geavanceerde econometrische marketing modellen /." Rotterdam : Erasmus Research Institute of Management, 2003. http://aleph.unisg.ch/hsgscan/hm00084593.pdf.

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28

Ouyang, Desheng. "Nonparametric estimation of econometric models with categorical variables." Texas A&M University, 2005. http://hdl.handle.net/1969.1/4298.

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In this dissertation I investigate several topics in the field of nonparametric econometrics. In chapter II, we consider the problem of estimating a nonparametric regression model with only categorical regressors. We investigate the theoretical properties of least squares cross-validated smoothing parameter selection, establish the rate of convergence (to zero) of the smoothing parameters for relevant regressors, and show that there is a high probability that the smoothing parameters for irrelevant regressors converge to their upper bound values thereby smoothing out the irrelevant regressors.

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29

Silvestrini, Andrea. "Essays on aggregation and cointegration of econometric models." Doctoral thesis, Universite Libre de Bruxelles, 2009. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210304.

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This dissertation can be broadly divided into two independent parts. The first three chapters analyse issues related to temporal and contemporaneous aggregation of econometric models. The fourth chapter contains an application of Bayesian techniques to investigate whether the post transition fiscal policy of Poland is sustainable in the long run and consistent with an intertemporal budget constraint.<p><p><p>Chapter 1 surveys the econometric methodology of temporal aggregation for a wide range of univariate and multivariate time series models. <p><p><p>A unified overview of temporal aggregatio

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30

Kapetanios, George. "Essays on the econometric analysis of threshold models." Thesis, University of Cambridge, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.286704.

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31

Hall, Stephen George Frederick. "Solving and evaluating large non-linear econometric models." Thesis, Queen Mary, University of London, 1986. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.261290.

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32

Stamatogiannis, Michalis P. "Econometric inference in models with nonstationary time series." Thesis, University of Nottingham, 2010. http://eprints.nottingham.ac.uk/11950/.

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We investigate the finite sample behaviour of the ordinary least squares (OLS) estimator in vector autoregressive (VAR) models. The data generating process is assumed to be a purely nonstationary first-order VAR. Using Monte Carlo simulation and numerical optimization we derive response surfaces for OLS bias and variance in terms of VAR dimensions both under correct model specification and under several types of over-parameterization: we include a constant, a constant and trend, and introduce excess autoregressive lags. Correction factors are introduced that minimise the mean squared error (MS

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33

Fernanda, P. M. "Instrument Selection in Econometric Models Consequences and Methods." Thesis, University of Birmingham, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.528389.

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34

Li, Yang, and 李杨. "Statistical inference for some econometric time series models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/195984.

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With the increasingly economic activities, people have more and more interest in econometric models. There are two mainstream econometric models which are very popular in recent decades. One is quantile autoregressive (QAR) model which allows varying-coefficients in linear time series and greatly promotes the ranges of regression research. The first topic of this thesis is to focus on the modeling of QAR model. We propose two important measures, quantile correlation (QCOR) and quantile partial correlation (QPCOR). We then apply them to QAR models, and introduce two valuable quantities, the qua

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35

Lu, Maozu. "The encompassing principle and evaluation of econometric models." Thesis, University of Southampton, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.316084.

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36

Sherrell, Neill. "The estimation and specification of spatial econometric models." Thesis, University of Bristol, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.281861.

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37

Jenkins, Irene D. (Irene Diane), and Mary Helen Schaeffer. "Econometric models of eleven single family housing markets." Thesis, Massachusetts Institute of Technology, 1989. http://hdl.handle.net/1721.1/67381.

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Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 1989.<br>Includes bibliographical references (leaves 80-84).<br>by Irene D. Jenkins and Mary Helen Schaeffer.<br>M.S.

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38

Fezzi, Carlo <1980&gt. "Econometric models for the analysis of electricity markets." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2007. http://amsdottorato.unibo.it/433/1/tesi_dottorato_carlofezzi.pdf.

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39

Fezzi, Carlo <1980&gt. "Econometric models for the analysis of electricity markets." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2007. http://amsdottorato.unibo.it/433/.

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40

Ntantamis, Christos. "Identifying hidden boundaries within economic data in the time and space domains." Thesis, McGill University, 2009. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=115616.

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This thesis presents methodological contributions to the modeling of regimes in the time or space domain of economic data by introducing a number of algorithms from engineering applications and substantially modifying them so that can be used in economic applications. The objective is twofold: to estimate the parameters of such models, and to identify the corresponding boundaries between regimes. The models used belong to the class of Finite Mixture Models and their natural extensions for the case of dependent data, Hidden Markov Models (see McLachlan and Peel 2000). Mixture models are extreme

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41

Naqvi, Farzana. "GE-PAK : a computable general equilibrium model of energy-economy interaction in Pakistan." Phd thesis, Department of Economics, 1995. http://hdl.handle.net/2123/3964.

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42

Moniz, Nuno Miguel Martins. "A procura de produtos do tabaco em Portugal (1986-2003) : estimação de elasticidades." Master's thesis, 2006. http://hdl.handle.net/10400.3/504.

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Dissertação de Mestrado em Gestão (MBA)<br>Neste trabalho é realizado um estudo do comportamento dos consumidores de tabaco em Portugal no período de 1986-2003. É efectuado um teste de hipóteses de diversos modelos de comportamento dos consumidores de produtos do tabaco utilizando Modelos Convencionais e Modelos de Dependência (Modelos de Dependência Míopes e Modelos de Dependência Racional) que vieram introduzir as dimensões de reforço, tolerância e abstinência que caracterizam os bens de dependência. Os resultados levam a concluir pela não aplicabilidade dos modelos de dependência, assumindo

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43

"Die kombinering van vooruitskattings : 'n toepassing op die vernaamste makro-ekonomiese veranderlikes." Thesis, 2014. http://hdl.handle.net/10210/9439.

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M.Com. (Econometrics)<br>The main purpose of this study is the combining of forecasts with special reference to major macroeconomic series of South Africa. The study is based on econometric principles and makes use of three macro-economic variables, forecasted with four forecasting techniques. The macroeconomic variables which have been selected are the consumer price index, consumer expenditure on durable and semi-durable products and real M3 money supply. Forecasts of these variables have been generated by applying the Box-Jenkins ARIMA technique, Holt's two parameter exponential smoothing,

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44

"Testing and estimating structural change in misspecified linear models." 1997. http://library.cuhk.edu.hk/record=b5889147.

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Leung Wai-Kit.<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 1997.<br>Includes bibliographical references (leaves 84-89).<br>Chapter 1 --- Acknowledgment --- p.6<br>Chapter I --- Introduction and a Structural Change Model --- p.7<br>Chapter 2 --- Introduction --- p.7<br>Chapter 3 --- A Structural Change Model and the Estimated Specification --- p.10<br>Chapter II --- Behavior of the Model under Stationarity --- p.13<br>Chapter 4 --- Assumptions for Stationary Regressors and Error --- p.13<br>Chapter 5 --- Consistency of the Break Point Estimator when Regressors and Error are Stat

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45

"Die ekonometriese verbetering van die stochastiese vergelykings van 'n ekonometriese model : met spesifieke vermelding van stasionariteit en ko-integrasie." Thesis, 2012. http://hdl.handle.net/10210/6426.

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M.Comm.<br>The aim of this study is the econometric improvement of the stochastic equations of an econometric model with specific reference made to the explanation and incorporation of stationarity and cointegration testing. The study is based on an existing macroeconometric forecasting model. The focus of the study is not on the improvement of the specification of individual equations per se, but rather on the econometric improvement thereof, therefore changes to the specification of individual equations have only been made in cases where test results strongly recommended it. The RAU-model ha

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46

MARCELLINO, Massimiliano. "Essays on econometric modelling." Doctoral thesis, 1996. http://hdl.handle.net/1814/4999.

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Defence date: 20 June 1996<br>Examining board: Prof. Clive Granger, University of California at San Diego ; Prof. Søren Johansen, University of Copenhagen ; Prof. Marco Lippi, University of Rome ; Prof. Grayham Mizon, EUI, Supervisor ; Prof. Pravin Trivedi, University of Indiana, Bloomington<br>PDF of thesis uploaded from the Library digitised archive of EUI PhD theses completed between 2013 and 2017<br>-- A further comment on econometric policy evaluation -- Temporal aggregation of a VARIMAX process -- Some temporal aggregation issues in empirical analysis -- Temporal disaggregation of time s

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47

Chen, Pu [Verfasser]. "Econometric structural models : a model selection approach / Chen Pu." 2002. http://d-nb.info/984651942/34.

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48

Lin, Hsin-Yi. "GENERAL SPECIFICATION TESTS FOR ECONOMETRIC MODELS." 2004. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-3006200415463300.

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49

Lin, Hsin-Yi, and 林馨怡. "GENERAL SPECIFICATION TESTS FOR ECONOMETRIC MODELS." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/90932030790126059504.

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博士<br>國立臺灣大學<br>經濟學研究所<br>92<br>In the economic literature, there are many non-nested models and conditional moment restrictions imposed by different economic theories and econometric models. Once these models or restrictions are specified, it is very important to have specification tests on their validity. This dissertation thus focuses on constructing general model specification tests for non-nested models and conditional moment restrictions. The tests in this dissertation have the following advantages. First, different from the existing literature, the proposed tests are applicable to model

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50

FORONI, Claudia. "Econometric Models for Mixed-Frequency Data." Doctoral thesis, 2012. http://hdl.handle.net/1814/23750.

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Defence date: 7 September 2012; Examining Board: Professor Massimiliano Marcellino, EUI, Supervisor; Professor Tommaso di Fonzo, Università di Padova; Professor Eric Ghysels, University of North Carolina; Professor Helmut Lütkepohl, Humboldt University Berlin<br>This thesis addresses different issues related to the use of mixed-frequency data. In the first chapter, I review, discuss and compare the main approaches proposed so far in the literature to deal with mixed-frequency data, with ragged edges due to publication delays: aggregation, bridge-equations, mixed-data sampling (MIDAS) approach,

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