Rozprawy doktorskie: „Econometric modeling”

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Lytsenko, M., Тетяна Олександрівна Маринич, Татьяна Александровна Маринич i Tetiana Oleksandrivna Marynych. "Econometric modeling of nonstationary processes". Thesis, Karazin National University, 2015. http://essuir.sumdu.edu.ua/handle/123456789/68631.

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Econometric research of nonstationary time series on causality, cointegration relation and adequate simulation methods was conducted. VAR and VEC models were found to be the most appropriate ways to make reliable prediction and scenario analysis of macro financial data under unstable economic conditions. These econometric techniques were approbated on the financial indicators of Ukrainian economy.

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Sutter, Ryan C. "Spatial Econometric Modeling of Presidential Voting Outcomes". University of Toledo / OhioLINK, 2005. http://rave.ohiolink.edu/etdc/view?acc_num=toledo1114618256.

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Yoldas, Emre. "Essays on multivariate modeling in financial econometrics". Diss., [Riverside, Calif.] : University of California, Riverside, 2008. http://proquest.umi.com/pqdweb?index=0&did=1663051691&SrchMode=2&sid=2&Fmt=6&VInst=PROD&VType=PQD&RQT=309&VName=PQD&TS=1265225972&clientId=48051.

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Thesis (Ph. D.)--University of California, Riverside, 2008. Thesis (Ph. D.)--University of California, Riverside, 2009.
Includes abstract. Title from first page of PDF file (viewed February 3, 2009). Available via ProQuest Digital Dissertations. Includes bibliographical references (p. 135-137). Includes bibliographical references (leaves ). Also issued in print.

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Blöchlinger, Andreas. "Econometric advancements in market and credit risk modeling /". [S.l.] : [s.n.], 2005. http://aleph.unisg.ch/hsgscan/hm00147040.pdf.

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LeSage, James P., i Manfred M. Fischer. "Spatial econometric methods for modeling origin destination flows". WU Vienna University of Economics and Business, 2008. http://epub.wu.ac.at/3957/1/SSRN%2Did1304571.pdf.

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Spatial interaction models of the gravity type are used in conjunction with sample data on flows between origin and destination locations to analyse international and interregional trade, commodity, migration and commuting patterns. The focus is on the classical log-normal model version and spatial econometric extensions that have recently appeared in the literature. These new models replace the conventional assumption of independence between origin-destination flows with formal approaches that allow for spatial dependence in flow magnitudes. The paper also discusses problems that arise in applied practice when estimating (log-normal) spatial interaction models. (authors' abstract)

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Sousa, Isaac Figueiredo de. "Econometric modeling of the balance of social security Brazil". Universidade Federal do CearÃ, 2009. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=4302.

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nÃo hÃ
This work aims to build models using econometrics techniques to explain the components of the balance of Social Security System, or in other words, the net value of tax revenues and the benefit values of the General Regime of Social Security. These models were subjected to statistic validations indicated in the theoretical reference of econometrics, to apply the method of ordinary least square from the classic model of linear regression. From an increasing longevity and the gradual decrease in the birth rate for Brazilian citizens, forming an almost biometrics conspiracy, combined with the benevolent rules for granting benefits, the projections show that pensions expenses will remain above the revenue and the difference between the two will increase year after year. These projections however, depend on assumptions about demographic and economic trends that serve as inputs for models of Social Security. These results confirm the inability of current Social Security rules to ease the actuarial deficit.
Este trabalho tem a finalidade de construir modelos, utilizando tÃcnicas da econometria, que expliquem os componentes do saldo da PrevidÃncia Social, ou seja, o valor da arrecadaÃÃo lÃquida e o valor dos benefÃcios do Regime Geral da PrevidÃncia Social. Esses modelos foram submetidos Ãs validaÃÃes estatÃsticas indicadas em referencial teÃrico de econometria para aplicaÃÃo do mÃtodo dos mÃnimos quadrados ordinÃrios do modelo de regressÃo linear clÃssico. Com o aumento da longevidade populacional brasileira e a diminuiÃÃo gradativa da natalidade, formando uma quase conspiraÃÃo biomÃtrica, aliada Ãs regras benevolentes de concessÃo de benefÃcios, as projeÃÃes revelam que as despesas previdenciÃrias continuarÃo acima das receitas e a diferenÃa entre os dois irÃ aumentar ano apÃs ano. Estas projeÃÃes, no entanto, dependem de hipÃteses sobre tendÃncias demogrÃficas e econÃmicas, que servem como insumos para modelos da Seguridade Social. Os resultados ratificam a incapacidade das atuais regras da PrevidÃncia Social de amenizar o dÃficit atuarial.

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Bajracharya, Dinesh. "Econometric Modeling vs Artificial Neural Networks : A Sales Forecasting Comparison". Thesis, Högskolan i Borås, Institutionen Handels- och IT-högskolan, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hb:diva-20400.

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Econometric and predictive modeling techniques are two popular forecasting techniques. Both ofthese techniques have their own advantages and disadvantages. In this thesis some econometricmodels are considered and compared to predictive models using sales data for five products fromICA a Swedish retail wholesaler. The econometric models considered are regression model,exponential smoothing, and ARIMA model. The predictive models considered are artificialneural network (ANN) and ensemble of neural networks. Evaluation metrics used for thecomparison are: MAPE, WMAPE, MAE, RMSE, and linear correlation. The result of this thesisshows that artificial neural network is more accurate in forecasting sales of product. But it doesnot differ too much from linear regression in terms of accuracy. Therefore the linear regressionmodel which has the advantage of being comprehensible can be used as an alternative to artificialneural network. The results also show that the use of several metrics contribute in evaluatingmodels for forecasting sales.
Program: Magisterutbildning i informatik

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Ayvatoglu, Dimitris 1976. "Econometric modeling of ocean freight rates : the case of tankers". Thesis, Massachusetts Institute of Technology, 2001. http://hdl.handle.net/1721.1/91340.

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Adedeji, Olumuyiwa Samson. "The intertemporal approach to modeling the current account : evidence from Nigeria". Thesis, McGill University, 2002. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=38142.

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This dissertation has two objectives. The first is to modify the existing Present Value Model of the Current Account (PVMCA) to reflect the major features of the Nigerian economy and to determine if this resulting theoretical framework is valid for the analysis of the Nigerian current account for the period 1960--97. The second objective is to examine the excessiveness and sustainability of the Nigerian current account deficits during this period.
To achieve these objectives, the thesis presents a model of current account determination that is based upon the permanent-income hypothesis of private consumption behavior. We derive a present value relationship among the current account, expected changes in net output and a consumption-based real interest rate. This thesis then extends this framework to incorporate changes in the terms of trade and possible asymmetric access to the international financial markets. It also conducts an empirical estimation of the several variants of the PVMCA. The econometric results show that an intertemporal model of current account determination that includes changes in the interest rate, exchange rate and terms of trade outperforms one that excludes them.
This thesis represents the first attempt to use an intertemporal model of the current account and selected macroeconomic and structural indicators to assess the external position of the Nigerian economy. The empirical results support the hypothesis that current account deficits accompanied by macroeconomic instability and structural weaknesses can generate an external crisis.

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Desaling, Germay Meron. "Modeling and Forecasting Unemployment Rate In Sweden using various Econometric Measures". Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-51425.

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Chen, Runquan. "Volatility and correlation in financial markets : econometric modeling and empirical pricing". Thesis, London School of Economics and Political Science (University of London), 2009. http://etheses.lse.ac.uk/2354/.

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This thesis is an empirical study of the volatility and correlation in financial markets, and consists of two parts: The first part is on econometric modeling of the volatility and correlation (Chapter 1). The second part is on the pricing implication of the correlation and volatility as risk factors (Chapter 2 and 3). The thesis begins with proposing a regime-switching multivariate GARCH model of volatilities and correlation. We incorporate the Markov-switching mechanism into the Constant Conditional Correlation model (CCC). The proposed model allows us to capture the different dynamics in both the volatilities and correlations in different regimes. It is particularly useful in examining the contemporaneous relationship between the unobservable volatility and correlation processes. We apply our model to the stock market index paired with two bond market indexes. Then in the second chapter, we estimate the risk premium for the average correlation in the cross-section of the US stock market. The average correlation is the cross-sectional average of the correlations between each pair of stocks in the stock market. We find there is a negative and statistically significant risk premium for the average correlation controlling for other factors such as Fama-French's SMB and HML as well as the liquidity factor and momentum factor. The third chapter focuses on the risk-return relation using a set of variance-related risk measures. We combine two lines of literature both of which find significant forecasting power of some risk measures for stock market returns: variance risk premium literature and studies on average variance-correlation decomposition. We illustrate how these two approaches can be related to each other, and empirically evaluate the relative importance of two approaches.

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Kim, Namhoon. "Three Essays on Econometric Modeling and Application: Health and Consumer Behaviors". Diss., Virginia Tech, 2018. http://hdl.handle.net/10919/82850.

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In the three chapters of my dissertation, I analyze the individual behaviors including health (vaccination and preventive care) and consumer (financial literacy) behaviors and the corresponding interventions by nonlinear econometric modeling. In the first chapter, I suggest an appropriate econometric model that investigates the effect of paid sick leave on workers' decision to receive the seasonal flu vaccination. For this investigation, I apply a Bayesian non-linear structural regression model with one-outcome and two-endogenous equations. The results of my estimation indicate that having paid sick leave affects workers' vaccination decisions differently based on their income levels. Low-income workers are willing to be vaccinated because they perceive the high cost of claiming paid sick leave. However, high-income workers are willing to be vaccinated because paid sick leave reduces the cost of vaccination for seasonal flu. In the second chapter, I suggest new econometric regression models that investigate the effect of "Don't Know" or "Refuse" (DK/RF) responses on parameter identification. I estimate the effect of group characteristics and financial education on the level of young respondents' objective financial knowledge and find the actual effects and biases by my suggested models. This study examines six questions about personal finance and selects covariates in the 2015 National Financial Capability Study (NFCS). Because these questions include DK/RF responses, a simple regression model that does not consider DK/RF responses could lead to misleading conclusions, such as gender/income difference and educational effectiveness in schools. In the last chapter, I investigate the effect of three health-related interventions including a doctor's recommendation, information about human papillomavirus (HPV), and HPV vaccination, on the misuse of cervical cancer screening including too-early screening, unnecessary HPV test, annual Pap test, and no Pap smear that are not recommended for women younger than 30 years. I examine the National Health Interview Survey conducted in 2015 and applies binary and multinomial logistic regression models. From the estimation result, I observe that doctor's recommendation plays a significant role in increasing the probability of receiving cervical cancer screening while it induces the too-early screening, unnecessary HPV testing, and overuse of Pap smears.
Ph. D.

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Ng, Fo-chun, i 伍科俊. "Some topics in correlation stress testing and multivariate volatility modeling". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/206653.

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This thesis considers two important problems in finance, namely, correlation stress testing and multivariate volatility modeling. Correlation stress testing refers to the correlation matrix adjustment to evaluate potential impact of the changes in correlations under financial crises. Very often, some correlations are explicitly adjusted (core correlations), with the remainder left unspecified (peripheral correlations), although it would be more natural for both core correlations and peripheral correlations to vary. However, most existing methods ignored the potential change in peripheral correlations. Inspiring from this idea, two methods are proposed in which the stress impact on the core correlations is transmitted to the peripheral correlations through the dependence structure of the empirical correlations. The first method is based on a Bayesian framework in which a prior for a population correlation matrix is proposed that gives flexibility in specifying the dependence structure of correlations. In order to increase the rate of convergence, the algorithm of posterior simulation is extended so that two correlations can be updated in one Gibbs sampler step. To achieve this, an algorithm is developed to find the region of two correlations keeping the correlation matrix positive definite given that all other correlations are held fixed. The second method is a Black-Litterman approach applied to correlation matrices. A new correlation matrix is constructed by maximizing the posterior density. The proposed method can be viewed as a two-step procedure: first constructing a target matrix in a data-driven manner, and then regularizing the target matrix by minimizing a matrix norm that reasonably reflects the dependence structure of the empirical correlations. Multivariate volatility modeling is important in finance since variances and covariances of asset returns move together over time. Recently, much interest has been aroused by an approach involving the use of the realized covariance (RCOV) matrix constructed from high frequency returns as the ex-post realization of the covariance matrix of low frequency returns. For the analysis of dynamics of RCOV matrices, the generalized conditional autoregressive Wishart model is proposed. Both the noncentrality matrix and scale matrix of the Wishart distribution are driven by the lagged values of RCOV matrices, and represent two different sources of dynamics, respectively. The proposed model is a generalization of the existing models, and accounts for symmetry and positive definiteness of RCOV matrices without imposing any parametric restriction. Some important properties such as conditional moments, unconditional moments and stationarity are discussed. The forecasting performance of the proposed model is compared with the existing models. Outliers exist in the series of realized volatility which is often decomposed into continuous and jump components. The vector multiplicative error model is a natural choice to jointly model these two non-negative components of the realized volatility, which is also a popular multivariate time series model for other non-negative volatility measures. Diagnostic checking of such models is considered by deriving the asymptotic distribution of residual autocorrelations. A multivariate portmanteau test is then devised. Simulation experiments are carried out to investigate the performance of the asymptotic result in finite samples.
published_or_final_version
Statistics and Actuarial Science
Doctoral
Doctor of Philosophy

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Pham, Tien Duc, i n/a. "A new approach to regional modelling: an Integrated Regional Equation System (IRES)". Griffith University. School of International Business and Asian Studies, 2004. http://www4.gu.edu.au:8080/adt-root/public/adt-QGU20041022.083520.

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This thesis develops a new structure that explicitly combines two CGE models, a national and a regional, in an integrated structure that gives the thesis model the name IRES, in short for the Integrated Regional Equation System. The typical features of the integrated structure are the adding-up conditions and the two-way linkages between the national and the regional modules facilitated by the interface shifters. The adding-up conditions ensure the two modules produce consistent results and updated databases. The inclusion of the interface shifters on the one hand plays a role in ensuring compatibility of results of the two modules, i.e. no distortion occurs because technical or taste changes are transferred across modules. On the other hand, the interface shifters assist the operation of IRES in different modes: the model can be used as a top-down model, a bottom-up model or an integrated model where national and regional shocks can be introduced at the same time. Hence, IRES has more flexibility in its application than a regional model or a national model alone, as IRES can make use of availability of data at any levels in the economy. IRES has a new labour market in which regional migration is no longer the only factor that settles the labour market as in the original setting of the MMRF model. Regional unemployment and regional participation rates are modelled to response to changes in regional employment growth using elasticities estimated econometrically in this thesis. IRES implements historical patterns of regional migration so that results of regional migration are consistent with observed patterns. Altogether, regional migration, regional unemployment and participation rates determine the equilibrium of the labour market. IRES adopts new approaches to modelling margin demands and indirect taxes. These new approaches are very effective in reducing the size of IRES but they do not compromise the use of the model. These approaches are readily applicable to any other regional CGE models.

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Pham, Tien Duc. "A new approach to regional modelling: an Integrated Regional Equation System (IRES)". Thesis, Griffith University, 2004. http://hdl.handle.net/10072/366367.

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This thesis develops a new structure that explicitly combines two CGE models, a national and a regional, in an integrated structure that gives the thesis model the name IRES, in short for the Integrated Regional Equation System. The typical features of the integrated structure are the adding-up conditions and the two-way linkages between the national and the regional modules facilitated by the interface shifters. The adding-up conditions ensure the two modules produce consistent results and updated databases. The inclusion of the interface shifters on the one hand plays a role in ensuring compatibility of results of the two modules, i.e. no distortion occurs because technical or taste changes are transferred across modules. On the other hand, the interface shifters assist the operation of IRES in different modes: the model can be used as a top-down model, a bottom-up model or an integrated model where national and regional shocks can be introduced at the same time. Hence, IRES has more flexibility in its application than a regional model or a national model alone, as IRES can make use of availability of data at any levels in the economy. IRES has a new labour market in which regional migration is no longer the only factor that settles the labour market as in the original setting of the MMRF model. Regional unemployment and regional participation rates are modelled to response to changes in regional employment growth using elasticities estimated econometrically in this thesis. IRES implements historical patterns of regional migration so that results of regional migration are consistent with observed patterns. Altogether, regional migration, regional unemployment and participation rates determine the equilibrium of the labour market. IRES adopts new approaches to modelling margin demands and indirect taxes. These new approaches are very effective in reducing the size of IRES but they do not compromise the use of the model. These approaches are readily applicable to any other regional CGE models.
Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
School of International Business and Asian Studies
Full Text

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Huber, Peter, Harald Oberhofer i Michael Pfaffermayr. "Who Creates Jobs? Econometric Modeling and Evidence for Austrian Firm Level Data". WU Vienna University of Economics and Business, 2015. http://epub.wu.ac.at/4650/1/wp205.pdf.

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This paper offers an empirical analysis of net job creation patterns at the firm level for the Austrian economy between 1993 and 2013 focusing on the impact of firm size and age. We propose a new estimation strategy based on a two-part model. This allows to identify the structural parameters of interest and to decompose behavioral differences between exiting and surviving firms. Our findings suggest that conditional on survival, young Austrian firms experience the largest net job creation rates. Differences in firm size are not able to explain variation in net job creation rates among the group of continuing enterprises. Job destruction induced by market exit, however, is largest among the young and small firms with this effect being even more pronounced during the times of the Great Recession. In order to formulate sensible policy recommendations, a separate treatment of continuing versus exiting firms as proposed by the new two-part model estimation approach seems crucial.(authors' abstract)
Series: Department of Economics Working Paper Series

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Карпуша, М. В. "Проблема специфікації функціональних форм зі змінною еластичністю заміщення в економетричному моделюванні". Thesis, Вид-во СумДУ, 2008. http://essuir.sumdu.edu.ua/handle/123456789/20737.

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У роботі проводиться порівняльний аналіз двох форм: Кобба-Дугласа та транслогарифмічної на основі даних по 10 європейським країнам. Характеризується залежність ВВП від основних фондів країни (капіталу) та фонду заробітної плати (аналог величин робочої сили). Проводиться аналіз як на панельних даних, так і на даних часових рядів ряду європейських економік. Для перевірки значущості ідентифікованих параметрів використовується критерій Стьюдента, а для виявлення помилок специфікації моделі - RESET тест Рамсея. При цитуванні документа, використовуйте посилання http://essuir.sumdu.edu.ua/handle/123456789/20737

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Nguyen, To Ngoc. "Essays on econometric modeling of subjective perceptions of risks in environment and human health". [College Station, Tex. : Texas A&M University, 2008. http://hdl.handle.net/1969.1/ETD-TAMU-2626.

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Fuest, Andreas [Verfasser], i Stefan [Akademischer Betreuer] Mittnik. "Econometric modeling of ultra-high frequency volatility-liquidity interactions / Andreas Fuest. Betreuer: Stefan Mittnik". München : Universitätsbibliothek der Ludwig-Maximilians-Universität, 2015. http://d-nb.info/1112465839/34.

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Kulakov, Sergei [Verfasser], i Florian [Akademischer Betreuer] Ziel. "Econometric modeling and forecasting with application in electricity markets / Sergei Kulakov ; Betreuer: Florian Ziel". Duisburg, 2021. http://d-nb.info/1241963223/34.

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Rotermann, Benedikt [Verfasser], i Bernd [Akademischer Betreuer] Wilfling. "Econometric estimation and theoretical modeling of rational stock-market bubbles / Benedikt Rotermann ; Betreuer: Bernd Wilfling". Münster : Universitäts- und Landesbibliothek Münster, 2014. http://d-nb.info/1138280798/34.

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Juneja, Januj. "An Assessment of Econometric Methods Used in the Estimation of Affine Term Structure Models". Diss., The University of Arizona, 2010. http://hdl.handle.net/10150/193599.

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The first essay empirically evaluates recently developed techniques that have been proposed to improve the estimation of affine term structure models. The evaluation presented here is performed on two dimensions. On the first dimension, I find that invariant transformations and rotations can be used to reduce the number of free parameters needed to estimate the model and subsequently, improve the empirical performance of affine term structure models. The second dimension of this evaluation surrounds the comparison between estimating an affine term structure model using the model-free method and the inversion method. Using daily LIBOR rate and swap rate quotes from June 1996 to July 2008 to extract a panel of 3,034 time-series observations and 14 cross sections, this paper shows that, a term structure model that is estimated using the model-free method does not perform significantly better in fitting yields, at any horizon, than the more traditional methods available in the literature.The second essay attempts explores implications of using principal components analysis in the estimation of affine term structure models. Early work employing principal component analysis focused on portfolio formation and trading strategies. Recent work, however, has moved the usage of principal components analysis into more formal applications such as the direct involvement of principal component based factors within an affine term structure model. It is this usage of principal components analysis in formal model settings that warrants a study of potential econometric implications of its application to term structure modeling. Serial correlation in interest rate data, for example, has been documented by several authors. The majority of the literature has focused on strong persistence in state variables as giving rise to this phenomena. In this paper, I take yields as given, and hence document the effects of whitening on the model-implied state-dependent factors, subsequently estimated by the principal component based model-free method. These results imply that the process of pre-whitening the data does play a critical role in model estimation. Results are robust to Monte Carlo Simulations. Empirical results are obtained from using daily LIBOR rate and swap rate quotes from June 1996 to July 2008 to extract a panel of zero-coupon yields consisting of 3,034 time-series observations and 14 cross sections.The third essay examines the extent to which the prevalence of estimation risk in numerical integration creates bias, inefficiencies, and inaccurate results in the widely used class of affine term structure models. In its most general form, this class of models relies on the solution to a system of non-linear Ricatti equations to back out the state-factor coefficients. Only in certain cases does this class of models admit explicit, and thus analytically tractable, solutions for the state factor coefficients. Generally, and for more economically plausible scenarios, explicit closed form solutions do not exist and the application of Runge-Kutta methods must be employed to obtain numerical estimates of the coefficients for the state variables. Using a panel of 3,034 yields and 14 cross-sections, this paper examines what perils, if any, exist in this trade off of analytical tractability against economic flexibility. Robustness checks via Monte Carlo Simulations are provided. In specific, while the usage of analytical methods needs less computational time, numerical methods can be used to estimate a broader set of economic scenarios. Regardless of the data generating process, the generalized Gaussian process seems to dominate the Vasicek model in terms of bias and efficiency. However, when the data are generated from a Vasicek model, the Vasicek model performs better than the generalized Gaussian process for fitting the yield curve. These results impart new and important information about the trade off that exists between using analytical methods and numerical methods for estimate affine term structure models.

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Alsalous, Osama. "Global Demand Forecast Model". Thesis, Virginia Tech, 2016. http://hdl.handle.net/10919/78331.

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Air transportation demand forecasting is a core element in aviation planning and policy decision making. NASA Langley Research Center addressed the need of a global forecast model to be integrated into the Transportation Systems Analysis Model (TSAM) to fulfil the vision of the Aeronautics Research Mission Directorate (ARMD) at NASA Headquarters to develop a picture of future demand worldwide. Future forecasts can be performed using a range of techniques depending on the data available and the scope of the forecast. Causal models are widely used as a forecasting tool by looking for relationships between historical demand and variables such as economic and population growth. The Global Demand Model is an econometric regression model that predicts the number of air passenger seats worldwide using the Gross Domestic Product (GDP), population, and airlines market share as the explanatory variables. GDP and Population are converted to 2.5 arc minute individual cell resolution and calculated at the airport level in the geographic area 60 nautical miles around the airport. The global demand model consists of a family of models, each airport is assigned the model that best fits the historical data. The assignment of the model is conducted through an algorithm that uses the R2 as the measure of Goodness-of-Fit in addition to a sanity check for the generated forecasts. The output of the model is the projection of the number of seats offered at each airport for every year up to the year 2040.
Master of Science

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Beblo, Miriam. "Bargaining over time allocation : economic modeling and econometric investigating of time use within families; with 26 tables /". Heidelberg [u.a.] : Physica-Verl, 2001. http://swbplus.bsz-bw.de/bsz090547632cov.htm.

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Burdine, Kenneth H. "A DETAILED SECTOR ANALYSIS OF THE HOLSTEIN BEEF MARKET". UKnowledge, 2003. http://uknowledge.uky.edu/gradschool_theses/168.

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The Holstein beef sector is a fascinating and integral part of the United States beefsystem; however, it has been largely overlooked in academic research. Holstein beef has longsuffered from perceptions that it is of poor quality. Recent changes in slaughter industrystructure, marketing systems, and production models have made the Holstein systemunbelievably complex. Coupled with econometric modeling, this sector analysis uses a semistructuredinterview approach to evaluate the reality of these perceptions, the impact of thesechanges, and to determine what truly drives the Holstein beef market. Results suggest that manyof the perceptions of Holstein beef are inaccurate; the market for Holstein steers was found to bequite similar to the market for native steers. Recent changes in production systems appear tohave been driven by changes in market preferences. Finally, the driving forces behind theHolstein market are not that different from the driving factors in the native cattle market,although some of the impacts were found to be different.

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Lunsford, Terry L. "CHARACTERISTICS OF BEEF CATTLE THAT DETERMINE THE PRICE DIFFERENCE BETWEEN TRADITIONAL AND CPH SALES". UKnowledge, 2005. http://uknowledge.uky.edu/gradschool_theses/172.

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Cattle producers are faced with difficult decisions on how they market theircalves. This study examines the different characteristics that play a role in determiningthe price of a group of animals. Identifying characteristics that determine pricedifferentials relative to the price premium given to producers participating in CPH salesis important information when producers are making a marketing decision. The modeldeveloped in this study provides producers with evidence of what characteristics generatethe highest price, as well as relative differences between sales locations and types ofsales. The more information available to producers, the better equipped they are to makedecisions.

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Guo, Chenhui, i Chenhui Guo. "Empirical Studies on Incentives, Information Disclosure, and Social Interactions in Online Platforms". Diss., The University of Arizona, 2016. http://hdl.handle.net/10150/621773.

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Nowadays, people have many business activities and entertainments on a variety of online platforms. Despite their various functionalities, online platforms have a fundamental administrative problem: How do platform designers or administrators create proper online environments, including mechanisms and policies, to better manage user behaviors, in order to reach the goals of the platforms? Starting with a taxonomy of online platforms, I introduce three critical dimensions that help to characterize such platforms, including revenue model, heterogeneity in the role of users and level of user interaction. Then, I choose three online platforms as research contexts and conduct empirical studies, trying to identify and understand the impact of the incentive program, quality information disclosure, and social influence, on users' decision-making in online platforms. The first essay investigates the effectiveness of incentive hierarchies, where users achieve increasingly higher status in the community after achieving increasingly more challenging goals, in motivating user contribution in the same platform. The findings have important implications for crowd-based online applications, such as knowledge exchange and crowdsourcing. The second essay focuses on online consumer review sites, and studies whether and how consumer-generated word-of-mouth of restaurants-both volume and valence-is influenced by the disclosure of quality information from health inspectors, by conducting analytical modeling and econometric analyses using data from a leading consumer review site. The third essay examines how social interactions matter in a large-scale online social game that adopts an increasingly popular freemium revenue model. The study leverages an econometric model to quantify the effect of peer consumption on players' repeated decisions for the consumption of both free services and premium services. Finally, I conclude the dissertation by highlighting the three fundamental issues of design and management of online platforms.

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Moraes, Adriano Ferreira de [UNESP]. "Avaliação de fatores econômicos que influenciam a oferta cafeeira na região nordeste do estado de São Paulo no período de 1995 a 2015". Universidade Estadual Paulista (UNESP), 2017. http://hdl.handle.net/11449/151821.

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Análises econômicas resultam em ferramentas importantes na definição de políticas e medidas estruturantes para qualquer setor de produção, particularmente no setor de produtos agrícolas. Esta pesquisa teve como objetivos a avaliação de fatores que afetam a oferta cafeeira da região Nordeste do estado de São Paulo, por meio de modelagem econométrica. As variáveis utilizadas na pesquisa foram a "produção do café" (em sacas de 60 kg), a "produtividade do café" (em sacas 60 kg por hectares), "área plantada de café" (em hectares), "preço do café" no mercado (em reais por saca de 60 kg) e preços (em reais) de produtos concorrentes, como do "kg de açúcar" e da "dúzia de laranjas". Os dados são anuais e foram obtidos junto ao Instituto de Economia Agrícola (IEA), no Centro de Estudos em Economia Aplicada, referentes a 16 municípios dessa região, no período de 1995 a 2015. As análises foram realizadas com o auxílio do software GRETL (Gnu, Regression, Econometrics and Time-Series Library), com modelos de regressão linear múltipla do tipo log-log, considerando como variável dependente a "produção de café" e seguindo metodologia descrita e Gujarati e Porter (2011). Os resultados obtidos mostraram que a área plantada, a produtividade e o preço do café foram as variáveis determinantes da oferta, apresentando impacto positivo, no período de 1995 a 2015. Os preços dos produtos concorrentes, açúcar e laranja, não tiveram impactos significativos na oferta de café na região pesquisada, no período de 1995 a 2015.
Economic analyzes result in important tools in the definition of policies and structural measures for any production sector, particularly in the agricultural products sector. The objective of this study was to evaluate factors affecting coffee supply in the Northeast region of the state of São Paulo, using econometric modeling based on a log-log multiple regression. The variables used were production (the dependent variable), productivity (sacks 60 kg per hectare), planted area (hectares), prices of coffee (sack 60 kg), sugar (kg) and orange (dozen) . The data cover the period from 1995 to 2015 and were withdrawn from the Institute of Agricultural Economics (IEA) at the Center for Applied Economics Studies. Multiple log-log linear regression models were developed using the software GRETL (Gnu, Regression, Econometrics and Time-Series Library), and the methodology proposed by Gujarati and Porter (2011). The results showed that the planted area, the productivity and the price of coffee were the determinants of supply, with a positive impact, from 1995 to 2015. The prices of competing products, sugar and orange, did not have a significant impact on supply in the region surveyed, from 1995 to 2015.

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Works, Richard Floyd. "Econometric modeling of exchange rate determinants by market classification| An empirical analysis of Japan and South Korea using the sticky-price monetary theory". Thesis, Capella University, 2017. http://pqdtopen.proquest.com/#viewpdf?dispub=10242838.

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Numerous researchers have studied the connection between exchange rate fluctuations and macroeconomic variables for various market economies. Few studies, however, have addressed whether these relationships may differ based on the market classification of the given economy. This study examined the impact on exchange rates for Japan (a proxy for developed economies) and South Korea (a proxy for emerging economies) yielding from the macroeconomic variables of the sticky-price monetary model between February 1, 1989 and February 1, 2015. The results show that money supply and inflation constituted a significant, but small, influence on South Korean exchange rate movements, whereas no macroeconomic variable within the model had a significant impact on Japanese exchange rates fluctuations. The results of the autoregressive error analyses suggest small variances in the affect that macroeconomic variables may have on developed versus emerging market economies. This may provide evidence that firms may use similar forecasting techniques for emerging market currencies as used with developed market currencies.

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Bagnoli, Joseph P. Jr. "Merit Aid as a Predictor Variable of Undergraduate Student Enrollment". UKnowledge, 2016. http://uknowledge.uky.edu/epe_etds/41.

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Merit-based financial aid has long been utilized by college and university enrollment managers to attract the most academically qualified applicants for admission. Considerable research has been done to illustrate the impact of state-based merit aid programs and other scholarly pursuits have drawn attention to the consequences of merit aid on institutional investments in need-based aid. Less is known about the efficacy of merit aid to achieve college student enrollment objectives. The purpose of this study was to evaluate the relationship between merit aid values and the likelihood of undergraduate student enrollment yield on offers of admission. The primary research question to be answered was: What is the relationship between the amount of merit aid students receive from a college or university and their enrollment decisions? The sample comprised 2,770 students at three private higher education institutions in the United States. Binary logistic regression and a forward selection process were used to test a range of possible predictors (e.g., sex, race, ethnicity, in-state residency, distance from home, academic qualifications, merit aid awards, and information from the financial aid applications of those offered admission) to determine the relative strength of merit aid in the prediction of student enrollment yield on offers of admission. The amount of merit aid offered was positively related to the likelihood of a student to enroll, even when academic qualifications and other student characteristics were controlled.

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Köhler, Max Verfasser], Stefan [Akademischer Betreuer] Sperlich, Inmaculada [Akademischer Betreuer] Martínez-Zarzoso i Thomas [Akademischer Betreuer] [Kneib. "Econometric studies on flexible modeling of developing countries in growth analysis / Max Köhler. Gutachter: Stefan Sperlich ; Inmaculada Martinez-Zarzoso ; Thomas Kneib. Betreuer: Stefan Sperlich". Göttingen : Niedersächsische Staats- und Universitätsbibliothek Göttingen, 2012. http://d-nb.info/1043667164/34.

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Köhler, Max [Verfasser], Stefan Akademischer Betreuer] Sperlich, Inmaculada [Akademischer Betreuer] Martínez-Zarzoso i Thomas [Akademischer Betreuer] [Kneib. "Econometric studies on flexible modeling of developing countries in growth analysis / Max Köhler. Gutachter: Stefan Sperlich ; Inmaculada Martinez-Zarzoso ; Thomas Kneib. Betreuer: Stefan Sperlich". Göttingen : Niedersächsische Staats- und Universitätsbibliothek Göttingen, 2012. http://d-nb.info/1043667164/34.

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Schmidt, Alexander [Verfasser], i Robert C. [Akademischer Betreuer] Jung. "On the implications of recent advancements in information technologies and high-dimensional modeling for financial markets and econometric frameworks / Alexander Schmidt ; Betreuer: Robert C. Jung". Hohenheim : Kommunikations-, Informations- und Medienzentrum der Universität Hohenheim, 2019. http://d-nb.info/1201726026/34.

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Schmidt, Alexander [Verfasser], i Robert [Akademischer Betreuer] Jung. "On the implications of recent advancements in information technologies and high-dimensional modeling for financial markets and econometric frameworks / Alexander Schmidt ; Betreuer: Robert C. Jung". Hohenheim : Kommunikations-, Informations- und Medienzentrum der Universität Hohenheim, 2019. http://nbn-resolving.de/urn:nbn:de:bsz:100-opus-16802.

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Stavrén, Fredrik, i Nikita Domin. "Modeling of non-maturing deposits". Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252302.

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The interest in modeling non-maturing deposits has skyrocketed ever since thefinancial crisis 2008. Not only from a regulatory and legislative perspective,but also from an investment and funding perspective.Modeling of non-maturing deposits is a very broad subject. In this thesis someof the topics within the subject are investigated, where the greatest focus inon the modeling of the deposit volumes. The main objective is to providethe bank with an analysis of the majority of the topics that needs to be cov-ered when modeling non-maturing deposits. This includes short-rate model-ing using Vasicek’s model, deposit rate modeling using a regression approachand a method proposed by Jarrow and Van Deventer, volume modeling usingSARIMA, SARIMAX and a general additive model, a static replicating port-folio based on Maes and Timmerman’s to model the behaviour of the depositaccounts and finally a liquidity risk model that was suggested by Kalkbrenerand Willing. All of these models have been applied on three different accounttypes: private transaction accounts, savings accounts and corporate savingsaccounts.The results are that, due to the current market, the static replicating portfoliodoes not achieve the desired results. Furthermore, the best volume model forthe data provided is a SARIMA model, meaning the effect of the exogenousvariables are seemingly already embedded in the lagged volume. Finally, theliquidity risk results are plausible and thus deemed satisfactory.
Intresset för att modellera inlåningsvolymer utan en kontrakterad förfallodaghar ökat markant sedan finanskrisen 2008. Inte bara sett utifrån ett perspek-tiv att uppfylla krav som ställs av tillsynsmyndigheter, men också sett utifrånbankens investerings-och finansieringsperspektiv.Målet med det här arbetet är att förse banken med en analys av majoritetenav de olika områdena som man behöver ta hänsyn till när man ska model-lera inlåningar utan förfallodatum, men med ett fokus på volymmodellering.I den här rapporten modelleras räntor (kortränta och kontoränta), kontovoly-merna, kontobeteendet samt likviditetsrisken. Detta görs med hjälp av Vasicekför korträntan, en regressionsmetod samt en metod som föreslagits av Jarrowoch Van Deventer för kontoräntan, SARIMA, SARIMAX och en generell ad-ditiv regressionsmetod för volymerna, en statisk replikeringsportfölj baseradpå Maes och Timmermans modell för att imitera kontona och slutligen så mo-delleras likviditetsrisken med ett ramverk som föreslagits av Kalkbrener ochWilling. Alla dessa nämnda modeller appliceras, där det är möjligt, på de treolika kontotyperna: privatkonton, sparkonton samt företagssparkonto.Resultatet är att räntemodelleringen samt replikeringsportföljen inte ger ade-kvata resultat på grund av den rådande marknaden. Vidare så ger en SARIMA-modell den bästa prediktionen, vilket gör att slutsatsen är att andra exogenavariabler redan är inneslutna i den fördröjda volymvariabeln. Avslutningsvisså ger likviditetsmodellen tillfredsställande resultat och antas vara rimlig.

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Soares, Nuno Filipe de Almeida. "Modeling of lifetime probability of default and forward-looking adjustment". Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14963.

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Mestrado em Mathematical Finance
A 1 de Janeiro de 2018, a nova norma contabilística para instrumentos financeiros, IFRS 9 Financial Instruments, tornar-se-á obrigatória. Convergendo as necessidades da crise de 2007 para mudanças técnicas, o seu objetivo é alinhar a contabilidade com a gestão de risco. Uma das principais adaptações é o novo modelo de imparidade, que passa de "perdas incorridas" na IAS 39 para "perdas esperadas" na IFRS 9. Para fazer essa transição, é necessário incorporar informação forward-looking nas estimações. Neste caso, a incorporação necessitava de ser feita para as Probabilidades de Default, uma das variáveis usadas para calcular "perdas esperadas". Portanto, nosso objetivo era desenvolver e validar um modelo, alavancando o trabalho anterior, que integrasse projeções macroeconómicas nas estimativas das Probabilidades de Default. Para isso duas abordagens foram comparadas, sendo uma mais técnica, e, a outra mais simples e mais prática. Após a comparação, o modelo final foi definido ao ajustar a melhor abordagem.
On January 1st, 2018, the new financial instruments standard, IFRS 9 Financial Instruments, will turn mandatory. Converging 2007's crisis' needs for technical changes, its objective is to align accounting with risk management. One of the main adaptations is the new impairment model, which passes from "incurred losses" in IAS 39 to "expected losses" in IFRS 9. To make this transition forward-looking information must be incorporated in the estimations. In this case, the incorporation needed to be made for the Probabilities of Default, one of the variables used to calculate "expected losses". Therefore, our objective was to develop and validate a model, while leveraging previous work, to integrate macroeconomic projections in the estimations of the Probabilities of Default. To do so, two approaches were compared, with one being more technical while the other simpler and more practical. After the comparison, the final model was defined by adjusting the best approach.
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Conflitti, Cristina. "Essays on the econometrics of macroeconomic survey data". Doctoral thesis, Universite Libre de Bruxelles, 2012. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209635.

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This thesis contains three essays covering different topics in the field of statistics

and econometrics of survey data. Chapters one and two analyse two aspects

of the Survey of Professional Forecasters (SPF hereafter) dataset. This survey

provides a large information on macroeconomic expectations done by the professional

forecasters and offers an opportunity to exploit a rich information set.

But it poses a challenge on how to extract the relevant information in a proper

way. The last chapter addresses the issue of analyzing the opinions on the euro

reported in the Flash Eurobaromenter dataset.

The first chapter Measuring Uncertainty and Disagreement in the European

Survey of Professional Forecasters proposes a density forecast methodology based

on the piecewise linear approximation of the individual’s forecasting histograms,

to measure uncertainty and disagreement of the professional forecasters. Since

1960 with the introduction of the SPF in the US, it has been clear that they were a

useful source of information to address the issue on how to measure disagreement

and uncertainty, without relying on macroeconomic or time series models. Direct

measures of uncertainty are seldom available, whereas many surveys report point

forecasts from a number of individual respondents. There has been a long tradition

of using measures of the dispersion of individual respondents’ point forecasts

(disagreement or consensus) as proxies for uncertainty. Unlike other surveys, the

SPF represents an exception. It directly asks for the point forecast, and for the

probability distribution, in the form of histogram, associated with the macro variables

of interest. An important issue that should be considered concerns how to

approximate individual probability densities and get accurate individual results

for disagreement and uncertainty before computing the aggregate measures. In

contrast to Zarnowitz and Lambros (1987), and Giordani and Soderlind (2003) we

overcome the problem associated with distributional assumptions of probability

density forecasts by using a non parametric approach that, instead of assuming

a functional form for the individual probability law, approximates the histogram

by a piecewise linear function. In addition, and unlike earlier works that focus on

US data, we employ European data, considering gross domestic product (GDP),

inflation and unemployment.

The second chapter Optimal Combination of Survey Forecasts is based on

a joint work with Christine De Mol and Domenico Giannone. It proposes an

approach to optimally combine survey forecasts, exploiting the whole covariance

structure among forecasters. There is a vast literature on forecast combination

methods, advocating their usefulness both from the theoretical and empirical

points of view (see e.g. the recent review by Timmermann (2006)). Surprisingly,

it appears that simple methods tend to outperform more sophisticated ones, as

shown for example by Genre et al. (2010) on the combination of the forecasts in

the SPF conducted by the European Central Bank (ECB). The main conclusion of

several studies is that the simple equal-weighted average constitutes a benchmark

that is hard to improve upon. In contrast to a great part of the literature which

does not exploit the correlation among forecasters, we take into account the full

covariance structure and we determine the optimal weights for the combination

of point forecasts as the minimizers of the mean squared forecast error (MSFE),

under the constraint that these weights are nonnegative and sum to one. We

compare our combination scheme with other methodologies in terms of forecasting

performance. Results show that the proposed optimal combination scheme is an

appropriate methodology to combine survey forecasts.

The literature on point forecast combination has been widely developed, however

there are fewer studies analyzing the issue for combination density forecast.

We extend our work considering the density forecasts combination. Moving from

the main results presented in Hall and Mitchell (2007), we propose an iterative

algorithm for computing the density weights which maximize the average logarithmic

score over the sample period. The empirical application is made for the

European GDP and inflation forecasts. Results suggest that optimal weights,

obtained via an iterative algorithm outperform the equal-weighted used by the

ECB density combinations.

The third chapter entitled Opinion surveys on the euro: a multilevel multinomial

logistic analysis outlines the multilevel aspects related to public attitudes

toward the euro. This work was motivated by the on-going debate whether the

perception of the euro among European citizenships after ten years from its introduction

was positive or negative. The aim of this work is, therefore, to disentangle

the issue of public attitudes considering either individual socio-demographic characteristics

and macroeconomic features of each country, counting each of them

as two separate levels in a single analysis. Considering a hierarchical structure

represents an advantage as it models within-country as well as between-country

relations using a single analysis. The multilevel analysis allows the consideration

of the existence of dependence between individuals within countries induced by

unobserved heterogeneity between countries, i.e. we include in the estimation

specific country characteristics not directly observable. In this chapter we empirically

investigate which individual characteristics and country specificities are

most important and affect the perception of the euro. The attitudes toward the

euro vary across individuals and countries, and are driven by personal considerations

based on the benefits and costs of using the single currency. Individual

features, such as a high level of education or living in a metropolitan area, have

a positive impact on the perception of the euro. Moreover, the country-specific

economic condition can influence individuals attitudes.
Doctorat en Sciences économiques et de gestion
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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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Меняйлов, Д. А., Наталія Анатоліївна Федотова, Наталия Анатольевна Федотова, Nataliia Anatoliivna Fedotova, Оксана Анатоліївна Шовкопляс, Оксана Анатольевна Шовкопляс i Oksana Anatoliivna Shovkoplias. "Розроблення алгоритмічного та програмного забезпечення для економетричного моделювання монотонних процесів та прогнозування результатів". Thesis, Сумський державний університет, 2017. http://essuir.sumdu.edu.ua/handle/123456789/64957.

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Мета роботи – автоматизація процесу аналізу та прогнозування статистичних даних довільним користувачем. Об’єктом дослідження є процес розроблення всіх можливих конфігурацій при використанні статистичних даних певного економічного процесу для забезпечення ефективного отримання якісної оцінки на виході із системи. Предметом дослідження є модель процесу розроблення всіх можливих конфігурацій даних, що задаються.

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Ye, Xin. "An exploration of the relationship between mode choice and complexity of trip chaining patterns". [Tampa, Fla.] : University of South Florida, 2004. http://purl.fcla.edu/fcla/etd/SFE0000417.

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Clements, Michael P. "Cointegration and dynamic econometric modelling". Thesis, University of Oxford, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.334980.

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Ye, Xin. "Development of models for understanding causal relationships among activity and travel variables". [Tampa, Fla] : University of South Florida, 2006. http://purl.fcla.edu/usf/dc/et/SFE0001842.

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Bowsher, Clive G. "Papers in multivariate dynamic econometric modelling". Thesis, University of Oxford, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.413018.

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Arbeleche, Grela Santiago. "Econometric modelling for global asset management". Thesis, University of Cambridge, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.616219.

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Virbukaitė, Laura. "Econometric Modelling and Forecasting Company's FCF Components". Master's thesis, Lithuanian Academic Libraries Network (LABT), 2010. http://vddb.laba.lt/obj/LT-eLABa-0001:E.02~2010~D_20100621_095233-72130.

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The aim of the study is to verify a hypothesis, whether a company’s financial statement items can be modelled using econometric techniques incorporating accounting and macroeconomic variables. For the modelling and forecasting are selected items, necessary to calculate a company’s free cash flow (FCF) of four Lithuanian companies: telecommunication provider TEO LT, cheese manufacturer Rokiškio sūris, producer of household refrigerators Snaigė and distributor and supplier of electric energy VST. From their financial statements are taken such items as operating profit, current assets and current liabilities, long - term assets and long - term liabilities, and modeled as endogenous variables. Two types of exogenous variables are used: accounting variables (revenues and various types of expenditures) and macroeconomic variables (interest rates, disposable income or net earnings, growth of gross domestic product, country’s export, foreign direct investment and inflation). Initial econometric analysis of the variables includes verification of seasonality and stationarity according to the time series graphs and unit - root tests as well as correlation and causality analysis using cross - correlation matrices and Granger causality tests. For the modelling are selected two types of econometric methods: structural simultaneous - equations models (SEM), estimating them using two - stage least squares technique, and vector autoregression (VAR) models. After estimation of the models... [to full text]
Darbo tikslas yra patikrinti hipotezę, ar įmonės finansinės atskaitomybės straipsniai gali būti modeliuojami naudojant ekonometrinius metodus įtraukiant apskaitos ir makroekonominius kintamuosius. Modeliavimui ir prognozavimui yra pasirinkti įmonės laisvam pinigų srautui (angl. free cash flow, FCF) apskaičiuoti reikalingi straipsniai ir keturios Lietuvos įmonės: telekomunikacijų paslaugų teikėja „TEO LT“, sūrių gamybos įmonė „Rokiškio sūris“, buitinių šaldytuvų gamintoja „Snaigė“ bei elektros energijos skirstytoja ir tiekėja VST. Iš šių bendrovių finansinių atskaitomybių yra paimti tokie straipsniai, kaip veiklos pelnas, trumpalaikis turtas ir trumpalaikiai įsipareigojimai, ilgalaikis turtas ir ilgalaikiai įsipareigojimai. Šie rodikliai yra modeliuojami kaip endogeniniai kintamieji. Modeliuojant naudojami egzogeniniai kintamieji yra dviejų tipų: apskaitos kintamieji (pardavimai ir įvairios sąnaudos) bei makroekonominiai kintamieji (palūkanų normos, disponuojamos pajamos, neto darbo užmokestis, bendrojo vidaus produkto augimas, šalies eksportas, tiesioginės užsienio investicijos ir infliacija). Pradinė ekonometrinė kintamųjų analizė apima sezoniškumo ir stacionarumo tikrinimą pagal laiko eilučių grafikus ir vienetinės šaknies testus bei koreliacijų ir priežastingumo analizę, naudojant kryžmines koreliacijas ir Granger priežastingumo testus. Modeliavimui yra pasirinkti du ekonometriniai metodai: struktūrinių vienalaikių lygčių modeliai (angl. structural simultaneous – equation... [toliau žr. visą tekstą]

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Iacopini, Matteo. "Essays on econometric modelling of temporal networks". Thesis, Paris 1, 2018. http://www.theses.fr/2018PA01E058/document.

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La théorie des graphes a longtemps été étudiée en mathématiques et en probabilité en tant qu’outil pour décrire la dépendance entre les nœuds. Cependant, ce n’est que récemment qu’elle a été mise en œuvre sur des données, donnant naissance à l’analyse statistique des réseaux réels.La topologie des réseaux économiques et financiers est remarquablement complexe: elle n’est généralement pas observée, et elle nécessite ainsi des procédures inférentielles adéquates pour son estimation, d’ailleurs non seulement les nœuds, mais la structure de la dépendance elle-même évolue dans le temps. Des outils statistiques et économétriques pour modéliser la dynamique de changement de la structure du réseau font défaut, malgré leurs besoins croissants dans plusieurs domaines de recherche. En même temps, avec le début de l’ère des “Big data”, la taille des ensembles de données disponibles devient de plus en plus élevée et leur structure interne devient de plus en plus complexe, entravant les processus inférentiels traditionnels dans plusieurs cas. Cette thèse a pour but de contribuer à ce nouveau champ littéraire qui associe probabilités, économie, physique et sociologie en proposant de nouvelles méthodologies statistiques et économétriques pour l’étude de l’évolution temporelle des structures en réseau de moyenne et haute dimension
Graph theory has long been studied in mathematics and probability as a tool for describing dependence between nodes. However, only recently it has been implemented on data, giving birth to the statistical analysis of real networks.The topology of economic and financial networks is remarkably complex: it is generally unobserved, thus requiring adequate inferential procedures for it estimation, moreover not only the nodes, but the structure of dependence itself evolves over time. Statistical and econometric tools for modelling the dynamics of change of the network structure are lacking, despite their increasing requirement in several fields of research. At the same time, with the beginning of the era of “Big data” the size of available datasets is becoming increasingly high and their internal structure is growing in complexity, hampering traditional inferential processes in multiple cases.This thesis aims at contributing to this newborn field of literature which joins probability, economics, physics and sociology by proposing novel statistical and econometric methodologies for the study of the temporal evolution of network structures of medium-high dimension

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47

Atems, Bebonchu. "Essays in nonlinear macroeconomic modeling and econometrics". Diss., Kansas State University, 2011. http://hdl.handle.net/2097/11985.

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Doctor of Philosophy
Department of Economics
Lance J. Bachmeier
This dissertation consists of three essays in nonlinear macroeconomic modeling and econometrics. In the first essay, we decompose oil price movements into oil demand (stock market) shocks and oil supply (oil-market) shocks, and examine the response of the stock market to these shocks. We find that when oil prices are “net-increasing”, a stock market shock that causes the S&P 500 to rise by one percentage point will cause the price of oil to rise approximately 0.2 percentage points, with a statistically significant positive effect one day after the stock market shock. On the other hand, the response of the stock market to an oil market shock is a decline of 6.8 percent when the price of oil doubles. For other days, the initial response of the oil market to a stock market shock is the same as in the net oil price increase case (by construction). We then analyze the response of monetary policy to the identified stock market and oil market shocks and find that short-term interest rates respond to the stock market shocks but not the oil market shocks. Finally, we evaluate the predictive power of the decomposed stock market and oil shocks relative to the change in the price of oil. We find statistically significant gains in both the in-sample fit and out-of-sample forecast accuracy when using the identified stock market and oil market shocks rather than the change in the price of oil. The second essay revisits the statistical specification of near-multicollinearity in the logistic regression model using the Probabilistic Reduction approach. We argue that the ceteris paribus clause invoked with near-multicollinearity is rather misleading. This assumption states that one can assess the impact of near-multicollinearity by holding the parameters of the logistic regression model constant, while examining the impact on their standard errors and t-ratios as the correlation (\rho) between the regressors increases. Using the Probabilistic Reduction approach, we derive the parameters (and related statisitics) of the logistic regression model and show that they are functions of \rho , indicating the ceteris paribus clause in the traditional account of near multicollinearity is unattainable. Monte carlo simulations in the paper confirm these findings. We also show that traditional near-multicollinearity diagnostics, such as the variance inflation factor and condition number can fail to detect near-multicollinearity. Overall, the paper finds that near-multicollinearity in the logistic model is highly variable and may not lead to the problems indicated by the traditional account. Therefore, unexpected, unreliable or unstable estimates and inferences should not be blamed on near-multicollinearity. Rather the modeler should return to economic theory or statistical respecification of their model to address these problems. The third essay examines the correlations between income inequality and economic growth using a panel of income distribution data for 3,109 counties of the U.S. We examine the non-spatial dynamic correlations between county inequality and growth using a System GMM approach, and find significant negative relationships between changes in inequality in one period and growth in the subsequent period. We show that this finding is robust across different sample sizes. We further argue that because the space-specific time-invariant variables that affect economic growth and inequality can differ significantly across counties, failure to incorporate spatial effects into a model of growth and inequality may lead to biased results.We assume that dependence among counties only arises from the disturbance process, hence the estimation of a spatial error model. Our results indicate that the bias in the parameter for inequality amounts to about 2.66 percent, while that for initial income amounts to about 21.51 percent.

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Hweta, A. M. "Modelling the U.S. pear industry". Thesis, University of Reading, 1985. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.354082.

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Orme, Christopher David. "Misspecification and inferance in micro-econometrics". Thesis, University of York, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.329851.

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Scott, Ayesha T. "Contributions to modelling correlations in financial econometrics". Thesis, Queensland University of Technology, 2016. https://eprints.qut.edu.au/97634/1/Ayesha_Scott_Thesis.pdf.

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Modelling the correlations between financial asset returns is important for portfolio management and this thesis assesses a number of correlation models to provide insights into the best way to handle large portfolios of assets. It also outlines key features of stock correlation dynamics evident over the trading day and presents a model to capture this intraday pattern. Indeed, very little work exists on the dynamics of correlations during the trading day despite research into modelling intraday volatilities gaining momentum. These findings further the understanding of correlation dynamics, both in large portfolios as well as in returns sampled at high frequencies during market trading hours.

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