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1
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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2
Wanhill, S. R. C. "An econometric model of Wales." Thesis, Bangor University, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.516562.
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3
Lim, Eng Lee. "An econometric model of South Australia /." Title page, contents and introduction only, 1985. http://web4.library.adelaide.edu.au/theses/09EC/09ecl7316.pdf.
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4
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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5
Lui, Hon-kwong. "An econometric model of spouse selection /." Hong Kong : University of Hong Kong, 1996. http://sunzi.lib.hku.hk/hkuto/record.jsp?B16027450.
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6
Bae, Kyungcho. "Energy consumption forecasting: Econometric model vs state space model." Diss., The University of Arizona, 1994. http://hdl.handle.net/10150/187010.
Повний текст джерелаАнотація:
This study examines the forecasting performance of two major multivariate methodologies: econometric modeling and multivariate state space modeling. The same variables are used in both models to facilitate comparison. They are evaluated by both expost and exante accuracy of U.S. energy consumption forecasts. Econometric models are highly simplified and a model selection procedure is applied to the models. Two different formats of multivariate state space models are examined: economic structure and identity structure. Goodrich's algorithm is employed to estimate the state space models. The state space models in both the econometric structure and the identity structure provided generally good estimates, usually, but not always, these forecasts were more accurate than those by the single econometric models.
7
Volgina, Vera. "Postmerger financial performance: econometric analysis." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-16850.
Повний текст джерелаАнотація:
There are numerous researches done in the last couple decades dedicated to the observation of impact of merges and acquisitions on the performance of the company. The topic is considered to be up-to-date, as still there is no common approach to evaluating of benefits mergers are about to bring to a new established entity. In this thesis the issue of post-merger financial performance is investigated on an example of three biggest energy companies in Europe: RWE, E.ON and Vattenfall. The aim of the thesis is to find out whether financial performance of chosen companies improves after the merger occurs. This target is elaborated with a help of the analysis of commonly used financial ratios in corporate finance and construction of two regression models, which explain the interrelations between basic indicator of the company's growth (net income), the fact of the merger and determined financial ratios. As an outcome of the research, a few findings were obtained, such as worsening of financial performance three to five years after the merger, with continuing improvement in further years, quite stable financial indicators before the merger, positive interconnection between the fact of the merger and the net income. Such outcomes might be considered as significant, though further research and elaboration of the topic can be performed in the future.
8
Lomax, John William. "An econometric model of the Grampian region." Thesis, Robert Gordon University, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.254448.
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9
Thompson, Wyatt. "An econometric model of Japanese meat markets /." free to MU campus, to others for purchase, 1998. http://wwwlib.umi.com/cr/mo/fullcit?p9904869.
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10
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.
Повний текст джерелаАнотація:
Historically, the Consumption Capital Asset Pricing Method (C-CAPM) has performed poorly in that estimated parameters are implausible, model restrictions are often rejected and inferences appear to be very sensitive to the choice of economic agents' preferences. In this study, we estimate and test the C-CAPM with Constant Relative Risk Aversion (CRRA) using time series data from Germany, South Africa, Britain and America during relatively short time periods with the latest available data sets. Hansen's GMM approach is applied to estimate the parameters arising from this model. In general, estimated parameters fall outside the bounds specified by Lund & Engsted (1996) and Cuthbertson & Nitzsche (2004), even though the models are not rejected by the J-test and are associated with relatively small minimum distances.
11
McLaughlin, Daniel Patrick. "A small econometric model of the Irish economy." Thesis, Queen Mary, University of London, 1988. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.390284.
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12
Vergottis, Andreas Rokos. "An econometric model of the world shipping markets." Thesis, City University London, 1989. http://openaccess.city.ac.uk/7940/.
Повний текст джерелаАнотація:
This thesis presents an aggregated econometric model of the world shipping markets. The model distinguishes between dry cargo and tankers and also between the a) freight market, b) second hand market for ships, C) shipbuilding market, d) scrap market. Chapters 1,2 of the thesis examine the history of shipping in the last 100 years or so, analyse the cyclical behaviour of the industry, and consider past theoretical attempts at modelling the shipping markets. It is argued that the structure of existing models of the shipping industry is theoretically flawed In its treatment of the demand for new and second hand ships as well as in the treatment of expectations. Chapter 3 presents a 'new' theoretical model of the behaviour of shipping markets that attempts to remedy these defects. Novel features of this theory are the assumption of 'rational expectations' in shipping markets as well as the treatment of new and second-hand ships as assets, the portfolio demand for which varies with the own expected return relative to the return on other assets. Econometric versions of the theoretical model are estimated from post World War II annual data, separately for the dry cargo and tanker sectors In chapters 4, S. The two models are linked In chapter 6 and the models are used In order to simulate the dynamic response of the shipping markets to anticipated and unanticipated external shocks. A crucial role in the adjustment process is played by the forward looking speculative positions of investors in the second hand and newbuilding markets. Chapter 7 tests the assumption of the rational expectations hypothesis in the shipping markets by examining the evidence from the freight futures, time charter and new building markets. The stochastic behaviour of these variables is examined and statistical tests are performed in order to Investigate the extent to which this Is considered to be consistent -with the efficient markets / rational expectations hypothesis. The results are somewhat mixed. Chapter 8 illustrates how the model can be used for real world forecasting purposes and scenario planning.
13
Francis, Frank Noble. "An econometric model of land prices in England." Thesis, University of Nottingham, 2004. http://eprints.nottingham.ac.uk/12169/.
Повний текст джерелаАнотація:
A thesis presented on the land market in England between 1951 and 2001, determining an econometric VAR model of land prices that establishes a link between the price of agricultural land in England and variables that are under the influence of policy makers. The model makes use of the Johansen technique to determine the short run and long run effects of variables that control land prices.
14
Boon, Yu Lai. "Econometric model for the Singapore private housing market." Thesis, University of Aberdeen, 1997. http://digitool.abdn.ac.uk/R?func=search-advanced-go&find_code1=WSN&request1=AAIU101483.
Повний текст джерелаАнотація:
Recent modelling developments in the housing economics literature are reviewed and drawn on to construct a national housing model for Singapore. An econometric approach was adopted and a system of equations was formulated to explain the behaviour of the private owner-occupation housing market in Singapore. The model is estimated on quarterly data over the period 1975-1995. The estimation and simulation results are good. On the basis of the results it is concluded that Central Provident Funds policies on promoting home ownership, directed at lowering the cost of housing capital, exert a strong influence on housing demand and house prices. Finally, some areas for future improvements in data construction and model specification are identified.
15
Ruhaet, H. F. "Econometric model for the Libyan economy, 1970-2006." Thesis, University of Salford, 2013. http://usir.salford.ac.uk/29325/.
Повний текст джерелаАнотація:
The implicit aim in this kind of study, especially within developing countries, is to provide a tool that allows an economic decision maker to stand on solid ground and to reduce the problems that arise from the stochastic decisions in such countries. One of most effective tools, in this regard, is the econometric model. Accordingly, in pursuit of achieving this aim, this study constructed a small econometric model for the Libyan economy with a view to assessing the existing and alternative economic policies, specifically fiscal and monetary policies, and then aimed to explore their transmission mechanisms and interaction. Therefore, the model is designed to capture the main characteristics of the economy whilst also exploiting the developments in economic theory and econometric analytical tools. The model consists of six blocks, namely, the aggregate demand, the aggregate supply, the balance of payments, the government, the monetary, and the price. The model has been estimated utilizing time-series data spanning the period from 1970 to 2006. Also, the single equation of the model was estimated by using the ‘Gets’ technique which involves the formulation of a ‘general’ unrestricted model ‘GUM’ that is congruent with the data and the application of a ‘testing down’ process, eliminating variables with coefficients that are not statistically significant leading to a simpler ‘specific’ congruent model that encompasses rival models. This step achieves the first objective of the use of econometric models which is the structural analysis. In addition, this study has carried out the remaining two objectives of econometric studies, namely forecasting and policy analysis. Accordingly, in order to fulfil this aim the model of the study has been solved as a whole, simultaneously using the dynamic simulation technique. It is evident from the dynamic simulation of the model that the model’s performance is, generally, quite satisfactory, whereby the model tracking behaviour clarified a good fit, and this is realized for most of the equations which performed much better than would be expected for a model of a developing country such as Libya. The evaluation of the forecast accuracy of the model using the (MAPE), (RMSPE), and the Theil inequality coefficient (U) asserted the relatively good performance of the model. The simulations’ experiments in this study have evaluated the potential influences of the two major policy options, fiscal policy and monetary policy. As expected, with regard to the analysis of the monetary policy scenario and compared with the fiscal policy scenario, it can be concluded that monetary policy is less efficient compared to fiscal policy, according to this proposed model for the analysis of economic policy in Libya. In addition, also, it is evident that fiscal policy should play a key role in the management of the Libyan economy and the role of monetary policy should be confined to supporting fiscal policy.
16
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.
Повний текст джерелаАнотація:
[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 that the US three-factor model provides the best description of Australian stock returns. The three US Fama-French factors are statistically significant for the majority of portfolios consisting of large stocks. However, no significant coefficients are found for portfolios in the smallest size quintile. This result initially suggests that the largest firms in the Australian market are globally integrated with the US market while the smallest firms are not. Therefore, the evidence at this point implies domestic segmentation in the Australian market. This is an unsatisfying outcome, considering that the goal of this research is to establish the pricing model that best describes portfolio returns. Given pervasive evidence that liquidity is strongly related to stock returns, the second part of the major analyses derives and incorporates this potentially priced factor to the specified pricing models ... This study also introduces a methodology for individual security analysis, which implements the portfolio analysis, in this part of analyses. The technique makes use of visual impressions conveyed by the histogram plots of coefficients' p-values. A statistically significant coefficient will have its p-values concentrated at below a 5% level of significance; a histogram of p-values will not have a uniform distribution ... The final stage of this study employs daily return data as an examination of what is indeed the best pricing model as well as to provide a robustness check on monthly return results. The daily result indicates that all three US Fama-French factors, namely the US market, size and book-to-market factors as well as LIQT are statistically significant, while the Australian three-factor model only exhibits one significant market factor. This study has discovered that it is in fact the US three-factor model with LIQT and not the domestic model, which qualifies for the criterion of a well-specified asset-pricing model and that it best describes Australian stock returns.
17
Lytsenko, M., Тетяна Олександрівна Маринич, Татьяна Александровна Маринич, and Tetiana Oleksandrivna Marynych. "Econometric modeling of nonstationary processes." Thesis, Karazin National University, 2015. http://essuir.sumdu.edu.ua/handle/123456789/68631.
Повний текст джерелаАнотація:
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.
18
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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19
Patton, M. "A spatial econometric model of the agricultural land market." Thesis, Queen's University Belfast, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.396218.
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20
Corey, John David 1973. "Econometric model of ski condo prices in New England." Thesis, Massachusetts Institute of Technology, 2000. http://hdl.handle.net/1721.1/32186.
Повний текст джерелаАнотація:
Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Architecture, 2000.Includes bibliographical references (leaf 89).
What does the future hold for ski condo prices in New England? To answer this question historical condo prices were collected for The Village of Loon Mountain Development in Lincoln, NH. Skier visits, snowfall, employment, condo stock and interest rate information was also collected from around the region in order to compare changes in these variables with the changes in past ski condo prices. Using over 600 sales transactions from 1977 to 2000, a price index was created. This index allows for a more manageable view of the data as condo location, condo size, and condo style effects were removed using a hedonic model. Remaining was a yearly index that tracked real condo prices as a function of time. Over the length of study, the index had a few years of upward momentum, but all in all real ski condo prices have fallen over the 24 year period. Using the price index, three equations were created that will be the foundation of the econometric model: Skier Visits (a measure of condo demand), Change in Stock (a measure of condo supply) and the Real Price Equation (a measure of condo price). The econometric model uses these three equations to predict future condo supply and demand in order to establish a future price. Five simulations about the future were run to see the affects of changing the input variables. The cases start with pessimistic outlooks on snowfall, resulting in low skier turnout, low new condo supply and further depressing condo prices. Even the most optimistic snowfall case, 90 inches of snow per season, increases demand through skier visits, which in turn prices, starts the construction boom and eventually brings prices back down to pre-boom levels. Case 5, which predicts future snowfall along the linear trend line and doubles forecasted employment growth, forecasts stable condo prices even with a boom in condo construction. Like the other cases, condo stock response immediately to the increase in condo prices; however, with a more robust economy, the prices remain stabilize as more condos come on-line due continued strong demand. This allows for a continued building boom for the foreseeable future. Ultimately what can be concluded from this analysis is that ski condo prices are not going to appreciate. In every simulation, prices either fall or stabilize. Sure there is an instance where prices increase for a year or two, but these ultimately return to preboom levels. Since the ability for developers to supply ski condos quickly, prices will remain flat through 2009.
by John David Corey.
S.M.
21
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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22
Cornwall, Gary J. "Three Essays on Bayesian Econometric Methods." University of Cincinnati / OhioLINK, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1504801632767553.
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23
Li, Guangjie. "Essays on economic and econometric applications of Bayesian estimation and model comparison." Thesis, University of Leicester, 2009. http://hdl.handle.net/2381/4792.
Повний текст джерелаАнотація:
This thesis consists of three chapters on economic and econometric applications of Bayesian parameter estimation and model comparison. The first two chapters study the incidental parameter problem mainly under a linear autoregressive (AR) panel data model with fixed effect. The first chapter investigates the problem from a model comparison perspective. The major finding in the first chapter is that consistency in parameter estimation and model selection are interrelated. The reparameterization of the fixed effect parameter proposed by Lancaster (2002) may not provide a valid solution to the incidental parameter problem if the wrong set of exogenous regressors are included. To estimate the model consistently and to measure its goodness of fit, the Bayes factor is found to be more preferable for model comparson than the Bayesian information criterion based on the biased maximum likelihood estimates. When the model uncertainty is substantial, Bayesian model averaging is recommended. The method is applied to study the relationship between financial development and economic growth. The second chapter proposes a correction function approach to solve the incidental parameter problem. It is discovered that the correction function exists for the linear AR panel model of order p when the model is stationary with strictly exogenous regressors. MCMC algorithms are developed for parameter estimation and to calculate the Bayes factor for model comparison. The last chapter studies how stock return's predictability and model uncertainty affect a rational buy-and-hold investor's decision to allocate her wealth for different lengths of investment horizons in the UK market. The FTSE All-Share Index is treated as the risky asset, and the UK Treasury bill as the riskless asset in forming the investor's portfolio. Bayesian methods are employed to identify the most powerful predictors by accounting for model uncertainty. It is found that though stock return predictability is weak, it can still affect the investor's optimal portfolio decisions over different investment horizons.
24
Jermoumi, Rabia. "Structural econometric model of the European Union olive oil sector /." free to MU campus, to others for purchase, 2004. http://wwwlib.umi.com/cr/mo/fullcit?p3164515.
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25
Ness, M. R. "An econometric model of the United Kingdom poultry meat sector." Thesis, University of Manchester, 1985. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.376130.
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26
Escalante, Alexander Jose Guerrero. "An econometric model of the balance of payments of Venezuela." Thesis, Queen Mary, University of London, 1989. http://qmro.qmul.ac.uk/xmlui/handle/123456789/1547.
Повний текст джерелаАнотація:
The fundamental purpose of this study is to build an econometric model of the Venezuelan Economy to concentrate primarely on the following: first, to analyse the effects of monetary, fiscal and external disturbances on expenditures, prices and on the Balance of Payments during the period 1955-1984, a period of fixed exchange rate; second, to approximate an optomal policy 'mix' necessary to achieve certain macroeconomic objectives, i. e, steady economic growth, price stability and balance of payments equilibrium; thirdly, to provide a simple well integrated macroeconometric model of the Venezuelan Economy. The resulted model is a generalised income determination model where a short to medium term analysis of balance of payments can be exercised. The model belongs to the vintage of general keynesian type where the monetray and financial sector enters in a stock-flow fashion. Explicit recognition of the government budget constraint guarantees the integration of both sectors of the Venezuelan Economy as well as of the policy shocks. The empirical section of this dissertation is carried out using least squares method to estimate the structural parameters under the carefully scrutiny of the Econometric Modelling strategy developed by Professor David Hendry and associates and which has becoming standard in the econometric modelling practice in the United Kingdom. From the analysis of the dynamic multipliers emerges some already standard results. It has been demonstrated that the impact of the budget deficit on the economy-diverges depending on which method is used to finance the deficit. Money financing shows a strong impulse in economic growth with a large disequilibrium in the balance of payments. Multipliers are negative. Exchange rate multipliers are positive with respect to the balace of payments following its direct effect on the current account and its induced effect on economic growth. Price are sticky according to the manner they are incorporated, as well as for its Non-Granger causality with money. No empirical basis was found to accept the money-price causality. Pure monetary policy did show ambiguous results, however, financial liberalization produce strong economic growth and corresponding balance of payments deficit. Using these results we could inferr a plausible optimal combination of policies targeted towards equilibria in the external accounts with steady economic growth.
27
Gause, William Daniel. "Econometric model of ski resort real estate in New England." Thesis, Massachusetts Institute of Technology, 1993. http://hdl.handle.net/1721.1/66356.
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28
Cain, Donneil. "The gravity model of international trade : econometric properties and applications." Thesis, University of Nottingham, 2017. http://eprints.nottingham.ac.uk/43400/.
Повний текст джерелаАнотація:
This thesis reviews the literature, simulates and applies the Gravity Model of International Trade. The gravity model is widely used in international trade to examine trade flows within a network of exporters and importers. It describes the push and pull factors of trade flows and is fast becoming the most favoured tool when estimating the welfare effects of a trade policy. Therefore, estimating an accurate baseline equation is critical to correctly identify the welfare effects of trade and accompanying trade policies. Recent developments in the literature on the gravity model have helped in this regard. Chapter 1 presents a summary. The literature identifies several estimation issues and prescribes several actions that could be taken to best estimate the gravity model and minimize potential bias in the coefficient(s) of interest. With the objective of minimizing the bias on the coefficient(s) of interest, this thesis, in Chapter 2, builds on the literature by simulating and estimating the gravity model using varying assumptions about the data generating process (dgp) of the errors, conditional mean and sample. The findings from these simulations are then used to guide the application (Chapter 3) of the gravity model to trade among Caribbean Community (CARICOM) members and trade between CARICOM members and the rest of the world (ROW). Subsequently, in Chapter 4, the gravity model is used as the basis for a general equilibrium framework to investigate the importance of international borders, regional trade agreements (RTAs) and the potential impact of deeper integration in the form of a currency union among CARICOM members. The welfare implications for CARICOM members, associated with being a member of the RTA and adapting a common currency, are presented in Chapter 4 along with several recommended trade policies and areas for future research.
29
Omosola, Afolabi Akin. "An econometric model of the one million barrel tanker market." Thesis, London Metropolitan University, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312932.
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30
Lazim, Mohamad Alias. "Econometric forecasting models and model evaluation : a case study of air passenger traffic flow." Thesis, Lancaster University, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.296880.
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31
Shami, Roland G. (Roland George) 1960. "Bayesian analysis of a structural model with regime switching." Monash University, Dept. of Econometrics and Business Statistics, 2001. http://arrow.monash.edu.au/hdl/1959.1/9277.
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32
Dumitrescu, Elena. "Econometric Methods for Financial Crises." Thesis, Orléans, 2012. http://www.theses.fr/2012ORLE0502/document.
Повний текст джерелаАнотація:
Connus sous le nom de Systèmes d’Alerte Avancés, ou Early Warning Systems (EWS), les modèles de prévision des crises financières sont appelés à jouer un rôle déterminant dans l’orientation des politiques économiques tant au niveau microéconomique qu’au niveau macroéconomique et international. Or,dans le sillage de la crise financière mondiale, des questions majeures se posent sur leur réelle capacité prédictive. Deux principales problématiques émergent dans le cadre de cette littérature : comment évaluer les capacités prédictives des EWS et comment les améliorer ?Cette thèse d’économétrie appliquée vise à proposer (i) une méthode d’évaluation systématique des capacités prédictives des EWS et (ii) de nouvelles spécifications d’EWS visant à améliorer leurs performances. Ce travail comporte quatre chapitres. Le premier propose un test original d’évaluation des prévisions par intervalles de confiance fondé sur l’hypothèse de distribution binomiale du processus de violations. Le deuxième chapitre propose une stratégie d’évaluation économétrique des capacités prédictives des EWS. Nous montrons que cette évaluation doit être fondée sur la détermination d’un seuil optimal sur les probabilités prévues d’apparition des crises ainsi que sur la comparaison des modèles.Le troisième chapitre révèle que la dynamique des crises (la persistance) est un élément essentiel de la spécification économétrique des EWS. Les résultats montrent en particulier que les modèles de type logit dynamiques présentent de bien meilleurs capacités prédictives que les modèles statiques et que les modèles de type Markoviens. Enfin, dans le quatrième chapitre nous proposons un modèle original de type probit dynamique multivarié qui permet d’analyser les schémas de causalité intervenant entre différents types crises (bancaires, de change et de dette). L’illustration empirique montre clairement que le passage à une modélisation trivariée améliore sensiblement les prévisions pour les pays qui connaissent les trois types de crisesKnown as Early Warning Systems (EWS), financial crises forecasting models play a key role in definingeconomic policies at microeconomic, macroeconomic and international level. However, in the wake ofthe global financial crisis, numerous questions with respect to their forecasting abilities have been raised,as very few signals were drawn prior to the starting of the turmoil. Two questions arise in this context:how to evaluate EWS forecasting abilities and how to improve them?The broad goal of this applied econometrics dissertation is hence (i) to propose a systematic model-free evaluation methodology for the forecasting abilities of EWS as well as (ii) to introduce new EWSspecifications with improved out-of-sample performance. This work has been concretized in four chapters.The first chapter introduces a new approach to evaluate interval forecasts which relies on the binomialdistributional assumption of the violations series. The second chapter proposes an econometric evaluationmethodology of the forecasting abilities of an EWS. We show that adequate evaluation must take intoaccount the cut-off both in the optimal crisis forecast step and in the model comparison step. The thirdchapter points out that crisis dynamics (persistence) is essential for the econometric specification of anEWS. Indeed, dynamic logit models lead to better out-of-sample forecasting probabilities than those oftheir main competitors (static model and Markov-switching one). Finally, a multivariate dynamic probitEWS is proposed in the fourth chapter to take into account the causality between different types of crises(banking, currency, sovereign debt). The empirical application shows that the trivariate model improvesforecasts for countries that underwent the three types of crises
33
Nowman, Khalid. "Gaussian estimation of open higher order continuous time dynamic models with mixed stock and flow and with an application to a United Kingdom macroeconomic model." Thesis, University of Essex, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.305955.
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34
Mazigh, Monia. "A linear model for the term structure of interest rates /." Thesis, McGill University, 2000. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=37778.
Повний текст джерелаАнотація:
The term structure of interest rates shows the relationship between yields of zero-coupon bonds and their maturities. The empirical performance of the single-factor model of the affine term structure models, such as Vasicek (1977) and Cox, Ingersoll, and Ross (1985), has not been entirely satisfactory. The curve fitting methods, and particularly the spline method, used in practice to estimate the term structure are ad hoc and thus subject to arbitrage opportunities. Guo (1998) used the fundamental Partial Differential Equation (PDE) for bond pricing to derive a linear discount function, which is consistent with no-arbitrage. He showed that this is the unique linear solution to the PDE. This solution, the exponential-polynomial model or EP model for short, has n unobserved state factors that drive a stochastic discount process for pricing bonds so as to rule out arbitrage opportunities. In this thesis, we conduct an extensive cross-sectional analysis of the EP model on two different data sets: prices for daily Treasury bills, notes and bonds from the New York Federal Reserve Bank quotation sheets from July 1989 to October 1996, and daily Canadian bills, notes and bonds prices for the time period from June 1992 to May 1995. We estimate the model by applying a minimization criterion. The cross-sectional analysis shows that the EP model is able to describe adequately the term structure of interest rates. For the US data, we find that every term structure from the sampling period can be fully represented by either nine or ten state factors. Eigenvalue analysis indicates that the first three principal components are underlying the term structure movements. We conduct a time series analysis on the three principal components. They are found to be best described by ARMA/GARCH processes. We form two types of GARCH forecasts of the three principal components and test their out-of-sample performance. We conclude that the three principal components are predictable in a statis
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Kruse, John Robert. "A structural model of the international oilseed sector : an econometric investigation /." free to MU campus, to others for purchase, 2003. http://wwwlib.umi.com/cr/mo/fullcit?p3100055.
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Aristidou, Chrystalleni. "Issues in the accommodation of model uncertainty in macro-econometric modelling." Thesis, University of Nottingham, 2016. http://eprints.nottingham.ac.uk/36130/.
Повний текст джерелаАнотація:
This thesis deals with different types of uncertainty in various macroeconomic contexts and investigates ways in which these can be accommodated by adopting flexible techniques that allow a robust inference in estimation, testing and prediction. This thesis covers a wide range of aspects in macroeconomic analysis, including the choice of an appropriate unit root test, inference when the presence of breaks and the autocorrelation properties of data are unknown, characterisation of inflation dynamics when structural and specification uncertainty are present, as well as model uncertainty in forecasting when real-time data are available. Chapter 1 presents the general motivations and describes the main research objectives and methodology for each chapter, providing a thesis outline at the same time. Chapter 2 examines the behaviour of OLS-demeaned/ detrended and GLS-demeaned/ detrended unit root tests that employ stationary covariates in situations where the magnitude of the initial condition of the time series under consideration may be nonnegligible. We show that the asymptotic power of such tests is very sensitive to the initial condition; OLS- and GLS- based tests achieve relatively high power for large and small magnitudes of the initial condition, respectively. Combining information from both types of test via a simple union of rejections strategy is shown to effectively capture the higher power available across all initial condition magnitudes. In Chapter 3, we consider a two-step procedure for estimating level break size(s) when the presence of the structural break(s) is uncertain and when the order of integration of the data is unknown. In other words, we deal with uncertainty over the appropriate filtering of the data, as well as structural uncertainty over the existence of a break. Our approach is motivated by the well known interplay between the unit roots and structural changes: Evidence in favour of unit roots can be a manifestation of structural changes and vice versa. The proposed procedure is shown to exhibit substantial accuracy gains in estimating the level break-size and breakpoint. Chapter 4 provides a characterisation of U.S. inflation dynamics within a generalised Phillips Curve framework that accommodates uncertainties about the duration a given Phillips Curve holds and the specification of the relationship, in addition to parameter and stochastic uncertainties accommodated within a typical Phillips Curve analysis. Our approach is based on an innovative method to deal with such uncertainties based on Bayesian model averaging techniques. Employing data for the U.S. in the period 1950q1- 2012q4, the estimated version of the "meta" Phillips Curve provides an interesting characterisation of inflation dynamics which is in accordance with a number of distinguished studies. Chapter 5 investigates the extent to which nowcast and forecast performance is enhanced by the use of real-time datasets that incorporate past data vintages and survey data on expectations in addition to the most recent data. The paper proposes a modelling framework and evaluation procedure which allow a real-time assessment and a final assessment of the use of revisions and survey data judged according to a variety of statistical and economic criteria. Both survey data and revisions data are found to be important in calculating density forecasts in forecasting the occurrence of business cycle events. Through a novel "fair bet" exercise, it is shown that models that incorporate survey and/or revisions data achieve higher profits in decision-making. The analysis also highlights the need to focus on future growth and inflation dynamics relevant to decision-makers rather than relying on simple point forecasts.
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Alsalous, Osama. "Global Demand Forecast Model." Thesis, Virginia Tech, 2016. http://hdl.handle.net/10919/78331.
Повний текст джерелаАнотація:
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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Azam, Mohammad Nurul 1957. "Modelling and forecasting in the presence of structural change in the linear regression model." Monash University, Dept. of Econometrics and Business Statistics, 2001. http://arrow.monash.edu.au/hdl/1959.1/9152.
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Kambhampaty, S. Murthy. "An analytic model of the food comsumption behavior of health-conscious individuals." Diss., Virginia Tech, 1994. http://hdl.handle.net/10919/39736.
Повний текст джерелаАнотація:
Evidence of changing patterns of food consumption behavior is presented. Previous attempts at explaining these changes are critically reviewed and the need for an alternate approach is identified. A model of consumer behavior in which utility from food consumption is maximized subject to outlay for foods and limits on the consumption of fat, cholesterol, sodium, and/or other food components is proposed. This model yields a system of demands that are functions of prices and outlay as well as the composition of food and limits on the consumption of these components.
The structure of this model is examined and restrictions on consumer food demands are derived. The derivation of individual demands based on the proposed model is demonstrated using a specific indirect utility function. Tests of the joint hypotheses that fat or cholesterol consumption determines food demand are defined. The computation of aggregate food demand elasticities with respect to changes in prices and changes in attributes such as fat or cholesterol consumption is demonstrated. Data necessary for estimating the parameters of the model and testing hypotheses are identified.
The model proposed in this study allows tests of the hypothesis that food demands are not affected by food composition as well as measurement of these effectsPh. D.
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Xu, Xingbai Xu. "Asymptotic Analysis for Nonlinear Spatial and Network Econometric Models." The Ohio State University, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=osu1461249529.
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Maynou, Pujolràs Laia. "Health and economic convergence in the European Union (1990-2010): an econometric approach." Doctoral thesis, Universitat de Girona, 2013. http://hdl.handle.net/10803/127304.
Повний текст джерелаАнотація:
The main aim of this thesis is to evaluate the reduction of economic and health disparities in the European Union from 1990-2010. Through different dynamic panel models, we show that in simple economics terms there has been a catching-up process within the eurozone and that the distance between the core-periphery has been reduced. However, in terms of disparities, significant economic differences across the eurozone regions still exist. In an attempt to go beyond economic terms, we show that the EU countries also catch-up in terms of health, while in terms of disparities there are still significant inconsistencies among the EU regions. Consequently, if the reduction of dispersion is the ultimate measure of convergence, as various authors have agreed (e.g. Quah, 1993), then our overall study shows a lack of convergence across EU regions in terms of economics and healthL’objectiu principal d’aquesta tesi és avaluar la reducció de les disparitats econòmiques i en salut en la Unió Europea des de 1990-2010. A través a diferents models de panell dinàmics, mostrem que en termes merament econòmics hi ha hagut un procés d’aproximació entre els membre de l’euro zona i que la distància entre centre-perifèria s’ha reduït. No obstant, en termes de disparitats, encara existeixen diferències econòmiques significatives entre les regions de l’euro zona. Per anar més enllà de simples termes econòmics, mostrem que els països de la UE també s’han aproximat en termes de salut, mentre que en termes de disparitats, encara hi ha inconsistències significatives entre les regions de la UE. Conseqüentment, si la reducció de les disparitats és la mesura definitiva de la convergència, com diversos autors han assenyalat (ex. Quah, 1993), llavors, el nostre estudi mostra una manca de convergència econòmica i en salut entre les regions de la UE
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Yoon, Jai-Hyung. "Four essays on international real business cycle and asset pricing models." Monash University, Dept. of Accounting and Finance, 2002. http://arrow.monash.edu.au/hdl/1959.1/8520.
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Kubo, Takahiro. "Essays on wildlife management in protected areas using econometric approaches." Kyoto University, 2015. http://hdl.handle.net/2433/199355.
Повний текст джерелаАнотація:
Kyoto University (京都大学)0048
新制・課程博士
博士(農学)
甲第19031号
農博第2109号
新制||農||1031(附属図書館)
学位論文||H27||N4913(農学部図書室)
31982
京都大学大学院農学研究科生物資源経済学専攻
(主査)教授 栗山 浩一, 教授 福井 清一, 准教授 秋津 元輝
学位規則第4条第1項該当
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Inês, Mónica Sofia Inácio Duarte. "Econometric analysis of private medicines expenditure in Portugal." Master's thesis, Instituto Superior de Economia e Gestão, 2007. http://hdl.handle.net/10400.5/653.
Повний текст джерелаАнотація:
Mestrado em Econometria Aplicada e PrevisãoThe Portuguese National Health System states that access to health care should depend mainly on need. Conditional on need, access to pharmaceuticals should not depend on socio-economic factors such as income, social class, education or geographical factors such as the access to pharmacies. This study uses data from the last two waves of National Health Survey (1995/1996 and 1998/1999) and focuses on equity issues testing for the existence of insurance inequalities, income-related and pharmacies density related inequalities. A two-part model was adopted. To model the probability of occurrence of medicines private expenditure, a modified LOGIT model was specified accounting for the double nature of the zeros of the dependent variable and asymmetry. In the second part a Poisson pseudo maximum likelihood estimator was adopted. No misspecification was detected in the two-part model. The main results showed inequity in Portuguese private medicines expenditures with respect to supplementary health insurance (private and job related), income and pharmacies density.
O Serviço Nacional de Saúde Português estabelece que o acesso a cuidados de saúde deve depender essencialmente das necessidades clínicas. Condicionado nas necessidades individuais, o acesso e utilização de medicamentos não deveria depender de factores económicos como rendimento, classe social, nível de educação ou o acesso a farmácias ou postos de vendas de medicamentos. Utilizando dados das últimas duas realizações do Inquérito Nacional de Saúde (1995/96 e 1998/1999), este estudo testa a existência de inequidades nas despesas com medicamentos, condicionadas na necessidade, relacionadas com o rendimento, com a densidade de farmácias e com possuir seguro de saúde privado ou relacionado com o local de trabalho. Foi aplicado um modelo em duas partes. Para a probabilidade individual de efectuar despesas com medicamentos, foi adoptado um estimador LOGIT modificado para acomodar a dupla natureza dos zeros da variável dependente e que permitisse assimetria. Para modelar as despesas positivas com medicamentos foram utilizadas as propriedades da pseudo verosimilhança através da utilização de um modelo de Poisson. Não se detectou má especificação do modelo em duas partes e concluiu-se que existem inequidades na despesa privada com medicamentos relacionadas com a existência de seguro de saúde privado ou relacionado com o local de trabalho, o rendimento e a densidade de farmácias.
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Ribera, Landivar Luis Alejandro. "Econometric model of the U.S. sheep and mohair industries for policy analysis." Texas A&M University, 2003. http://hdl.handle.net/1969.1/2277.
Повний текст джерелаАнотація:
The U.S. sheep industry has been declining in size for many years. Many factors have contributed to the decline of the sheep industry including declining consumption of lamb and mutton, the growth in manmade fiber use, scarcity of labor, and predator losses.
In an effort to slow the rate of decline in the U.S. sheep industry, the U.S. Congress passed the Wool Act of 1954. In 1993, Congress passed a three-year phase out of the Wool Act incentive payments with the last payments occurring in 1996. The 2002 Farm Bill included a marketing loan program for wool. The loan rates are set to $0.40 per pound for un-graded wool, $1.00 per pound for graded wool. In recent years exchange rate changes have had a large impact on the industry affecting lamb and wool trade.
The U.S. is the second largest producer of mohair and Texas accounts for over 85 percent of the U.S. mohair production. Mohair also received incentive payments through the Wool Act. Mohair payments were also phased out along with the wool incentive payments. Moreover, the 2002 Farm Bill reinstated support for the industry by implementing a loan program with loan rates of $4.20 per pound of mohair.
This analysis uses capital stock inventory accounting methodology to model the supply side of the sheep industry. Demand is incorporated using traditional single equations and complete demand system estimation methods. OLS, 2SLS, and 3SLS models are developed and tested for the single equations estimation methods. The OLS model is used to model the impacts of three different levels of loan rates for wool. Also, an OLS mohair model is developed and used to examine the impacts of three different levels of loan rates for mohair. Results indicate that the sheep industry will continue to decline even with the marketing loan program for wool in the 2002 Farm Bill. However, a higher loan rate for wool would reduce the decline rate of the industry. The Angora goat industry will continue to decline in size, but with a higher loan rate for mohair, the number of goats clipped would increase.
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Wan, Alan Tze-Kin. "Inequality restricted and pre-test estimation in a mis-specified econometric model." Thesis, University of Canterbury. Econometrics, 1993. http://hdl.handle.net/10092/4506.
Повний текст джерелаАнотація:
This thesis is concerned with the finite sample properties of some estimators of the unknown parameters in a linear model which is (possibly) mis-specified through the exclusion of relevant regressors. We assume that in addition to sample information, prior information regarding the unknown parameters is available in the form of a linear inequality constraint imposed on the regression coefficients. The combination of this type of prior information and sample information in specifying the corresponding statistical model leads to what has been identified in the literature as the inequality restricted estimator. If the statistical significance of the inequality constraint is tested prior to the estimation process, then the estimator thereby generated is called the inequality pre-test estimator.
The properties of these estimators of the coefficient vector in a properly specified model have been examined rather thoroughly in the literature. In this thesis, we extend the results reported in the literature to the case where the underlying regression model is underfitted. We also investigate the sampling performance of the corresponding estimators for the model's disturbance variance, as well as the choice of an optimal size for the pre-test. The general background and motivation for this study are given in Chapter 1.
Much of the earlier research on inequality restricted and pre-test estimation are built on results from studies that assume that the prior information is in the form of linear equality restrictions. We survey the relevant literature in this area in Chapter 2. Chapter 3 reviews the literature on inequality restricted and pre-test estimation. We focus on this problem in the context of the standard linear model with a single linear inequality constraint on the coefficient vector, as this is directly related to the theme of this thesis.
In Chapter 4, we derive and evaluate the risk, under quadratic loss, of the inequality restricted and pre-test estimators for the regression prediction vector in an underfitted model. This analysis takes the established literature further by allowing for mis-specification in the regressor matrix. We consider the risk of the prediction vector, rather than the coefficient vector itself, so that our results are data independent. The risk functions of the corresponding estimators for the regression disturbance variance in the properly specified and underfitted models are derived in Chapters 6 and 7 respectively.
As in the case where the prior information exists as linear equality restrictions, our results show that when the model is underfitted, the use of valid prior information does not necessarily guarantee a reduction in risk. This result holds for the estimation of both the prediction vector and the scale parameter. When one is estimating the regression disturbance variance, with an appropriate choice of test size, the inequality pre-test estimator can uniformly dominate the estimator that uses sample information only. We also find that the risk functions of the estimators of the error variance are affected more by mis-specification than are the corresponding predictive risks.
In the case where no strictly dominating estimator exists, the question of the choice of an optimal critical value of the pre-test remains. Chapters 5 and 8 explore this issue when one is estimating the prediction vector and scale parameter respectively. We find that most of our results concur qualitatively with those reported in the literature when the prior information exists as exact equality restrictions.
Chapter 9 contains some concluding remarks and a summary of the major results obtained in earlier chapters. We also outline some possible future research topics in this general area.
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Kaiksow, Wedad A. "Labour supply problems and solutions : econometric model for the State of Bahrain." Thesis, City University London, 1999. http://openaccess.city.ac.uk/7715/.
Повний текст джерелаАнотація:
Despite the intentions of the State of Bahrain to implement significant economic and social changes, and their full, or partial, sponsorship of intensive training programmes, neither have the human resources available been exploited to their full potential, nor have the vocational training programmes managed to equip unemployed workers with the skills needed to compete effectively in the labour market. Indeed, the picture is hardly encouraging for future generations, and cries out for fundamental changes. Bahrain has poured investments into projects aimed at reaping the benefits of its relative advantages, into exploring and transforming its oil and gas resources, into developing value added products, and human resources. But changes since have created a whole new world, with no market to speak of but a global one. Any decisions on investment should now be guided by the notion that geographical location is no longer a real issue, and that competition is won more by conceptual than by material advantage. A worker's personal opinion of his job has as much impact on competition as the extent and quality of his training. An entirely new system is therefore needed, one that provides social incentives and traditional rewards for the creation of new concepts, ideas and perspectives. The aim of this thesis, is firstly, to investigate labour supply in Bahrain in a dynamic setting in the light of the neoclassical theory which is based mainly on that labour supply is largely a function of real wage. Secondly, to diagnose the problems and finally to suggest solutions. An econometric model of labour supply for different groups: Bahrainis and non-Bahrainis, primary and secondary workers is introduced. Use is made of cross-section time series data. The econometric contribution of this thesis is the testing of relative wage theory besides the estimation and the identification of labour supply elasticities that can serve as the basis for policy decisions. Unemployment as the most serious economic problem facing Governments is considered in this thesis. Unemployment model is presented and analysed as a function of specific factors that may cause structural unemployment in the economy of Bahrain. Use is made of secondary data. Then unemployment policies are discussed and finally the conclusion of this thesis with prospects is presented.
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Berner, J. Kevin (John Kevin). "An econometric analysis of an institutional forecasting model for U.S. Army enlistments." Thesis, Massachusetts Institute of Technology, 1986. http://hdl.handle.net/1721.1/14890.
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Ricciardelli, Thomas Edward. "An econometric model of the demand in the chlorine and alkali industries." Thesis, Massachusetts Institute of Technology, 1991. http://hdl.handle.net/1721.1/13377.
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Bakhshaie, Amir. "Testing an Actor Network Theory Model of Innovation Adoption with econometric methods." Thesis, Virginia Tech, 2008. http://hdl.handle.net/10919/32446.
Повний текст джерелаАнотація:
In this Thesis I will examine technology adoption by analyzing how different organizations come to interpret a technology as a specific kind of innovation based on a certain set of criteria. The kind of innovation an organization interprets a technology to be effects how quickly the organization will adopt that technology. To analyze how organizations come to interpret technologies as a specific kind of innovation I will construct a model. I will utilize the Actor-Network Theory from Science and Technology Studies as the framework to combined theories regarding technology adoption from other disciplines. This new model of technology adoption will be able to address the individual weakness of each theory that I use, and at the same time build on the strengths of the Actor-Network Theory. I will conclude my thesis by testing my new model using an event study from econometrics. Using the surrogate measure of the stock market to represent consumers, the event study will allow me to gauge if the kind of innovation a technology is interpreted as affects the rate of its adoption.Master of Science