Mostrando recursos 1 - 20 de 1.722
Richard J. Boucherie; Nico M
Spatial birth-death processes with multiple changes and applications to batch service networks and clustering processes
Christian Ghiglino; François Duc; Université De Genève; Christian Ghiglino
Cahiers du département d’économétrie Faculté des sciences économiques et sociales
Faculteit der Economische Wetenschappen en Econometrie ^1° 'ET Serie Research Memoranda Spatial Developments in The United States of Europe: Glorious Victories or Great Defeats
P. N Ij Kamp
The old world has, in recent years, shown surprising signs of economie and political revitalisation. After several decades of desperate struggling for economie and political unification among the countries of the European Community, suddenly and without too thorough reflection the tide has changed. The magical year 1992 has been accepted throughout Europe as a decisive historical landmark in the evolution of Europe toward international competitiveness, economie and technological leadership at a global level, and internal cohesiveness and cooperation. The choice of the year 1992, made a few years back and meant to be a transition to a new future for...
?/ ~ f O Faculteit der Economische Wetenschappen en Econometrie ET Serie Research Memoranda An exact Solution for a Finite Solution Server Model
Nico M. Van Dijk; Nico M. Van Dijkf
vrije Universiteit amsterdam
Gerard Van Der Laan; Pieter H. M. Ruys; Dolf J. J. Talman; Pieter H. M. Ruys
Sigoaling devices for the supply of semi-public goods J by Gerard van der Laan*)
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael
The paper develops a novel realized matrix-exponential stochastic volatility model of multivariate returns and realized covariances that incorporates asymmetry and long memory (hereafter the RMESV-ALM model). The matrix exponential transformation guarantees the positivedefiniteness of the dynamic covariance matrix. The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of highly non-linear model specifications (“Causality tests and observationally equivalent representations of econometric models”, Journal of Econometrics, 1988, 39(1-2), 69–104), especially for developing tests for leverage and spillover effects in the covariance dynamics. Efficient importance sampling is used to maximize the likelihood function of RMESV-ALM,...
Asai, Manabu; McAleer, Michael
The paper considers various extended asymmetric multivariate conditional volatility models, and derives appropriate regularity conditions and associated asymptotic theory. This enables checking of internal consistency and allows valid statistical inferences to be drawn based on empirical estimation. For this purpose, we use an underlying vector random coefficient autoregressive process, for which we show the equivalent representation for the asymmetric multivariate conditional volatility model, to derive asymptotic theory for the quasi-maximum likelihood estimator. As an extension, we develop a new multivariate asymmetric long memory volatility model, and discuss the associated asymptotic properties.
H. Visser; Faculteit Der; Economische Wetenschappen
Onderzoekgroep Financiële instellingen en markten THE MONETARY ORDER 1. Proposals for a free monev supplv 1.2. Introduction; the existing monetary order Monetarists, though staunch supporters of laissez-faire and competition, have never questioned the government monopoly of the supply of base money and have always stressed the need for the monetary authorities to regulate the total money supply. Where they differ from economists of a more interventionist bent is in
Faculteit der Economische Wetenschappen en Econometrie ET Serie Research Memoranda 05348 Regjonai Economie Growth and regional Policy: A European Perspective
Regional Economie Growth and Regional Policv: A European Perspective. Regional Policy in most European countries is demonstrating an interesting life cycle, which is connected with both the structural changes in the European economies in the eighties and the profound shifts in views on the scope and range of policy intervention. Traditional forms of regional policy intervention have not proven very successful. Rather than a reduction in intensity of regional policy, most countries have shown a reorientation of regional policy. This reorientation found its roots in modern (mainly neo-Schumpeterian) views on economie growth, with a strong emphasis on both competitive behaviour...
Tom Kuhiman; Tom Kuhlman; Tom Kuhlman; Vakgroep Ontwikkelings- En; Agrarische Economie; Tom Kuhlman
schappen en Econometrie
De La; Facultat De Ciències; Tomas Del Barrio Castro; Dpto Econometría
Financial assistance from the Agència de Gestió d’Ajusts Universitaris i de Recerca (Generalitat de
Jaap Arntzen; Gunilla Bornmalm-jardelöw; Peter Nij Kamp
ABSTRACT ' The paper is devoted to a study. of regional labour market structures. Attention is paid among others to spatial and occupational mobility in a j multiregional system. The dual labour market theory is critically reviewêd,. followed by a discussion of a more general segmentation theory and a labour market adjustment model.. In the paper an attempt is made to assess the degree of segmentation on a regional labour market (both the demand and supply side) hy means of a state profile of>relevant indicators. Due to the lack of reliable metric informa-tion, a multidimensional scaling technique is üsed to...
Vakgroep Econometrie; Multivariable All-pass Systems; Bernard Hanzon; Multivariable All-pass Systems; Bernard Hanzon
Taking the work of Ober on balanced canonical forms as a starting point, a new balanced canonical form is constructed for stable multivariable all-pass systems of fixed finite McMil-lan degree. The model reduction properties of this balanced canonical form are closely related to partial realization. The canonical form is extended to an atlas of overlapping
Elvezio Ronchetti; Université De Genève
Cahiers du département d’économétrie
In an attempt to clarify their own work economists frequently refer to supposed predecessors. These references often facilitate interpretation, thereby placing the referring economist in a research tradition. However, the interpretation will only be helpful if it is 'correct'. Recently economists have debated the issue whether the New Classical Macroeconomics and the
Some Econometrie Applications of the Exact Distribution of the Ratio of Two Quadratic Forms in Normal Variates.
F. C. Palm; J. M. Sneek; F. C. Palm; J. M. Sneek
A b s t r a c t Ratios of quadratic forms in normal variates arise in many econometrie and statistical applications. Their exact distribution can be computed using e.g. a procedure due to Imhof (1961). In this paper two examples arising in dynamic models will be considered. First, the distribution of a test of linear restrictions on the coeffi-cients of a regression model with autocorrelated errors will be analyzed. Second, the distribution of the sample autocorrelations of a series generated by an autoregressive- integrated- moving average model will be investigated. In both cases, the exact distribution will be compared...
Precio del dólar estadounidense en el mundo Procesos de Itô económicamente ponderados en un análisis espacial
Venegas Martínez, Francisco; Agudelo Torres, Gabriel Alberto; Franco Arbeláez, Luis C.; Franco Ceballos, Luis Eduardo
En esta investigación se modela la dinámica estocástica del precio del dólar estadounidense sujeto a las diferentes fuerzas que afectan su precio relativo con otras monedas en diferentes mercados regionales a través de los procesos de Itô económicamente ponderados combinados y la econometría espacial. La muestra de países que se utiliza para modelar el precio relativo del dólar con respecto de monedas locales son: Australia, Canadá, República Checa, Dinamarca, China (Hong Kong), Hungría, Japón, México, Nueva Zelanda, Noruega, Polonia, Rusia, Singapur, Sudáfrica, Suecia, Suiza, Turquía, Reino Unido y los países pertenecientes a la Zona Euro considerados como un todo. Para...
Matthew J. Cushing; Mary G. Mcgarvey; J. Cushing; Mary; G. Mcgarvey
Standard economic theory predicts that the actions of individual participants in com-petitive markets have negligible effects on market-determined aggregates. Applied re-searchers, ' and even some econometric text-b o o k ~ , ~ incorrectly infer from this that market prices can be modeled as econometri-cally exogenous with respect to the quan-tity demanded of an individual con~umer.~ This faulty inference has even led some re-searchers (for example, Robert Engle, 1978; Nicholas Kiefer, 1984; Roger Waud, 1974) to employ an estimation strategy we call identification by disaggregation (IBD). This procedure attempts to circumvent the si-multaneity problem in a macro regression by disaggregating...
James J. Heckman
The major contributions of twentieth century econometrics to knowledge were the definition of causal parameters within well-defined economic models in which agents are constrained by resources and markets and causes are interrelated, the analysis of what is required to recover causal parameters from data (the identification problem), and clarification of the role of causal parameters in policy evaluation and in forecasting the effects of policies never previously experienced. This paper summarizes the development of these ideas by the Cowles Commission, the response to their work by structural econometricians and VAR econometri-cians, and the response to structural and VAR econometrics by...
Peter C. B. Phillips; Donggyu Sul
Some extensions of neoclassical growth models are discussed that allow for cross section heterogeneity among economies and evolution in rates of technological progress over time. The models o¤er a spectrum of transitional behavior among economies that includes con-vergence to a common steady state path as well as various forms of transitional divergence and convergence. Mechanisms for modeling such transitions, measuring them econometri-cally, assessing group behavior and selecting subgroups are developed in the paper. Some econometric issues with the commonly used augmented Solow regressions are pointed out, including problems of endogeneity and omitted variable bias which arise under conditions of transitional...