Mostrando recursos 101 - 120 de 320

  1. Generalized State-Dependent Models: A Multivariate Approach

    Heravi, Saeed; Easaw, Joshy; Golinelli, Roberto
    The main purpose of this paper is to develop generalized ‘State Dependent Models’ (SDM) in a multivariate framework for empirical analysis. This significantly extends the existing SDM which only allow univariate analysis following a simple AR process. The extended model enables greater possibility for empirical analysis of economic relationships. The principle advantage of SDM is that it allows for a general form of non-linearity and can be fitted without any specific prior assumption about the form of non-linearity. We describe the general structure of the SDM and the problem of its identification is also considered. Finally, we apply the algorithm...

  2. Generalized State-Dependent Models: A Multivariate Approach

    Heravi, Saeed; Easaw, Joshy; Golinelli, Roberto
    The main purpose of this paper is to develop generalized ‘State Dependent Models’ (SDM) in a multivariate framework for empirical analysis. This significantly extends the existing SDM which only allow univariate analysis following a simple AR process. The extended model enables greater possibility for empirical analysis of economic relationships. The principle advantage of SDM is that it allows for a general form of non-linearity and can be fitted without any specific prior assumption about the form of non-linearity. We describe the general structure of the SDM and the problem of its identification is also considered. Finally, we apply the algorithm...

  3. Generalized State-Dependent Models: A Multivariate Approach

    Heravi, Saeed; Easaw, Joshy; Golinelli, Roberto
    The main purpose of this paper is to develop generalized ‘State Dependent Models’ (SDM) in a multivariate framework for empirical analysis. This significantly extends the existing SDM which only allow univariate analysis following a simple AR process. The extended model enables greater possibility for empirical analysis of economic relationships. The principle advantage of SDM is that it allows for a general form of non-linearity and can be fitted without any specific prior assumption about the form of non-linearity. We describe the general structure of the SDM and the problem of its identification is also considered. Finally, we apply the algorithm...

  4. Generalized State-Dependent Models: A Multivariate Approach

    Heravi, Saeed; Easaw, Joshy; Golinelli, Roberto
    The main purpose of this paper is to develop generalized ‘State Dependent Models’ (SDM) in a multivariate framework for empirical analysis. This significantly extends the existing SDM which only allow univariate analysis following a simple AR process. The extended model enables greater possibility for empirical analysis of economic relationships. The principle advantage of SDM is that it allows for a general form of non-linearity and can be fitted without any specific prior assumption about the form of non-linearity. We describe the general structure of the SDM and the problem of its identification is also considered. Finally, we apply the algorithm...

  5. Generalized State-Dependent Models: A Multivariate Approach

    Heravi, Saeed; Easaw, Joshy; Golinelli, Roberto
    The main purpose of this paper is to develop generalized ‘State Dependent Models’ (SDM) in a multivariate framework for empirical analysis. This significantly extends the existing SDM which only allow univariate analysis following a simple AR process. The extended model enables greater possibility for empirical analysis of economic relationships. The principle advantage of SDM is that it allows for a general form of non-linearity and can be fitted without any specific prior assumption about the form of non-linearity. We describe the general structure of the SDM and the problem of its identification is also considered. Finally, we apply the algorithm...

  6. Generalized State-Dependent Models: A Multivariate Approach

    Heravi, Saeed; Easaw, Joshy; Golinelli, Roberto
    The main purpose of this paper is to develop generalized ‘State Dependent Models’ (SDM) in a multivariate framework for empirical analysis. This significantly extends the existing SDM which only allow univariate analysis following a simple AR process. The extended model enables greater possibility for empirical analysis of economic relationships. The principle advantage of SDM is that it allows for a general form of non-linearity and can be fitted without any specific prior assumption about the form of non-linearity. We describe the general structure of the SDM and the problem of its identification is also considered. Finally, we apply the algorithm...

  7. Generalized State-Dependent Models: A Multivariate Approach

    Heravi, Saeed; Easaw, Joshy; Golinelli, Roberto
    The main purpose of this paper is to develop generalized ‘State Dependent Models’ (SDM) in a multivariate framework for empirical analysis. This significantly extends the existing SDM which only allow univariate analysis following a simple AR process. The extended model enables greater possibility for empirical analysis of economic relationships. The principle advantage of SDM is that it allows for a general form of non-linearity and can be fitted without any specific prior assumption about the form of non-linearity. We describe the general structure of the SDM and the problem of its identification is also considered. Finally, we apply the algorithm...

  8. Generalized State-Dependent Models: A Multivariate Approach

    Heravi, Saeed; Easaw, Joshy; Golinelli, Roberto
    The main purpose of this paper is to develop generalized ‘State Dependent Models’ (SDM) in a multivariate framework for empirical analysis. This significantly extends the existing SDM which only allow univariate analysis following a simple AR process. The extended model enables greater possibility for empirical analysis of economic relationships. The principle advantage of SDM is that it allows for a general form of non-linearity and can be fitted without any specific prior assumption about the form of non-linearity. We describe the general structure of the SDM and the problem of its identification is also considered. Finally, we apply the algorithm...

  9. Generalized State-Dependent Models: A Multivariate Approach

    Heravi, Saeed; Easaw, Joshy; Golinelli, Roberto
    The main purpose of this paper is to develop generalized ‘State Dependent Models’ (SDM) in a multivariate framework for empirical analysis. This significantly extends the existing SDM which only allow univariate analysis following a simple AR process. The extended model enables greater possibility for empirical analysis of economic relationships. The principle advantage of SDM is that it allows for a general form of non-linearity and can be fitted without any specific prior assumption about the form of non-linearity. We describe the general structure of the SDM and the problem of its identification is also considered. Finally, we apply the algorithm...

  10. Generalized State-Dependent Models: A Multivariate Approach

    Heravi, Saeed; Easaw, Joshy; Golinelli, Roberto
    The main purpose of this paper is to develop generalized ‘State Dependent Models’ (SDM) in a multivariate framework for empirical analysis. This significantly extends the existing SDM which only allow univariate analysis following a simple AR process. The extended model enables greater possibility for empirical analysis of economic relationships. The principle advantage of SDM is that it allows for a general form of non-linearity and can be fitted without any specific prior assumption about the form of non-linearity. We describe the general structure of the SDM and the problem of its identification is also considered. Finally, we apply the algorithm...

  11. Price-Wage Dynamics is A Transition Economy: The Case of Poland

    Golinelli, Roberto; Orsi, Renzo
    In this paper we analyse the wage price relationship of an economy in transition characterized by important structural changes. It is known (see Perron 1989) that structural breaks in stationary time series can induce apparent unit roots. The stationarity analysis of the series employed in the present model is conducted jointly with the assumption that the breakpoint location is unknown. We follow a testing procedure recently proposed by Zivot and Andrews (1992). Cointegration analysis of wages and prices in presence of structural breaks permits to find empirical evidence in favour of two cointegration vectors involving prices and wages. Our analyses...

  12. Multivariate Estimation of Exponential Affine Models of the Term Structure of Interest Rates

    Pastorello, Sergio
    In this paper I consider the estimation of multi-factor exponential affine models of the term structure of interest rates. I start with a survey of the empirical work on the term structure in continuous time, showing that in most cases the implementation of the models has not fully exploited the theoretical restrictions. I also show that these works have almost always focused on “generalizations” of the theoretical model based on the inclusion of measurement errors in bills and bonds prices. I then suggest two approaches to statistical inference: the first is based on the Kalman filter, while the second follows...

  13. Fatti stilizzati e metodi econometrici "Moderni": una rivalutazione della Curva di Phillips per l'Italia (1951-1996)

    Golinelli, Roberto
    A quarant’anni dalla sua introduzione, la curva di Phillips riveste ancora un ruolo importante negli studi applicati, nonostante le critiche cui è stata sottoposta dalla successiva letteratura. In questo lavoro, utilizzando tecniche di modellazione econometrica di serie storiche non stazionarie per l’Italia dal dopoguerra ad oggi, si evidenzia la stabilità di una relazione di lungo periodo fra il tasso di variazione del salario reale e il tasso di disoccupazione; questo risultato è robusto all’uso di stimatori alternativi. Nel breve periodo si propone un modello interpretativo caratterizzato da un meccanismo non lineare di correzione dell’errore.

  14. Testing for Structural Change in Cointegrated Relationships. Analysis of price-wages models for Poland and Hungary

    Golinelli, Roberto; Orsi, Renzo
    In previous studies concerning short and long run relationships for price-wage models, the cointegration analysis has been developed assuming the existence of a unique cointegration parametrisation. These empirical results reveal the presence of significant relationships, both in the short and in the long run, among prices, wages, labour productivity and exchange rate. In this paper we intend to develop the possibility of a more general type of cointegration, allowing for a change at an unknown time period in the sample. At this end we will consider mainly the long run relationship among these variables using the testing procedure suggested by...

  15. Joint Decisions on Household Membership and Human Capital Accumulation of Youths: The role of expected carnings and labour market rationing.

    Monfardini, Chiara; Giannelli, Gianna Claudia
    This paper focuses on the youth’s decisions on household formation and human capital investment - in further education or work experience - and the factors influencing these choices. While previous studies limited their analyses to decisions concerning the living arrangements and the labour market, the choice set is extended here to take into account other alternatives. The decisions of either remaining in the parental household or going to live with a partner are modelled jointly with those of either entering the labour market (i.e. investing in work experience) or investing in higher (university) education. Using the Bank of Italy 1995...

  16. Modellazione Econometrica per la previsione congiunturale: un esercizio su produzione, prezzi e moneta

    Golinelli, Roberto
    Coloro che devono prendere decisioni di natura economica spesso si trovano di fronte il problema di quantificare il futuro. Scopo del presente lavoro è quello di indicare una possibile via da seguire per rispondere alle necessità di previsioni di breve periodo per produzione,prezzi e moneta. La modellazione economica delle variabili di interesse è ispirata dal filone di studi sul price gap. Le analisi grafica e univariata evidenziano che le caretteristiche principali delle serie storiche studiate sono la stagionalità e la non stazionarietà. Un opportuno trattamento della stagionalità ci ha spinto a sviluppare due modellazioni alternative: la prima basata sui dati...

  17. Unit root inference for non-stationary linear processes driven by infinite variance innovations

    Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
    The contribution of this paper is two-fold. First, we derive the asymptotic null distribution of the familiar augmented Dickey-Fuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

  18. Unit root inference for non-stationary linear processes driven by infinite variance innovations

    Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
    The contribution of this paper is two-fold. First, we derive the asymptotic null distribution of the familiar augmented Dickey-Fuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

  19. Unit root inference for non-stationary linear processes driven by infinite variance innovations

    Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
    The contribution of this paper is two-fold. First, we derive the asymptotic null distribution of the familiar augmented Dickey-Fuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

  20. Unit root inference for non-stationary linear processes driven by infinite variance innovations

    Cavaliere, Giuseppe; Georgiev, Iliyan; Taylor, Robert
    The contribution of this paper is two-fold. First, we derive the asymptotic null distribution of the familiar augmented Dickey-Fuller [ADF] statistics in the case where the shocks follow a linear process driven by in…nite variance innovations. We show that these distributions are free of serial correlation nuisance parameters but depend on the tail index of the in…nite variance process. These distributions are shown to coincide with the corresponding results for the case where the shocks follow a …nite autoregression, provided the lag length in the ADF regression satis…es the same o(T1=3) rate condition as is required in the …nite variance...

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