نتایج جستجو برای: روش ardlطبقه بندی jel c32
تعداد نتایج: 418325 فیلتر نتایج به سال:
در تحقیق حاضر عوامل موثر بر انتقال قیمت گوشت مرغ با استفاده از روش خود توضیح برداری مارکوف-سویچینگ و دادههای هفتگی در سالهای 1391-1387 مورد بررسی قرار گرفت. نتایج نشان داد که مدل انتقال قیمت رفتاری غیر خطی داشته و قیمت نهادههای جوجه یک روزه، سویا و ذرت بر روی قیمت گوشت مرغ تأثیر گذارند. همچنین مشخص شد که انتقال قیمت نامتقارن بوده و افزایش قیمت نهادههای تولیدی گوشت مرغ نسبت به کاهش قیمت نهاد...
This paper suggests a bootstrap testing procedure for determining the rank of cointegrated systems. The properties of the new testing procedure are investigated using Monte Carlo techniques. The performance of the test compares favourably to that of the widely used procedures for determining cointegration rank proposed by Johansen (1988). JEL classi cation: C12; C15; C32.
This paper specifies two VAR models for testing efficiency and expectations in foreign exchange markets. The sufficient conditions for efficiency and rational expectations, by imposing restrictions on the VAR parameters, are derived. Based on these models, issues on testing efficiency and rationality are discussed with reference to previous empirical studies in the area. 2002 Elsevier Science...
نرخ بازدهی بدون ریسک نقش مهمی را در تئوریهای اقتصاد مالی و همچنین بازارهای مالی ایفا می کند. به دلیل حرمت ربا در کشورهای اسلامی، ابزاری با بازدهی بدون ریسک به عنوان معیاری برای سنجش نرخ بازدهی بدون ریسک در دست نمیباشد. در پژوهش حاضر برای تخمین این متغیر در بازارهای مالی ایران از روش فیلتر کالمن استفاده می شود. این روش بر اساس یک فضای حالت پایهگذاری می شود که از مدل قیمتگذاری دارایی های ...
This note provides a proof of Granger's (1986) error correction model for fractionally cointegrated variables and points out a necessary assumption that has not been noted before. Moreover, a simpler, alternative error correction model is proposed which can be employed to estimate fractionally cointegrated systems in three steps. JEL Classification Code: C32
Recent work in the macroeconometric literature considers the problem of summarising efficiently a large set of variables and using this summary for a variety of purposes including forecasting. This paper applies a new factor extraction method to the extraction of core inflation and forecasting of UK inflation in the recent past. JEL Codes:C13, C32
It is well-know that estimation by reduced rank regression is given by the solution to a generalized eigenvalue problem. This paper presents a new proof to establish this result and provides additional insight into the structure of the estimation problem. The proof is a direct algebraic proof that some might find more intuitive than existing proofs. JEL Classification: C3, C32
This paper is aimed at analyzing the interrelation between Foreign Direct Investment (FDI) and Energy Consumption (EC) in Mexico during period 1970-2014. To do that, we carry out a cointegration test Granger causality analysis. The empirical results from show stable link growth rates of FDI EC long run. While Granger’s that short run there unidirectional rate toward EC, while medium bidirection...
We build a new empirical model to estimate the global impact of an increase in volatility US monetary policy shocks. Specifically, we admit time-varying variances local structural shocks from stochastic specification. By allowing for rich dynamic interaction between endogenous variables and setting, find that interest rate uncertainty not only drives output inflation volatility, but also causes...
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