Search Results - subject:"Linear Models"

Oil price shocks and real GDP growth: empirical evidence for some OECD countries

Jiménez-Rodríguez, Rebeca; Sánchez, Marcelo - European Central Bank - 2004

This paper assesses empirically the effects of oil price shocks on the real economic activity of the main industrialised countries. Multivariate VAR analysis is carried out using both linear and nonlinear models. The latter category includes three approaches employed in the literature, namely,...

Persistent link: https://www.econbiz.de/10005025570

Confidence intervals for the variance component of random-effects linear models

Bottai, Matteo; Orsini, Nicola - In: Stata Journal 4 (2004) 4, pp. 429-435

We present the postestimation command xtvc to provide confidence intervals for the variance components of random-effects linear regression models. This command must be used after xtreg with option mle. Confidence intervals are based on the inversion of a score-based test (Bottai 2003). Copyright...

Persistent link: https://www.econbiz.de/10005583267

Review of Statistical Evaluation of Measurement Errors by Dunn

Cox, Nicholas J. - In: Stata Journal 4 (2004) 4, pp. 480-483

The new edition of the book by Dunn (2004) is reviewed.

Persistent link: https://www.econbiz.de/10005583361

Once Again, is Openness Good for Growth?

International Monetary Fund (IMF); International … - 2004

Rodriguez and Rodrik (2000) argue that the relation between openness and growth is still an open question. One of the main problems in the assessment of the effect is the endogeneity of the relation. In order to address this issue, this paper applies the identification through heteroskedasticity...

Persistent link: https://www.econbiz.de/10005768790

Technology Shocks and Aggregate Fluctuations; How Well Does the RBC Model Fit Postwar U.S. Data?

Galí, Jordi; Rabanal, Pau - International Monetary Fund (IMF) - 2004

Our answer: Not so well. We reached that conclusion after reviewing recent research on the role of technology as a source of economic fluctuations. The bulk of the evidence suggests a limited role for aggregate technology shocks, pointing instead to demand factors as the main force behind the...

Persistent link: https://www.econbiz.de/10005605356

Credit Rationing in Emerging Economies' Access to Global Capital Markets

Zoli, Edda - International Monetary Fund (IMF) - 2004

This paper tests empirically the theoretical prediction that the country premium paid by emerging economies on sovereign debt increases with the amount of debt up to a certain critical level, above which the supply of foreign funds becomes fixed. The results confirm this theoretical prediction....

Persistent link: https://www.econbiz.de/10005825963

An Option-Based Approach to Bank Vulnerabilities in Emerging Markets

Jobert, Arnaud; Kong, Janet; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2004

We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral indicator based on Merton's (1974) structural model of credit risk. The indicator is estimated using equity prices and balance-sheet data for 38 banks in 14 emerging market countries. Results show it...

Persistent link: https://www.econbiz.de/10005826670

Forecasting Industry-Level CPI and PPI Inflation: Does Exchange Rate Pass-Through Matter?

Thomakos, Dimitrios D.; Bhattacharya, Prasad S. - Econometric Society - 2004

In this paper, we examine whether industry-level forecasts of CPI and PPI inflation can be improved using the ``exchange rate pass-through" effect, that is, when one accounts for the variability of the exchange rate and import prices. An exchange rate depreciation leading to a higher level of...

Persistent link: https://www.econbiz.de/10005702549

Some Methods for Assessing the Need for Non-linear Models in Business Cycle Analysis and Forecasting

Pagan, A.; Engel, J.; Haugh, D. - Econometric Society - 2004

There is a long tradition in business cycle analysis of arguing that non-linear models are needed to explain the … business cycle. In recent years many non-linear models have been fitted to data on GDP for many countries, but particularly for … the U.S. In this paper we set our criteria to evaluate the success of non-linear models in explaining the cycle and then …

Persistent link: https://www.econbiz.de/10005170368

Speaking Stata: Graphing model diagnostics

Cox, Nicholas J. - In: Stata Journal 4 (2004) 4, pp. 449-475

continuous responses, treated in a broad sense to include (for example) generalized linear models. After some comments on the …

Persistent link: https://www.econbiz.de/10005568858