Search Results - subject:"Variance decomposition"

A comment on variance decomposition and nesting effects in two- and three-level designs

Konstantopoulos, Spyros - 2007

the hierarchy on the variance decomposition and the clustering effects have not been well documented. This paper discusses … how omitting one level in three-level models affects the variance decomposition and clustering in the resulting two …

Persistent link: https://www.econbiz.de/10010268429

Long Run Macroeconomic Relations in the Global Economy

Dees, S.; Holly, S.; Pesaran, M.H.; Smith, L.V. - Faculty of Economics, University of Cambridge - 2007

This paper focuses on testing long run macroeconomic relations for interest rates, equity, prices and exchange rates within a model of the global economy. It considers a number of plausible long run relationships suggested by arbitrage in financial and goods markets, and uses the global vector...

Persistent link: https://www.econbiz.de/10005489308

Wage distributions by bargaining regime: linked employer-employee data evidence from Germany

Kohn, Karsten; Lembcke, Alexander - London School of Economics (LSE) - 2007

Using linked employer-employee data from the German Structure of Earnings Survey 2001, this paper provides a comprehensive picture of the wage structure in three wage-setting regimes prevalent in the German system of industrial relations. We analyze wage distributions for various labor market...

Persistent link: https://www.econbiz.de/10010746690

Monetary Policy Objectives in Pakistan: An Empirical Investigation

Malik, Wasim Shahid - Pakistan Institute of Development Economics - 2007

the foreign exchange reserves and the government borrowing has been negative. Variance decomposition shows that most of … Results 13 5.1. Impulse Response Functions 14 5.2. Variance Decomposition 16 6. Conclusion 17 Appendices 18 … Wald Test 14 Table 4. Variance Decomposition of Interest Rate 17 Table 5. Response of Interest Rate to One Standard …

Persistent link: https://www.econbiz.de/10005097279

What Drives Corporate Bond Market Betas?

Abhyankar, Abhay; Gonzalez, Angelica - School of Economics, University of Edinburgh - 2007

We study the cross-section of expected corporate bond returns using an intertemporal CAPM with three factors; innovations in future excess bond returns, future real interest rates and future expected inflation. Our test assets are a broad range of bond market index portfolios of different...

Persistent link: https://www.econbiz.de/10005086758

Indian Economy - TFP or Factor Accumulation: A Comprehensive Growth Accounting Exercise

Gupta, Abhay - Volkswirtschaftliche Fakultät, … - 2007

accelerating in 80s (much before the reform-period of early 90s) and is estimated between 3% and 4.5% in 2000s. Variance … decomposition of growth rates show negative relation because input and output growth accelerated in different periods. Capital …

Persistent link: https://www.econbiz.de/10005621616

A Theory of Attribution

Feldman, Barry - Volkswirtschaftliche Fakultät, … - 2007

Attribution of economic joint effects is achieved with a random order model of their relative importance. Random order consistency and elementary axioms uniquely identify linear and proportional marginal attribution. These are the Shapley (1953) and proportional (Feldman (1999, 2002) and Ortmann...

Persistent link: https://www.econbiz.de/10005789768

Long Run Macroeconomic Relations in the Global Economy

Dees, Stephane; Holly, Sean; Pesaran, M. Hashem; Smith, … - CESifo - 2007

Persistent link: https://www.econbiz.de/10005181243

Monetary Policy Objectives in Pakistan : An Empirical Investigation

Malik, Wasim Shahid - East Asian Bureau of Economic Research (EABER) - 2007

the foreign exchange reserves and the government borrowing has been negative. Variance decomposition shows that most of …

Persistent link: https://www.econbiz.de/10009363961

Long Run Macroeconomic Relations in the Global Economy

Dees, S.; Holly, S.; Pesaran, M.H.; Smith, L.V. - Faculty of Economics, University of Cambridge - 2007

Persistent link: https://www.econbiz.de/10005113893