The high level of hunger incidence in the country is perhaps one of the most pressing issues that need to be addressed by our policy makers. Official government statistics and data from self-rated hunger surveys show an increasing trend in hunger incidence among Filipino households. Data from...

This note discusses a pitfall of using the generalized impulse response function (GIRF) in vector autoregressive (VAR) models (Pesaran and Shin, 1998). The GIRF is general because it is invariant to the ordering of the variables in the VAR. The GIRF, in fact, is extreme because it yields a set...

The present study examines empirically the inflation dynamics of the euro area. The focus of the analysis is on the role of expectations in the inflation process. In six articles we relax rationality assumption and proxy expectations directly using OECD forecasts or Consensus Economics survey...

This paper is concerned with the study of Bayesian inference procedures to commonly used time series models. In particular, the dynamic or state-space models, the time-varying vector autoregressive model and the structural vector autoregressive model are considered in detail. Inference...

This paper examines how some factors affect the greenhouse effect of fifteen countries in European Union with fixed and random effects, while we also investigate the case of the Arch effects presentation. Finally we estimate a neural network model to examine how all the factors affect the...

A recent literature has shown that REIT returns contain strong evidence of bull and bear dynamic regimes that may be best captured using nonlinear econometric models of the Markov switching type. In fact, REIT returns would display regime shifts that are more abrupt and persistent than in the...

In this paper we consider maximum likelihood estimation in some exact and inexact linear rational expectation (LRE) models. The implications of the two models on the coefficients of the vector autoregressive (VAR) model are spelled out. The inexact version is more complicated and possible...