Search Results - subject:"conditional expectations"

The consumption Euler equation or the Keynesian consumption function?

Boug, Pål; Cappelen, Ådne; Jansen, Eilev S.; Swensen, … - 2019

considering conditional expectations of future consumption and income in CVAR models. Only habit formation seems important in …

Persistent link: https://www.econbiz.de/10012145546

Stock market and macroeconomic variables: New evidence from India

Gopinathan, R.; Durai, S. Raja Sethu - In: Financial Innovation 5 (2019) 1, pp. 1-17

transformation that extracts the actual functional relationship between these variables using the alternating conditional … expectations algorithm of (J Am Stat Assoc 80:580-598, 1985) identifies strong evidence of cointegration and indicates nonlinearity …

Persistent link: https://www.econbiz.de/10012602823

The consumption Euler equation or the Keynesian consumption function?

Boug, Pål; Cappelen, Ådne; Jansen, Eilev S.; Swensen, … - 2019

considering conditional expectations of future consumption and income in CVAR models. Only habit formation seems important in …

Persistent link: https://www.econbiz.de/10012005478

Stock market and macroeconomic variables : new evidence from India

Gopinathan, R.; Durai S., Raja Sethu - In: Financial innovation : FIN 5 (2019) 29, pp. 1-17

transformation that extracts the actual functional relationship between these variables using the alternating conditional … expectations algorithm of (J Am Stat Assoc 80:580–598, 1985) identifies strong evidence of cointegration and indicates nonlinearity …

Persistent link: https://www.econbiz.de/10012267017

Unpredictability in Economic Analysis, Econometric Modeling and Forecasting

Hendry, David; Mizon, Grayham E. - Department of Economics, Oxford University - 2013

forecasting, economic analyses of efficient markets, conditional expectations, and inter-temporal derivations are described. The …

Persistent link: https://www.econbiz.de/10011004432

Unpredictability in Economic Analysis, Econometric Modeling and Forecasting

Hendry, David F.; Mizon, Grayham E. - Economics Group, Nuffield College, University of Oxford - 2013

forecasting, economic analyses of efficient markets, conditional expectations, and inter-temporal derivations are described. The …

Persistent link: https://www.econbiz.de/10010618386

Practical Aspects of Credibility Theory Aiming the Hierarchical Model with Two-Levels

ATANASIU, Virginia; VLADU, Daniela Mihaela - In: Romanian Statistical Review Supplement 60 (2012) 2, pp. 29-43

complicated mathematics, involving conditional expectations, shouldn’t bother the user more than it does when he applies …

Persistent link: https://www.econbiz.de/10010859953

On the Mathematical Basis of Inter-temporal Optimization

Hendry, David; Mizon, Grayham E. - Department of Economics, Oxford University - 2010

. It cannot be proved that conditional expectations based on the current distribution are minimum mean-square error 1-step …

Persistent link: https://www.econbiz.de/10008489379

Atomic Intersection of s-Fields and Some of Its Consequences

Berti, Patrizia; Pratelli, Luca; Rigo, Pietro - 2009

,..,k are given as well. These conditions are useful in various fields, including Gibbs sampling, iterated conditional … expectations and the intersection property. …

Persistent link: https://www.econbiz.de/10010335325

Principal Components and Long Run Implications of Multivariate Diffusions

Chen, Xiaohong; Hansen, Lars Peter; Scheinkman, Jose - Cowles Foundation for Research in Economics, Yale University - 2009

We investigate a method for extracting nonlinear principal components. These principal components maximize variation subject to smoothness and orthogonality constraints; but we allow for a general class of constraints and multivariate densities, including densities without compact support and...

Persistent link: https://www.econbiz.de/10004990990