Showing 1 - 10 of 707
The finite state Markov-Chain approximation method developed by Tauchen (1986) and Tauchen and Hussey (1991) is widely used in economics, finance and econometrics in solving for functional equations where state variables follow an autoregressive process. For highly persistent processes, the...
Persistent link: https://www.econbiz.de/10008516581
Borrowing from our experience in agent-based computational economic research from `bottom-up', this paper considers economic system as multi-level dynamical system that micro-level agents' interaction leads to structural transition in meso-level, which results in macro-level market dynamics with...
Persistent link: https://www.econbiz.de/10011167236
This paper proposes a new method for approximating vector autoregressions by a finite-state Markov chain. The method is more robust to the number of discrete values and tends to outperform the existing methods over a wide range of the parameter space, especially for highly persistent vector...
Persistent link: https://www.econbiz.de/10009323644
This paper re-examines the Rouwenhorst method of approximating first-order autoregressive processes. This method is appealing because it can match the conditional and unconditional mean, the conditional and unconditional variance and the first-order autocorrelation of any AR(1) process. This...
Persistent link: https://www.econbiz.de/10005014732
This paper re-examines the Rouwenhorst method of approximating first-order autoregressive processes. This method is appealing because it can match the conditional and unconditional mean, the conditional and unconditional variance and the first-order autocorrelation of any AR(1) process. This...
Persistent link: https://www.econbiz.de/10005027143
The estimation of regressions models with two-way error component disurbances, is considered for the case where both the random effects are non-spherically distributed. The usual approach that first transforms the effects into uncorrelated ones and then applies within and between...
Persistent link: https://www.econbiz.de/10005835822
Since times of Yule (1926), it is known that correlation between two time series can produce spurious results. Granger and Newbold (1974) see the roots of spurious correlation in non-stationarity of the time series. However the study of Granger, Hyung and Jeon (2001) prove that spurious...
Persistent link: https://www.econbiz.de/10011107693
This paper demonstrates the impact of particular factors – such as a non-normal error distribution, constraints of the residuals, sample size, the multi-collinear values of independent variables and the autocorrelation coefficient – on the distributions of errors and residuals. This explains...
Persistent link: https://www.econbiz.de/10011109658
In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...
Persistent link: https://www.econbiz.de/10011110289
In this paper I develop a method to estimate the effect of an event on a time series variable. The event is framed in a quasi-experimental setting with time series observations on a treatment variable, which is affected by the event, and a control variable, which is not. Prior to the event, the...
Persistent link: https://www.econbiz.de/10011110522