The critical review undertaken in this paper pinpoints some of the major deficiencies and the strength of the earlier macroeconometric models (MEMs) constructed for Iran as a major oil exporting country. In constructing a new MEM, the flaws of past MEMs should be rectified and their strengths...

We test two questions: (i) Is the Bayesian Information Criterion (BIC) more parsimonious than Akaike Information Criterion (AIC)?, and (ii) Is BIC better than AIC for forecasting purposes? By using simulated data, we provide statistical inference of both hypotheses individually and then jointly...

Provides analysis for a practical action planto implement pro-poor policies through macroeconomic initiatives. The study covers sequencing and implementation issues and provides estimates of both macro and significant microeconomic impacts. The major components of the study are (a) a general...

The U.S. during the 1984-2007 Great Moderation saw unusual macroeconomic stability combined with strong growth in asset prices and in credit relative to output. The distribution of credit shifted towards the financial and real estate sectors. The literature shows that each of these trends...

This paper considers estimating the conditional mean and variance from a single-equation dynamic model with the mean following an ARMA (1,7) process, and the conditional variance with time-dependent conditional heteroskedasticity as represented by ARCH models. The volatility is measured by a...

In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and Inflation targeting). The task of our study is to compare...

This paper proposes a new model averaging estimator for the linear regression model with heteroskedastic errors. We address the issues of how to optimally assign the weights for candidate models and how to make inference based on the averaging estimator. We derive the asymptotic mean squared...

This paper investigates sensitivity of the VaR models when return series of stocks and stock indices are not normally distributed. It also studies the effect of market capitalization of stocks and stock indices on their Value at risk and Conditional VaR estimation. Three different market...

In the realm of macroeconomic theory, is well established that investment decisions play an instrumental role in the determination of the level of output and employment; nevertheless, little progress has been made in relation to the theoretical aspects of these decisions. This paper, inspired by...