Showing 1 - 10 of 46
This paper derives six different forms of message length functions for general linear regression model. In so doing, two different prior densities and the idea of parameter orthogonality are employed.
Persistent link: https://www.econbiz.de/10005087586
In this paper we make a first attempt to explore the relationship between computer use and productivity in French manufacturing and services industries.
Persistent link: https://www.econbiz.de/10005087589
The main objective of this study is to investigate the rebustness of the popular Durbin-Watson (DW), Langrage multiplier (LM), Box-Pierce (BP) and Ljung-Box (LB) tests and their corrected versions against autoregressive distrurbances in the presence of dynamic heteroscedastic disturbances with...
Persistent link: https://www.econbiz.de/10005581120
In this paper the EM algorithm, which has been used successfully with censored and incomplete data sets, is adapted to the problem of scrambled data. The performance of the method is assayed using an artificially constructed data set. The relevance of the results for a real world labour market...
Persistent link: https://www.econbiz.de/10005149045
The state space approach to modelling univariate time series is now widely used both in theory and in applications. However, the very richness of the framework means that quite different model formulations are possible, even when they purport to describe the same phenomena. In this paper, we...
Persistent link: https://www.econbiz.de/10005427626
In this paper, we consider a partially linear panel data model with cross-sectional dependence and non-stationarity. Meanwhile, we allow fixed effects to be correlated with the regressors to capture unobservable heterogeneity. Under a general spatial error dependence structure, we then...
Persistent link: https://www.econbiz.de/10011262825
This paper examines real exchange rate responses to shocks in exchange rate determinants for fourteen Asian developing countries. The analysis is based on a panel structural vector error correction model, and the shocks are identified using sign and zero restrictions. We find that trade...
Persistent link: https://www.econbiz.de/10011262826
In this paper, we propose a panel data semiparametric varying-coefficient model in which covariates (variables affecting the coefficients) are purely categorical. This model has two features: first, fixed effects are included to allow for correlation between individual unobserved heterogeneity...
Persistent link: https://www.econbiz.de/10011268572
This paper investigates international responses of key macroeconomic variables, particularly real exchange rates, to simultaneous shocks to productivity in the traded sector in eight Asian emerging and developing countries. We use panel estimation techniques to construct component submodels in a...
Persistent link: https://www.econbiz.de/10011085534
In There is evidence that exponential smoothing methods as well as time varying parameter models perform relatively well in forecasting comparisons. The aim of this paper is to introduce a new forecasting technique by integrating the exponential smoothing model with regressors whose coefficients...
Persistent link: https://www.econbiz.de/10011188645