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Model selection in the presence of nonstationarity

Kim, Jae-Young - In: Journal of Econometrics 169 (2012) 2, pp. 247-257

This paper studies model selection methods in the presence of nonstationarity. We focus on the Bayesian model selection … criteria in the presence of nonstationarity. In particular, we study the Bayesian model selection rule in detail and derive … three alternative forms of it in the presence of nonstationarity. One important feature of the Bayesian model selection …

Persistent link: https://www.econbiz.de/10011052288

Demand Systems With Nonstationary Prices

Lewbel, Arthur; Ng, Serena - Department of Economics, Boston College - 2000

nonlinear functions of relative prices, and standard methods for dealing with nonstationarity in linear models cannot be used … nonstationarity of aggregate demand errors, based on aggregation of consumers with heterogeneous preferences in a slowly changing …

Persistent link: https://www.econbiz.de/10004968870

Long-Run Structural Modelling

Pesaran, M; Shin, Yongcheol - School of Economics, University of Edinburgh - 2004

The paper develops a general framework for identification, estimation, and hypothesis testing in cointegrated systems when the cointegrating coefficients are subject to (possibly) non-linear and cross-equation restrictions, obtained from economic theory or other relevant a priori information. It...

Persistent link: https://www.econbiz.de/10005086777

LONG-RUN STRUCTURAL MODELLING

Pesaran, M. Hashem; Shin, Yongcheol - In: Econometric Reviews 21 (2002) 1, pp. 49-87

Persistent link: https://www.econbiz.de/10005644493

Characteristics of demand for antibiotics in primary care: an almost ideal model

Filippini, Massimo; Masiero, Giuliano; Moschetti, Karine - Dipartimento di Ingegneria Gestionale, Università … - 2007

We model demand for di¤erent classes of antibiotics used for respiratory infections in outpatient care using a linear approximate almost ideal demand system approach. We compute elasticities to socioeconomic determinants of consumption and own- and cross- price elasticities between di¤erent...

Persistent link: https://www.econbiz.de/10008852198

Characteristics of demand for antibiotics in primary care: an almost ideal demand system approach

Filippini, Massimo; Masiero, Giuliano; Moschetti, Karine - USI Università della Svizzera italiana - 2007

We model demand for different classes of antibiotics used for respiratory infections in outpatient care using a linear approximate almost ideal demand system approach. We compute elasticities to socioeconomic determinants of consumption and own- and cross- price elasticities between different...

Persistent link: https://www.econbiz.de/10005113162

Modelling multiple time series via common factors

Pan, Jiazhu; Yao, Qiwei - London School of Economics (LSE) - 2008

We propose a new method for estimating common factors of multiple time series. One distinctive feature of the new approach is that it is applicable to some nonstationary time series. The unobservable, nonstationary factors are identified by expanding the white noise space step by step, thereby...

Persistent link: https://www.econbiz.de/10011126505

Estimating linear dependence between nonstationary time series using the locally stationary wavelet model

Sanderson, Jean; Fryzlewicz, Piotr; Jones, M. W. - London School of Economics (LSE) - 2010

Large volumes of neuroscience data comprise multiple, nonstationary electrophysiological or neuroimaging time series recorded from different brain regions. Accurately estimating the dependence between such neural time series is critical, since changes in the dependence structure are presumed to...

Persistent link: https://www.econbiz.de/10010745344

Participation and Fertility Behavior of Italian Women: The Role of Market Rigidities

Boca, Daniela del - Centre for Household, Income, Labour and Demographic … - 1999

Economic models of household behavior typically yield the prediction that increases in schooling levels and wage rates of married women lead to increases in their labor supply and reductions in fertility. In Italy, as well as in other Southern European countries, low labor market participation...

Persistent link: https://www.econbiz.de/10005518868

Estimating a Dynamic Model of Household Choices in the Presence ofIncome Taxation

Sieg, Holger - Duke University, Department of Economics - 1997

The purpose of the paper is to study the incentive and distributional consequences of income taxation in a dynamic model. The framework is estimated under a set of different identifying assumptions using parametric, non-parametric, and semi-parametric techniques. Based on the estimation results,...

Persistent link: https://www.econbiz.de/10005439819