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Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as time-varying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus,...
Persistent link: https://www.econbiz.de/10015220073
We compare heteroskedasticity-robust inference methods with a large-scale Monte Carlo study based on regressions from 155 reproduction packages of leading economic journals. The results confirm established wisdom and uncover new insights. Among well established methods HC2 standard errors with...
Persistent link: https://www.econbiz.de/10015214470
This paper deals with methods to estimate standard errors of dynamic multipliers. These methods can be applied to nonlinear macroeconometric models, thus extending methods available in the literature for linear models.
Persistent link: https://www.econbiz.de/10015222642
Efficient allocation of resources is the basic problem in economics. Firms, educational institutions, universities are faces problem of estimating true abilities and ranking of individuals to be selected for job, admissions and scholarship awards etc. This study will provide a guide line what...
Persistent link: https://www.econbiz.de/10015230073
Several studies have highlighted the fact that heavy-tailedness of asset returns can be the consequence of conditional heteroskedasticity. GARCH models have thus become very popular, given their ability to account for volatility clustering and, implicitly, heavy tails. However, these models...
Persistent link: https://www.econbiz.de/10015231898
The econometricians and the economic modelers have to know and use numerical analysis not only to have a good understanding of their results, but sometimes to built their own tools. The increasing tendency to the use of large-scale models leads the softwares to reach the limit of the saturation...
Persistent link: https://www.econbiz.de/10015262720
The Two-Stage Least Squares (2-SLS) is a well known econometric technique used to estimate the parameters of a multi-equation (or simultaneous equations) econometric model when errors across the equations are not correlated and the equation(s) concerned is (are) over-identified or exactly...
Persistent link: https://www.econbiz.de/10015265932
estimated model, a stress testing simulation procedure is undertaken. The simulation shows that under adverse shock scenarios … substantial impact on banks’ loan losses. The households sector stress testing simulation show that this sector is more resilient …
Persistent link: https://www.econbiz.de/10015243963
This paper proposes a variational Bayes algorithm for computationally efficient posterior and predictive inference in time-varying parameter (TVP) models. Within this context we specify a new dynamic variable/model selection strategy for TVP dynamic regression models in the presence of a large...
Persistent link: https://www.econbiz.de/10015212021
This is an exploratory study that attempts to identify and provide empirical evidence on the possible determinants of the market capitalisation of the Harare Stock Exchange (HSE) with the view of understanding the development prospects of the HSE and other similar markets. The study used...
Persistent link: https://www.econbiz.de/10015216234