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A study of cointegrating models with applications

Ssekuma, Rajab - 2011

This study estimates cointegration models by applying the Engle-Granger (1989) two-step es-timation procedure, the … Phillip-Ouliaris (1990) residual-based test and Johansen's multivariatetechnique. The cointegration techniques are tested on … Raotbl3 dataset, we test for cointegration between the consumption expenditure, and income and wealth vari-ables. In the …

Persistent link: https://www.econbiz.de/10009457718

Export Instability, Investment and Economic Growth in Asian Countries: A Time Series Analysis

Sinha, Dipendra - 1999

countries using time series data. The few previous time series studies in this area have not paid any attention to stationarity … and cointegration issues. We find that in most cases, the variables are non-stationary in their levels and not …

Persistent link: https://www.econbiz.de/10009444174

Vector Error-Correction Models in a consumer packaged goods category forecasting decision support system

Zhong, MS; Pick, RA; Klein, G; Jiang, JJ - 2005

A framework for developing marketing category management decision support systems (DSS) based upon the Bayesian Vector Autoregressive (BVAR) model is extended. Since the BVAR model is vulnerable to permanent and temporary shifts in purchasing patterns over time, a form that can correct for the...

Persistent link: https://www.econbiz.de/10009448786

Revenue Management as a Multi-disciplinary Business Process

Buckhiester, Bonnie - 2011

In today’s volatile markets, with consumer buying behavior evolving rapidly, rudimentary revenue management practices are no longer sufficient. Given the complexity of demand patterns in today’s markets, optimal demand management is achieved only with a totally holistic approach. This means...

Persistent link: https://www.econbiz.de/10009467806

Measuring Nonstationary Cycles: a Time-Deformation Approach

Movchan, Oleksandr Victorovich - 2009

This dissertation consists of three essays on modeling and parameter estimation for covariance non-stationary processes. The first essay considers the non-linear deformation of time scale for G(lambda)-stationary processes developed by Jiang, Gray and Woodward [2006]. After the appropriate...

Persistent link: https://www.econbiz.de/10009431199

Persistence of Inflationary shocks: Implications for West African Monetary Union Membership

Alagidede, Paul; Coleman, Simeon; Cuestas, Juan Carlos - 2010

Plans are far advanced to form a second monetary union, the West African Monetary Zone (WAMZ), in Africa. While much attention is being placed on convergence criteria and preparedness of the five aspiring member states, less attention is being placed on how the dynamics of inflation in...

Persistent link: https://www.econbiz.de/10009465860

Theoretical aspects of long-term evaluation in environmental economics

Traeger, Christian - 2006

implied preference for the timing of uncertainty resolution as well as different stationarity assumptions.The first part of …

Persistent link: https://www.econbiz.de/10009476176

Asymptotic Theory of General Multivariate GARCH Models

Jiang, Weibin - 2011

Generalized autoregressive conditional heteroscedasticity (GARCH) models are widely used in financial markets. Parameters of GARCH models are usually estimated by the quasi-maximum likelihood estimator (QMLE). In recent years, economic theory often implies equilibrium between the levels of time...

Persistent link: https://www.econbiz.de/10009447285

ANALYSING SPATIAL DATA VIA GEOSTATISTICAL METHODS

Morgan, Craig John - 2006

This dissertation presents a detailed study of geostatistics. Included in this workare details of the development of geostatistics and its usefulness both in andoutside of the mining industry, a comprehensive presentation of the theory ofgeostatistics, and a discussion of the application of this...

Persistent link: https://www.econbiz.de/10009447674

Nonstationary brand variables in category management: A cointegration perspective

Jiang, James J.; Zhong, Maosen; Klein, Gary; Chen, H. G. - 2004

technique is that shocks to control variates can be separated into permanent and temporary effects and allow cointegration of … capabilities and interpretation of cointegration. …

Persistent link: https://www.econbiz.de/10009447905