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Not all markets are always characterized by immediate market clearing, for example due to a delayed adjustment of quantities and prices. Macroeconometric disequilbrium models proved to be a valuable tool in assessing the relevance of such phenomena on goods and labour markets. Asymmetric...
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An introduction to vector autoregressive (VAR) analysis is given with special emphasis on cointegration. The models, estimating their parameters and specifying the autoregressive order, the cointegrating rank and other restrictions are discussed. Possibilities for model validation are also...
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Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...
Persistent link: https://www.econbiz.de/10013099334
Efficient routines for multidimensional numerical integration are provided by quasi-Monte Carlo methods. These methods are based on evaluating the integrand at a set of representative points of the integration area. A set may be called representative if it shows a low discrepancy. However, in...
Persistent link: https://www.econbiz.de/10009774691
In this paper a macroeconometric disequilibrium model for West Germany is presented and its quality for policy simulations and forecasting are analyzed using stochastic in-sample simulations. The model is built on a dynamic disequilibrium model of firms' behaviour. Due to delayed adjustment of...
Persistent link: https://www.econbiz.de/10009774716