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State-space cointegration modeling for the analysis of exogenous shocks to prices in Israeli-Palestinian food trade

Ihle, Rico; Götz, Linde Johanna; Rubin, Ofir D. - 2011

The Israeli-Palestinian conflict constitutes a prominent example of a long-lasting political conflict which has major consequences for the livelihoods of the people on both sides. The agricultural sectors of the Palestinian and Israeli economies are tightly connected. However, various security...

Persistent link: https://www.econbiz.de/10010356541

Testing for common cyclical features in var models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short-run dynamics. We distinguish between strong and...

Persistent link: https://www.econbiz.de/10011398127

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014

has for the selection of pairs of cointegrated stock prices and for the estimation and prediction of the spread between … estimation and prediction of the spread - the deviation from the equilibrium relationship - which leads to better results in …

Persistent link: https://www.econbiz.de/10010259626

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19

model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … the estimation and prediction of the spread-the deviation from the equilibrium relationship-which leads to better results …

Persistent link: https://www.econbiz.de/10011505854

State-space models on the Stiefel manifold with a new approach to nonlinear filtering

Yang, Yukai; Bauwens, Luc - In: Econometrics : open access journal 6 (2018) 4, pp. 1-22

We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the...

Persistent link: https://www.econbiz.de/10011945700

Small area estimation with state-space common factor models for rotating panels

Brakel, Jan A. van den; Krieg, Sabine - 2014

Persistent link: https://www.econbiz.de/10010393950

Dynamic panel modeling of climate change

Phillips, Peter C. B. - In: Econometrics : open access journal 8 (2020) 3/30, pp. 1-28

, observational data computations, and Monte Carlo simulations to assess the use of various estimation methodologies, including … massive bias in system GMM estimation of the dynamic panel regression parameters, which arise from fixed effect heterogeneity … across individual station level observations. Difference GMM and Within Group (WG) estimation have little bias and WG …

Persistent link: https://www.econbiz.de/10012265695

The impact of foreign direct investment on Namibia’s economic growth : a time series investigation

Sunde, Tafirenyika - In: Cogent economics & finance 11 (2023) 1, pp. 1-15

The current study investigates the impact of foreign direct investment on the growth of Namibia's economy from 1990 to 2020 using the ARDL cointegration method. The results reveal that FDI, the interactive variable of FDI and trade openness, and other macroeconomic variables such as domestic...

Persistent link: https://www.econbiz.de/10014500822

Is there a homogeneous causality pattern between oil prices and currencies of oil importers and exporters?

Beckmann, Joscha; Czudaj, Robert - 2013

Although the link between oil prices and dollar exchange rates has been frequently analyzed, a clear distinction between prices and nominal exchange rate dynamics and a clarification of the issue of causality has not been provided. In addition, previous studies have mostly neglected...

Persistent link: https://www.econbiz.de/10009771139

Assessing seasonal asymmetric price transmission in Ghanaian tomato markets with the Johansen estimation method

Ihle, Rico; Amikuzuno, Joseph - 2010

, Tamale and Accra, in a multivariate asymmetric price transmission framework. The estimation of the model is based on a unique … dataset and on a modified version of the Johansen estimation procedure which is suitable for estimating such multivariate …

Persistent link: https://www.econbiz.de/10010342911