搜索结果: 1-13 共查到“经济学 AUTOREGRESSIVE”相关记录13条 . 查询时间(0.097 秒)
Impact of price realization on India’s tea export: Evidence from Quantile Autoregressive Distributed Lag Model
export price realization, Quantile Autoregressive Distributed Lag model India
2015/10/9
Th e quantile autoregressive distributed lag model of Galvao et al. (2013) was employed to assess the impact of
price realization on India’s tea export. Th e results of the QADL varied signifi...
A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances
Spatial autoregressive model two-stage least squares generalized moments estimation
2015/9/24
Cross-sectional spatial models frequently contain a spatial lag of the dependent variable as a regressor or a disturbance term that is spatially autoregressive. In this article we describe a computati...
INSTRUMENTAL VARIABLE ESTIMATION OF A SPATIAL AUTOREGRESSIVE MODEL WITH AUTOREGRESSIVE DISTURBANCES:LARGE AND SMALL SAMPLE RESULTS
INSTRUMENTAL VARIABLE ESTIMATION SPATIAL AUTOREGRESSIVE MODEL AUTOREGRESSIVE DISTURBANCES LARGE AND SMALL SAMPLE
2015/9/24
The purpose of this paper is two-fold. First, on a theoretical level we introduce a series-type instrumental variable (IV) estimator of the parameters of a spatial first order autoregressive model wit...
Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
Spatial dependence Heteroskedasticity Cliff–Ord model Two-stage least squares Generalized moments estimation Asymptotics
2015/9/24
This study develops a methodology of inference for a widely used Cliff–Ord type spatial model containing spatial lags in the dependent variable, exogenous variables, and the disturbance terms, while a...
Finite sample properties of estimators of spatial autoregressive models with autoregressive disturbances
Spatial autoregressive models ordinary least squares two-stage least squares maximum likelihood finite sample distribution
2015/9/24
The article investigates the finite sample properties of estimators for spatial autoregressive models where the disturbance terms may follow a spatial autoregressive process. In particular we investig...
2SLS and OLS in a spatial autoregressive model with equal spatial weights
Spatial autoregressive models Row normalized and equal spatial weights Ordinary least squares Two stage least squares Panel data
2015/9/24
The paper considers a Cliff–Ord type spatial model with a spatially lagged dependentvariable and a row normalized weighting matrix with equal weights. We show that the 2SLSand OLS estimators are incon...
On An Efficient Two-Step Estimator for Dynamic Simultaneous Equation Models with Autoregressive Errors
Dynamic Simultaneous Equation Models Autoregressive Errors
2015/8/5
On An Efficient Two-Step Estimator for Dynamic Simultaneous Equation Models with Autoregressive Errors.
A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autoregressive process
Durbin-Watson statistic first-order autoregressive process Statistical test for serial correlation
2011/7/25
Abstract: The purpose of this paper is to provide a sharp analysis on the asymptotic behavior of the Durbin-Watson statistic. We focus our attention on the first-order autoregressive process where the...
Quantile Elasticity of International Tourism Demand for South Korea using Quantile Autoregressive Distributed Lag Model
Tourism demand Quantile autoregression Elasticity Response analysis
2011/4/1
This paper investigates international inbound tourism demand for South Korea and its determinants using quantile autoregressive model. In contrast to previous studies which dealt with only conditional...
Detecting Misspecifications in Autoregressive Conditional Duration Models and Non-negative Time-series Processes
Autoregressive conditional duration dispersion clustering finite sample correction generalized spectral derivative nonlinear time series parameter estimation uncertainty Wooldridge’s Device
2011/4/1
We develop a general theory to test correct specification of multiplicative error models of non-negative time-series processes, which include the popular autoregressive conditional duration (ACD) mode...
Cointegrated Vector Autoregressive Models with Adjusted Short-Run Dynamics
Cointegration adjusted short-run dynamics parameter change likelihood ratio test
2010/9/8
A family of cointegrated vector autoregressive models with adjusted short-run dynamics is introduced. These models can describe evolving short-run dynamics in a more flexible way than standard vector ...
Maximum entropy autoregressive conditional heteroskedasticity model
Maximum entropy density ARCH models Excess kurtosis Asymmetry Peakedness of distribution Stock returns data
2011/4/2
In many applications, it has been found that the autoregressive conditional heteroskedasticity (ARCH) model under the conditional normal or Student’s t distributions are not general enough to account ...
Forecasting with time-varying vector autoregressive models
time-varying vector autoregressive models
2010/12/13
The purpose of this paper is to propose a time-varying vector autoregressive model (TV-VAR) for forecasting multivariate time series. The model is casted into a state-space form that allows flexible ...