Econometrics最新文献_第8页

Structural Compressed Panel VAR with Stochastic Volatility: A Robust Bayesian Model Averaging Procedure 具有随机波动性的结构压缩面板VAR：一个稳健的贝叶斯模型平均过程

IF 1.5

Econometrics Pub Date : 2022-07-12 DOI: 10.3390/econometrics10030028

Antonio Pacifico

引用次数: 1

Forecasting Industrial Production Using Its Aggregated and Disaggregated Series or a Combination of Both: Evidence from One Emerging Market Economy 利用其聚合和分解序列或两者结合预测工业生产：来自一个新兴市场经济体的证据

IF 1.5

Econometrics Pub Date : 2022-06-15 DOI: 10.3390/econometrics10020027

Diogo de Prince, Emerson Fernandes Marçal, Pedro L. Valls Pereira

{"title":"Forecasting Industrial Production Using Its Aggregated and Disaggregated Series or a Combination of Both: Evidence from One Emerging Market Economy","authors":"Diogo de Prince, Emerson Fernandes Marçal, Pedro L. Valls Pereira","doi":"10.3390/econometrics10020027","DOIUrl":"https://doi.org/10.3390/econometrics10020027","url":null,"abstract":"In this paper, we address whether using a disaggregated series or combining an aggregated and disaggregated series improves the forecasting of the aggregated series compared to using the aggregated series alone. We used econometric techniques, such as the weighted lag adaptive least absolute shrinkage and selection operator, and Exponential Triple Smoothing (ETS), as well as the Autometrics algorithm to forecast industrial production in Brazil one to twelve months ahead. This is the novelty of the work, as is the use of the average multi-horizon Superior Predictive Ability (aSPA) and uniform multi-horizon Superior Predictive Ability (uSPA) tests, used to select the best forecasting model by combining different horizons. Our sample covers the period from January 2002 to February 2020. The disaggregated ETS has a better forecast performance when forecasting horizons that are more than one month ahead using the mean square error, and the aggregated ETS has better forecasting ability for horizons equal to 1 and 2. The aggregated ETS forecast does not contain information that is useful for forecasting industrial production in Brazil beyond the information already found in the disaggregated ETS forecast between two and twelve months ahead.","PeriodicalId":11499,"journal":{"name":"Econometrics","volume":" ","pages":""},"PeriodicalIF":1.5,"publicationDate":"2022-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49083666","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Impact of COVID-19 Pandemic News on the Cryptocurrency Market and Gold Returns: A Quantile-on-Quantile Regression Analysis 新冠肺炎大流行新闻对加密货币市场和黄金回报的影响：一种量化-一元回归分析

IF 1.5

Econometrics Pub Date : 2022-06-02 DOI: 10.3390/econometrics10020026

E. Mahdi, Ameena Al-Abdulla

引用次数: 4

Comparative Analysis of FDI Duration in the Visegrád Group Member States, Using Mortality Tables: A Sectoral Approach 使用死亡率表对Visegrád集团成员国外国直接投资持续时间的比较分析：部门法

IF 1.5

Econometrics Pub Date : 2022-06-01 DOI: 10.15611/eada.2022.2.01

M. Salamaga

{"title":"Comparative Analysis of FDI Duration in the Visegrád Group Member States, Using Mortality Tables: A Sectoral Approach","authors":"M. Salamaga","doi":"10.15611/eada.2022.2.01","DOIUrl":"https://doi.org/10.15611/eada.2022.2.01","url":null,"abstract":"Abstract FDIs are an important part of the ‘bloodstream’ of many countries’ economies, and it would be difficult to overestimate the benefits of FDIs for the states that receive them. The processes of FDI influx and their effects have been the subject of numerous studies and analyses in the fields of both economic theory and empirical research. However, less attention has been paid to the process of divestment, which in many cases may result in adverse changes in the economies of FDI recipient countries. This article proposes that event history analysis methods can be used to study the survival of FDI projects. FDIs are launched at a certain point in time by investors, last for some time, and then can be either terminated or continued. In this context, we may come across complete as well as truncated observations, much like in the analyses of population processes, therefore the use of demographic methods to study the survivability of FDI projects is justified. The purpose of this article was to present specially constructed FDI life tables and to compare the ‘survivability’ patterns of foreign direct investments in selected economic sectors of the Visegrád Group countries. For many years, these countries have enjoyed considerable interest from foreign investors and have often competed with each other for new FDI projects. Therefore, comparing them not only in terms of the processes related to FDI influx, but also in terms of the processes of divestment appears interesting and important to economists, market analysts and the investors themselves. The study used data from the Orbis and Zephyr databases.","PeriodicalId":11499,"journal":{"name":"Econometrics","volume":"26 1","pages":"1 - 14"},"PeriodicalIF":1.5,"publicationDate":"2022-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44989485","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Applying Block Bootstrap Methods in Silver Prices Forecasting 块引导法在白银价格预测中的应用

IF 1.5

Econometrics Pub Date : 2022-06-01 DOI: 10.15611/eada.2022.2.02

Łukasz Sroka

引用次数: 1

Unform in Bandwith of the Conditional Distribution Function with Functional Explanatory Variable: The Case of Spatial Data with the K Nearest Neighbour Method 带函数解释变量的条件分布函数的带宽均匀性:基于K近邻方法的空间数据

IF 1.5

Econometrics Pub Date : 2022-06-01 DOI: 10.15611/eada.2022.2.03

Wahiba Bouabsa

引用次数: 1

Are Vaccinations Alone Enough to Curb the Dynamics of the COVID-19 Pandemic in the European Union? 单独接种疫苗足以遏制欧盟新冠肺炎大流行的动态吗？

IF 1.5

Econometrics Pub Date : 2022-05-26 DOI: 10.3390/econometrics10020025

Paweł Miłobędzki

{"title":"Are Vaccinations Alone Enough to Curb the Dynamics of the COVID-19 Pandemic in the European Union?","authors":"Paweł Miłobędzki","doi":"10.3390/econometrics10020025","DOIUrl":"https://doi.org/10.3390/econometrics10020025","url":null,"abstract":"I use the data on the COVID-19 pandemic maintained by Our Word in Data to estimate a nonstationary dynamic panel exhibiting the dynamics of confirmed deaths, infections and vaccinations per million population in the European Union countries in the period of January–July 2021. Having the data aggregated on a weekly basis I demonstrate that a model which allows for heterogeneous short-run dynamics and common long-run marginal effects is superior to that allowing only for either homogeneous or heterogeneous responses. The analysis shows that the long-run marginal death effects with respect to confirmed infections and vaccinations are positive and negative, respectively, as expected. Since the estimate of the former effect compared to the latter one is about 71.67 times greater, only mass vaccinations can prevent the number of deaths from being large in the long-run. The success in achieving this is easier for countries with the estimated large negative individual death effect (Cyprus, Denmark, Ireland, Portugal, Estonia, Lithuania) than for those with the large but positive death effect (Bulgaria, Hungary, Slovakia). The speed of convergence to the long-run equilibrium relationship estimates for individual countries are all negative. For some countries (Bulgaria, Denmark, Estonia, Greece, Hungary, Slovakia) they differ in the magnitude from that averaged for the whole EU, while for others (Croatia, Ireland, Lithuania, Poland, Portugal, Romania, Spain), they do not.","PeriodicalId":11499,"journal":{"name":"Econometrics","volume":" ","pages":""},"PeriodicalIF":1.5,"publicationDate":"2022-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41756972","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Is Climate Change Time-Reversible? 气候变化时间可逆吗?

IF 1.5

Econometrics Pub Date : 2022-05-16 DOI: 10.3390/econometrics10040036

Francesco Giancaterini, Alain Hecq, C. Morana

引用次数: 2

Celebrated Econometricians: Katarina Juselius and Søren Johansen 著名计量经济学专家：Katarina Juselius和Søren Johansen

IF 1.5

Econometrics Pub Date : 2022-05-16 DOI: 10.3390/econometrics10020024

R. Mosconi, P. Paruolo

引用次数: 0

An Alternative Estimation Method for Time-Varying Parameter Models 时变参数模型的一种替代估计方法

IF 1.5

Econometrics Pub Date : 2022-04-27 DOI: 10.3390/econometrics10020023

Mikio Ito, Akihiko Noda, Tatsuma Wada

引用次数: 1