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Nonlinear Time Series Analysis of Business Cycles
Type: Book
ISBN: 978-0-44451-838-5

Book part
Publication date: 13 December 2013

Claudia Foroni, Eric Ghysels and Massimiliano Marcellino

The development of models for variables sampled at different frequencies has attracted substantial interest in the recent literature. In this article, we discuss classical and…

Abstract

The development of models for variables sampled at different frequencies has attracted substantial interest in the recent literature. In this article, we discuss classical and Bayesian methods of estimating mixed-frequency VARs, and use them for forecasting and structural analysis. We also compare mixed-frequency VARs with other approaches to handling mixed-frequency data.

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VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims
Type: Book
ISBN: 978-1-78190-752-8

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Book part
Publication date: 13 December 2013

Kirstin Hubrich and Timo Teräsvirta

This survey focuses on two families of nonlinear vector time series models, the family of vector threshold regression (VTR) models and that of vector smooth transition regression…

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This survey focuses on two families of nonlinear vector time series models, the family of vector threshold regression (VTR) models and that of vector smooth transition regression (VSTR) models. These two model classes contain incomplete models in the sense that strongly exogeneous variables are allowed in the equations. The emphasis is on stationary models, but the considerations also include nonstationary VTR and VSTR models with cointegrated variables. Model specification, estimation and evaluation is considered, and the use of the models illustrated by macroeconomic examples from the literature.

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VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims
Type: Book
ISBN: 978-1-78190-752-8

Keywords

Book part
Publication date: 13 December 2013

Thomas B. Götz, Alain Hecq and Jean-Pierre Urbain

This article proposes a new approach to detecting the presence of common cyclical features when several time series are sampled at different frequencies. We generalize the…

Abstract

This article proposes a new approach to detecting the presence of common cyclical features when several time series are sampled at different frequencies. We generalize the common-frequency approach introduced by Engle and Kozicki (1993) and Vahid and Engle (1993). We start with the mixed-frequency VAR representation investigated in Ghysels (2012) for stationary time series. For non-stationary time series in levels, we show that one has to account for the presence of two sets of long-run relationships. The first set is implied by identities stemming from the fact that the differences of the high-frequency I (1) regressors are stationary. The second set comes from possible additional long-run relationships between one of the high-frequency series and the low-frequency variables. Our transformed vector error-correction model (VECM) representations extend the results of Ghysels (2012) and are important for determining the correct set of variables to be used in a subsequent common cycle investigation. This fact has implications for the distribution of test statistics and for forecasting. Empirical analyses with quarterly real gross national product (GNP) and monthly industrial production indices for, respectively, the United States and Germany illustrate our new approach. We also conduct a Monte Carlo study which compares our proposed mixed-frequency models with models stemming from classical temporal aggregation methods.

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VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims
Type: Book
ISBN: 978-1-78190-752-8

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The Emerald Handbook of Work, Workplaces and Disruptive Issues in HRM
Type: Book
ISBN: 978-1-80071-780-0

Book part
Publication date: 2 October 2023

Rafael Galvão de Almeida and Harley Silva

This article delves into the contributions of Milton Santos (1926–2001) to the economic study of entrepreneurship. Santos made contributions to spatial economics, urbanization…

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This article delves into the contributions of Milton Santos (1926–2001) to the economic study of entrepreneurship. Santos made contributions to spatial economics, urbanization, and planning theories, being an important author to the field of regional and urban economics. His most famous idea is the “two circuits” of the urban economy. According to this approach, the urban economies in peripheral countries create two economic-urban circuits that are both distinct and connected. The superior circuit comes from the technological modernization and cultivates international relationships. High-value goods and networks and new technologies circulate through it. The inferior circuit works outside these networks. It consists of low-dimension activities from local populations. Santos elaborated this theory to understand urbanization in peripheral countries and to give voice to the ones left behind by the development process. He did not write directly on entrepreneurship. We argue, however, that his thoughts can be important to entrepreneurship studies. The entrepreneurship discourse, that had in Schumpeter one of its main sources, assumes that the entrepreneur has traits related to the superior circuit, such as access to resources and networks, which would not be available to entrepreneurs in the inferior circuit. We argue that Santos’ contributions can inform economic thought in entrepreneurship by calling attention to how literature can approach structural problems and contribute to making economics a more diverse discipline.

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Research in the History of Economic Thought and Methodology: Including a Selection of Papers Presented at the First History of Economics Diversity Caucus Conference
Type: Book
ISBN: 978-1-80455-982-6

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Looking for Information
Type: Book
ISBN: 978-1-80382-424-6

Book part
Publication date: 18 January 2022

Artūras Juodis

This chapter analyzes the properties of an alternative least-squares based estimator for linear panel data models with general predetermined regressors. This approach uses…

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This chapter analyzes the properties of an alternative least-squares based estimator for linear panel data models with general predetermined regressors. This approach uses backward means of regressors to approximate individual specific fixed effects (FE). The author analyzes sufficient conditions for this estimator to be asymptotically efficient, and argue that, in comparison with the FE estimator, the use of backward means leads to a non-trivial bias-variance tradeoff. The author complements theoretical analysis with an extensive Monte Carlo study, where the author finds that some of the currently available results for restricted AR(1) model cannot be easily generalized, and should be extrapolated with caution.

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Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology
Type: Book
ISBN: 978-1-80262-065-8

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Book part
Publication date: 8 February 2006

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Nonlinear Time Series Analysis of Business Cycles
Type: Book
ISBN: 978-0-44451-838-5

Content available
Book part
Publication date: 30 June 2023

Lisa M. Given, Donald O. Case and Rebekah Willson

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Looking for Information
Type: Book
ISBN: 978-1-80382-424-6

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