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1 – 10 of over 15000Zoran Vojinovic and Vojislav Kecman
In this paper we are presenting our research findings on how effective neural networks are at forecasting and estimating preliminary project costs. We have shown that neural…
Abstract
In this paper we are presenting our research findings on how effective neural networks are at forecasting and estimating preliminary project costs. We have shown that neural networks completely outperform traditional techniques in such tasks. In exploring nonlinear techniques almost all of the current research involves neural network techniques, especially multilayer perceptron (MLP) models and other statistical techniques and few authors have considered radial basis function neural network (RBF NN) models in their research. For this purpose we have developed RBF NN models to represent nonlinear static and dynamic processes and compared their performance with traditional methods. The traditional methods applied in this paper are multiple linear regression (MLR) and autoregressive moving average models with eXogenous input (ARMAX). The performance of these and RBF neural network and traditional models is tested on common data sets and their results are presented.
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Ajay Kumar Dhamija, Surendra S. Yadav and P.K. Jain
The purpose of this paper is to find out the best method for forecasting European Union Allowance (EUA) returns and determine its price determinants. The previous studies in this…
Abstract
Purpose
The purpose of this paper is to find out the best method for forecasting European Union Allowance (EUA) returns and determine its price determinants. The previous studies in this area have focused on a particular subset of EUA data and do not take care of the multicollinearities. The authors take EUA data from all three phases and the continuous series, adopt the principal component analysis (PCA) to eliminate multicollinearities and fit seven different homoscedastic models for a comprehensive analysis.
Design/methodology/approach
PCA is adopted to extract independent factors. Seven different linear regression and auto regressive integrated moving average (ARIMA) models are employed for forecasting EUA returns and isolating their price determinants. The seven models are then compared and the one with minimum (root mean square error is adjudged as the best model.
Findings
The best model for forecasting the EUA returns of all three phases is dynamic linear regression with lagged predictors and that for forecasting EUA continuous series is ARIMA errors. The latent factors such as switch to gas (STG) and clean spread (capturing the effects of the clean dark spread, clean spark spread, switching price and natural gas price), National Allocation Plan announcements events, energy variables, German Stock Exchange index and extreme temperature events have been isolated as the price determinants of EUA returns.
Practical implications
The current study contributes to effective carbon management by providing a quantitative framework for analyzing cap-and-trade schemes.
Originality/value
This study differs from earlier studies mainly in three aspects. First, instead of focusing on a particular subset of EUA data, it comprehensively analyses the data of all the three phases of EUA along with the EUA continuous series. Second, it expressly adopts PCA to eliminate multicollinearities, thereby reducing the error variance. Finally, it evaluates both linear and non-linear homoscedastic models incorporating lags of predictor variables to isolate the price determinants of EUA.
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Badi H. Baltagi, Georges Bresson, Anoop Chaturvedi and Guy Lacroix
This chapter extends the work of Baltagi, Bresson, Chaturvedi, and Lacroix (2018) to the popular dynamic panel data model. The authors investigate the robustness of Bayesian panel…
Abstract
This chapter extends the work of Baltagi, Bresson, Chaturvedi, and Lacroix (2018) to the popular dynamic panel data model. The authors investigate the robustness of Bayesian panel data models to possible misspecification of the prior distribution. The proposed robust Bayesian approach departs from the standard Bayesian framework in two ways. First, the authors consider the ε-contamination class of prior distributions for the model parameters as well as for the individual effects. Second, both the base elicited priors and the ε-contamination priors use Zellner’s (1986) g-priors for the variance–covariance matrices. The authors propose a general “toolbox” for a wide range of specifications which includes the dynamic panel model with random effects, with cross-correlated effects à la Chamberlain, for the Hausman–Taylor world and for dynamic panel data models with homogeneous/heterogeneous slopes and cross-sectional dependence. Using a Monte Carlo simulation study, the authors compare the finite sample properties of the proposed estimator to those of standard classical estimators. The chapter contributes to the dynamic panel data literature by proposing a general robust Bayesian framework which encompasses the conventional frequentist specifications and their associated estimation methods as special cases.
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Patricia David and Sharyn Rundle-Thiele
While awareness of social, health and environmental consequences of our collective action are growing, additional efforts are required to deliver the changes needed to affect the…
Abstract
Purpose
While awareness of social, health and environmental consequences of our collective action are growing, additional efforts are required to deliver the changes needed to affect the greater good. A review of the literature indicates that research efforts may be misdirected. Drawing from empirical data where a total of 161 caregivers reported changes in their child’s walking behaviour following a month long social marketing program, the purpose of this paper is to illustrate differences between behaviour and behaviour change.
Design/methodology/approach
Data analyses involved use of multiple linear regression on static followed by dynamic measures of behaviour and behavioural change and their respective determinants. The static model used variables reported by caregivers after program participation, while the dynamic measures used change scores for all variables reported (T2-T1).
Findings
Results from the static model showed that only intentions and barriers explained behaviour at Time point 2. In contrast, findings from the dynamic data analysis indicated that a change in injunctive norms (important others’ approval of the child walking to school) explained a change in walking to and from school behaviour. Taken together, the results of the current paper suggest research attention needs to be directed towards dynamic methodologies to re-centre research attention on behavioural change and not behaviour, which dominates current practice.
Originality/value
This paper offers a foundational step to support the research community to redirect research efforts from understanding behaviour to focussing research design and theoretical development on behavioural change. Theories of behaviour change are needed to affect the greater good.
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Eric B. Yiadom, Lord Mensah, Godfred A. Bokpin and Raymond K. Dziwornu
This research investigates the threshold effects of the interplay between finance, development and carbon emissions across 97 countries, including 50 low-income and 47 high-income…
Abstract
Purpose
This research investigates the threshold effects of the interplay between finance, development and carbon emissions across 97 countries, including 50 low-income and 47 high-income countries, during the period from 1991 to 2019.
Design/methodology/approach
Employing various econometric modeling techniques such as dynamic linear regression, dynamic panel threshold regression and in/out of sample splitting, this study analyzes the data obtained from the World Bank's world development indicators.
Findings
The results indicate that low-income countries require a minimum financial development threshold of 0.354 to effectively reduce carbon emissions. Conversely, high-income countries require a higher financial development threshold of 0.662 to mitigate finance-induced carbon emissions. These findings validate the presence of a finance-led Environmental Kuznet Curve (EKC). Furthermore, the study highlights those high-income countries exhibit greater environmental concern compared to their low-income counterparts. Additionally, a minimum GDP per capita of US$ 10,067 is necessary to facilitate economic development and subsequently reduce carbon emissions. Once GDP per capita surpasses this threshold, a rise in economic development by a certain percentage could lead to a 0.96% reduction in carbon emissions across all income levels.
Originality/value
This study provides a novel contribution by estimating practical financial and economic thresholds essential for reducing carbon emissions within countries at varying levels of development.
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Maria S. Heracleous and Aris Spanos
This paper proposes the Student's t Dynamic Linear Regression (St-DLR) model as an alternative to the various extensions/modifications of the ARCH type volatility model. The…
Abstract
This paper proposes the Student's t Dynamic Linear Regression (St-DLR) model as an alternative to the various extensions/modifications of the ARCH type volatility model. The St-DLR differs from the latter models of volatility because it can incorporate exogenous variables in the conditional variance in a natural way. Moreover, it also addresses the following issues: (i) apparent long memory of the conditional variance, (ii) distributional assumption of the error, (iii) existence of higher moments, and (iv) coefficient positivity restrictions. The model is illustrated using Dow Jones data and the three-month T-bill rate. The empirical results seem promising, as the contemporaneous variable appears to account for a large portion of the volatility.
In this paper, the author aims to investigate the relationship between economic growth and unemployment in six Arab countries from Middle East and North Africa (MENA) zone…
Abstract
Purpose
In this paper, the author aims to investigate the relationship between economic growth and unemployment in six Arab countries from Middle East and North Africa (MENA) zone including Tunisia, Egypt, Morocco, Lebanon, Jordan and Oman through the implementation of Okun's law using quarterly dataset covering the time period 2000: 1–2014: 4.
Design/methodology/approach
In this paper, static and dynamic linear and nonlinear models are used to test the linkage between cyclical unemployment and cyclical growth rate.
Findings
The empirical results from considered models confirm an inverse linkage between unemployment rate and economic growth, as the Okun's law suggests (except for Oman). In a nonlinear autoregressive dynamic linear (NARDL) framework and gap specification, statistically significant Okun's coefficients indicate that output growth can be translated into employment gains. Absolute effect of an economic contraction is significantly larger than that of an expansion in Tunisia, Egypt, Morocco and Lebanon. The opposite is true for Jordan and Oman.
Practical implications
Empirical finding provides then an additional proof that Okun's law could exist in a developing countries such as Tunisia, Egypt, Morocco, Lebanon and Jordan. Hence, any attempt to increase gross domestic product (GDP) through some economic fiscal and/or monetary policies in these countries would reduce unemployment rate.
Originality/value
Based on asymmetric specification, the author can conclude with precision that an economic upturn of 3.37, 2.98 and 2.5%, respectively, in Tunisia, Morocco and Egypt reduces unemployment by 1%, whilst the downturn of 5.03 and 2.43% (and about 12%), respectively, in Tunisia and Morocco (and Lebanon and Jordan) achieves the opposite.
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Kenneth Y. Chay and Dean R. Hyslop
We examine the roles of sample initial conditions and unobserved individual effects in consistent estimation of the dynamic binary response panel data model. Different…
Abstract
We examine the roles of sample initial conditions and unobserved individual effects in consistent estimation of the dynamic binary response panel data model. Different specifications of the model are estimated using female welfare and labor force participation data from the Survey of Income and Program Participation. These include alternative random effects (RE) models, in which the conditional distributions of both the unobserved heterogeneity and the initial conditions are specified, and fixed effects (FE) conditional logit models that make no assumptions on either distribution. There are several findings. First, the hypothesis that the sample initial conditions are exogenous is rejected by both samples. Misspecification of the initial conditions results in drastically overstated estimates of the state dependence and understated estimates of the short- and long-run effects of children on labor force participation. The FE conditional logit estimates are similar to the estimates from the RE model that is flexible with respect to both the initial conditions and the correlation between the unobserved heterogeneity and the covariates. For female labor force participation, there is evidence that fertility choices are correlated with both unobserved heterogeneity and pre-sample participation histories.
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The paper investigates the prevalence of extreme poverty in a panel of 39 sub-Saharan African (SSA) countries over the period 2000–2018 while accounting for spillover effects.
Abstract
Purpose
The paper investigates the prevalence of extreme poverty in a panel of 39 sub-Saharan African (SSA) countries over the period 2000–2018 while accounting for spillover effects.
Design/methodology/approach
The study adopts the recently developed spatial dependence-consistent, bias-corrected quasi-maximum likelihood (QML) estimators and the linear dynamic panel regression to control for the potential endogeneity in poverty and corruption spillovers.
Findings
The spatial model shows. consistently across all the specifications, that there is a substantial spillover effect of corruption and poverty across the region. Additionally, the study also found that investment in health and education is a significant determinant of poverty in the region. However, the effectiveness of these policy variables to reduce poverty declines in the face of corruption spillovers. More importantly, the empirical analysis shows that poverty does not only exhibit spatial spillovers but also has a persistent effect over time. The results, therefore, suggest that to reduce poverty in the region, sub-Saharan African governments must adopt spatially differentiated policies and programmes by working together to reduce unemployment and corruption in the region, and not the widely adopted spatially mute designs currently in place. The research and policy implications are discussed.
Originality/value
The study accounts for spatial dependency and spillover effects in the analysis of poverty and corruption in SSA
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Qingyu Zhang, Xiude Chen and Mei Cao
Previous studies demonstrate that market-oriented reform has contributed significantly to China's economic growth from the efficiency-based economic view. But some argue that…
Abstract
Purpose
Previous studies demonstrate that market-oriented reform has contributed significantly to China's economic growth from the efficiency-based economic view. But some argue that state-owned firms have access to policy information, scarce resources, and government support, and thus state-owned firms might foster innovation. This study tries to find out either market force or state ownership helps improve firms' R&D efficiency.
Design/methodology/approach
Using data from China's high-tech industry, we employed the fixed-effect stochastic frontier model and the spatial panel Han-Philips linear dynamic regression model to investigate the relationship between market-oriented reform and the dynamic evolution of R&D efficiency in both temporal and spatial dimensions. Moreover, we examined whether the relationship is affected in a state-owned economy and an industry protection environment.
Findings
The results indicate the following: (1) the R&D efficiency of China's high-tech industry has improved steadily and has converged gradually across its regions during the market-oriented reform; (2) the marketization degree is positively correlated with R&D efficiency and its regional convergence; (3) the state-owned economy and industry protection have significantly weakened the ability of market forces to shape R&D efficiency — i.e. they reduce, rather than enhance, R&D efficiency.
Originality/value
This investigation helps understand the drivers of R&D efficiency in transition economies, and the findings are also helpful in defining the boundaries and constraints of market forces.
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