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Book part
Publication date: 13 December 2013

Fabio Canova and Matteo Ciccarelli

This article provides an overview of the panel vector autoregressive models (VAR) used in macroeconomics and finance to study the dynamic relationships between…

Abstract

This article provides an overview of the panel vector autoregressive models (VAR) used in macroeconomics and finance to study the dynamic relationships between heterogeneous assets, households, firms, sectors, and countries. We discuss what their distinctive features are, what they are used for, and how they can be derived from economic theory. We also describe how they are estimated and how shock identification is performed. We compare panel VAR models to other approaches used in the literature to estimate dynamic models involving heterogeneous units. Finally, we show how structural time variation can be dealt with.

Details

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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Article
Publication date: 11 July 2016

Shuyun Ren and Tsan-Ming Choi

Panel data-based demand forecasting models have been widely adopted in various industrial settings over the past few decades. Despite being a highly versatile and…

Abstract

Purpose

Panel data-based demand forecasting models have been widely adopted in various industrial settings over the past few decades. Despite being a highly versatile and intuitive method, in the literature, there is a lack of comprehensive review examining the strengths, the weaknesses, and the industrial applications of panel data-based demand forecasting models. The purpose of this paper is to fill this gap by reviewing and exploring the features of various main stream panel data-based demand forecasting models. A novel process, in the form of a flowchart, which helps practitioners to select the right panel data models for real world industrial applications, is developed. Future research directions are proposed and discussed.

Design/methodology/approach

It is a review paper. A systematically searched and carefully selected number of panel data-based forecasting models are examined analytically. Their features are also explored and revealed.

Findings

This paper is the first one which reviews the analytical panel data models specifically for demand forecasting applications. A novel model selection process is developed to assist decision makers to select the right panel data models for their specific demand forecasting tasks. The strengths, weaknesses, and industrial applications of different panel data-based demand forecasting models are found. Future research agenda is proposed.

Research limitations/implications

This review covers most commonly used and important panel data-based models for demand forecasting. However, some hybrid models, which combine the panel data-based models with other models, are not covered.

Practical implications

The reviewed panel data-based demand forecasting models are applicable in the real world. The proposed model selection flowchart is implementable in practice and it helps practitioners to select the right panel data-based models for the respective industrial applications.

Originality/value

This paper is the first one which reviews the analytical panel data models specifically for demand forecasting applications. It is original.

Details

Industrial Management & Data Systems, vol. 116 no. 6
Type: Research Article
ISSN: 0263-5577

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Abstract

Details

The CASE Journal, vol. 9 no. 1
Type: Case Study
ISSN: 1544-9106

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Book part
Publication date: 21 November 2014

Cheng Hsiao

This paper provides a selective survey of the panel macroeconometric techniques that focus on controlling the impact of “unobserved heterogeneity” across individuals and…

Abstract

This paper provides a selective survey of the panel macroeconometric techniques that focus on controlling the impact of “unobserved heterogeneity” across individuals and over time to obtain valid inference for “structures” that are common across individuals and over time. We consider issues of (i) estimating vector autoregressive models; (ii) testing of unit root or cointegration; (iii) statistical inference for dynamic simultaneous equations models; (iv) policy evaluation; and (v) aggregation and prediction.

Details

Essays in Honor of Peter C. B. Phillips
Type: Book
ISBN: 978-1-78441-183-1

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Article
Publication date: 25 November 2019

Jiří Běhal and Pavel Zděnek

There are structural elements on the aircraft that may be exposed to high-intensity sound levels. One of them is an air inlet duct of the jet engine. To prepare data for…

Abstract

Purpose

There are structural elements on the aircraft that may be exposed to high-intensity sound levels. One of them is an air inlet duct of the jet engine. To prepare data for the air duct damage tolerance analysis, flat panels were tested under acoustic loading. The paper aims to discuss this issue.

Design/methodology/approach

The acoustic fatigue test equipment for grazing wave’s incidence was designed based on the FE analyses. Flat composite panels were designed and manufactured using the Hexply 8552/AGP193-PW prepreg with the simulation of production imperfections or operational damage. The dynamic behaviour of panels has been tested using three regimes of acoustic loading: white noise spectrum, engine noise spectrum and discrete harmonic frequencies. The panel deflection was monitored along its longitudinal axis, and the ultrasonic NDT instruments were used for the monitoring of relevant delamination increments. The FE model of the panel was created in Abaqus to study panel dynamic characteristics.

Findings

No delamination progress was observed by NDT testing even if dynamic characteristics, especially modal frequency, of the panel changed during the fatigue test. Rayleigh damping coefficients were evaluated for their use in FE models. Significant differences were found between the measured and computed panel deflection curves near the edge of the panel.

Originality/value

The research results underscored the signification of the FE model boundary conditions and the element type selections when the panel works like a membrane rather than a plate because of their low bending stiffness.

Details

International Journal of Structural Integrity, vol. 11 no. 5
Type: Research Article
ISSN: 1757-9864

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Article
Publication date: 10 October 2020

Honghua Wu and Zhongfeng Qu

The paper aims to propose a clustering model for panel data. More specifically, the paper aims to construct a gray incidence model for panel data to solve the…

Abstract

Purpose

The paper aims to propose a clustering model for panel data. More specifically, the paper aims to construct a gray incidence model for panel data to solve the classification with multi-factors and multi-attributes.

Design/methodology/approach

The paper opted for a clustering theory study using gray incidence theory based on dynamic weighted function. The paper presents an example to verify the rationality of the new model, which suggests that the new model can reflect the incidence degree of panel data.

Findings

The paper provides a new gray incidence model based on a dynamic weighted function that can amplify the characteristics of the sample to some extent. The properties of the new incidence model, such as normalization, symmetry and nearness, are all satisfied. The paper also shows that the new incidence model performs very well on cluster discrimination.

Originality/value

The new model in this paper has supplemented and improved the gray incidence analysis theory for panel data.

Details

Grey Systems: Theory and Application, vol. 10 no. 4
Type: Research Article
ISSN: 2043-9377

Keywords

Content available
Article
Publication date: 28 April 2020

Mourad Mroua and Lotfi Trabelsi

This paper aims to investigate simultaneously the causality and the dynamic links between exchange rates and stock market indices. It attempts to identify the short- and…

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9856

Abstract

Purpose

This paper aims to investigate simultaneously the causality and the dynamic links between exchange rates and stock market indices. It attempts to identify the short- and long-term effect of the US dollar on major stock market indices of Brazil, Russia, India, China and South-Africa (BRICS) nations.

Design/methodology/approach

This paper applies a new methodology combining the panel generalized method of moments model and the panel auto-regressive distributed lag (ARDL) method to investigate the existence of a causal short-/long-run relationships and dynamic dependence among all stock market returns and exchanges rates changes of BRICS countries.

Findings

Results show that exchange rate changes have a significant effect on the past and the current volatility of the BRICS stock indices. Besides, ARDL estimations reveal that exchange rate movements have a significant effect on short- and long-term stocks market indices of all BRICS countries

Originality/value

The findings have implications for policymakers and market participants who try to manage the exchange rate will have a different dose of intervention if they know that the effects of currency depreciation are different than appreciation. These results have important implications that investors should take into account in frequency-varying exchange rates and stock returns and regulators should consider developing sound policy measures to prevent financial risk.

Details

Journal of Economics, Finance and Administrative Science, vol. 25 no. 50
Type: Research Article
ISSN: 2077-1886

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Book part
Publication date: 15 April 2020

Yonghui Zhang and Qiankun Zhou

It is shown in the literature that the Arellano–Bond type generalized method of moments (GMM) of dynamic panel models is asymptotically biased (e.g., Hsiao & Zhang, 2015;…

Abstract

It is shown in the literature that the Arellano–Bond type generalized method of moments (GMM) of dynamic panel models is asymptotically biased (e.g., Hsiao & Zhang, 2015; Hsiao & Zhou, 2017). To correct the asymptotical bias of Arellano–Bond GMM, the authors suggest to use the jackknife instrumental variables estimation (JIVE) and also show that the JIVE of Arellano–Bond GMM is indeed asymptotically unbiased. Monte Carlo studies are conducted to compare the performance of the JIVE as well as Arellano–Bond GMM for linear dynamic panels. The authors demonstrate that the reliability of statistical inference depends critically on whether an estimator is asymptotically unbiased or not.

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Article
Publication date: 2 August 2011

Abdullahi D. Ahmed and Abu N.M. Wahid

This paper aims to use the newly developed panel data cointegration analysis and the dynamic time series modeling approach to examine the linkages between financial…

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2478

Abstract

Purpose

This paper aims to use the newly developed panel data cointegration analysis and the dynamic time series modeling approach to examine the linkages between financial structure (market‐based vs bank‐based) and economic growth in African economies.

Design/methodology/approach

The research investigates the dynamic relationship between financial structure and economic growth in a panel of a group of seven African developing countries over the period of 1986‐2007. The paper uses various indicators/measures of financial structure and financial system, and employs the traditional time‐series analysis for causality as well as the newly developed panel unit root and cointegration techniques and estimated finance‐growth relationship using FMOLS for heterogeneous panel.

Findings

From the dynamic heterogeneous panel approach, the paper firstly finds that market‐based financial system is important for explaining output growth through enhancing efficiency and productivity. Second, the authors' empirical evidence supports the view that higher levels of banking system development are positively associated with capital accumulation growth and lead to faster rates of economic growth.

Originality/value

Panel cointegration, group mean panel FMOLS and country‐by‐country time series investigations indicate that the market‐based financial system is important for explaining output growth through enhancing efficiency and productivity, whereas the development of banking system is significantly associated with capital accumulation growth. Further results from the time‐series approach show evidence of unidirectional causality running from market‐oriented as well as bank‐oriented financial systems to economic growth.

Details

Journal of Economic Studies, vol. 38 no. 3
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 19 September 2016

Nikiforos T. Laopodis and Andreas Papastamou

The purpose of this paper is to re-examine the relationship between a country’s aggregate stock market and general economic development for 14 emerging economies for the…

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1075

Abstract

Purpose

The purpose of this paper is to re-examine the relationship between a country’s aggregate stock market and general economic development for 14 emerging economies for the period from 1995 to 2014.

Design/methodology/approach

The methodological approach of the paper is multifold. First, the authors use cointegration analysis to determine the simple dynamics among the variables. Second, the authors utilize vector autoregression analysis to study the dynamics among the variables for the 14 countries. Third, the authors employ panel analysis to determine common variations among the variables and across countries.

Findings

When examining the linkage between the stock market and economic development, proxied by gross domestic product growth or with gross fixed capital formation growth, the authors did not find a meaningful relationship between them. However, when the authors included additional control variables strong, dynamic interactions between the two magnitudes surfaced. Specifically, it was found that the stock market is positively and robustly correlated with contemporaneous and future real economic development and, thus, it directly contributed to a country’s economic development either through the production of goods and services or the accumulation of real capital. Thus, it can be inferred that the stock market alone is not capable of boosting economic development in these countries unless being part of a comprehensive financial system (which includes banks) as well as investment in real capital.

Research limitations/implications

The policy implications are clear. Government authorities must recognize that the stock market alone is not a driver of economic development and that a sound, efficient financial system (which includes banks) must be present in order to contribute and foster economic development.

Originality/value

The study is original in the sense that it examines various financial and economic variables to determine the degree of (or dynamic interactions among) the stock market and the real economy for each and all emerging markets in the sample.

Details

International Journal of Emerging Markets, vol. 11 no. 4
Type: Research Article
ISSN: 1746-8809

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