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Book part
Publication date: 5 April 2024

Feng Yao, Qinling Lu, Yiguo Sun and Junsen Zhang

The authors propose to estimate a varying coefficient panel data model with different smoothing variables and fixed effects using a two-step approach. The pilot step estimates the…

Abstract

The authors propose to estimate a varying coefficient panel data model with different smoothing variables and fixed effects using a two-step approach. The pilot step estimates the varying coefficients by a series method. We then use the pilot estimates to perform a one-step backfitting through local linear kernel smoothing, which is shown to be oracle efficient in the sense of being asymptotically equivalent to the estimate knowing the other components of the varying coefficients. In both steps, the authors remove the fixed effects through properly constructed weights. The authors obtain the asymptotic properties of both the pilot and efficient estimators. The Monte Carlo simulations show that the proposed estimator performs well. The authors illustrate their applicability by estimating a varying coefficient production frontier using a panel data, without assuming distributions of the efficiency and error terms.

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Essays in Honor of Subal Kumbhakar
Type: Book
ISBN: 978-1-83797-874-8

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Open Access
Article
Publication date: 10 September 2021

Pham Dinh Long, Bui Quang Hien and Pham Thi Bich Ngoc

The paper aims to shed light on the effects of inflation on gold price and exchange rate in Vietnam by using time-varying cointegration.

1684

Abstract

Purpose

The paper aims to shed light on the effects of inflation on gold price and exchange rate in Vietnam by using time-varying cointegration.

Design/methodology/approach

Using cointegration techniques with fixed coefficient and time-varying coefficient, the study exams the impacts of inflation in models and compares the results through coefficient estimates.

Findings

A significant inflation impacts are found with the time-varying cointegration but not with the fixed coefficient cointegration models. Moreover, monetary policy affects exchange rate not only directly via its instruments as money supply and interest rate but indirectly via inflation. Also, interest rate is one of the determinants of gold price.

Originality/value

To the best of our knowledge, this paper is the first to use time-varying cointegration to analyze the impact of inflation on the gold price and exchange rate in Vietnam. Gold price and exchange rate fluctuations are always the essential and striking issues, which have been emphasized by economists and policymakers. In macroeconometric researches, cointegration models are often used to analyze the long-term relations between variables. Attentionally, applied models show a limitation when estimating coefficients are fixed. This characteristic might not really match with the data properties and the variation of the economy. Currently, time-varying cointegration models are emerging method to solve the above issue.

Details

Asian Journal of Economics and Banking, vol. 6 no. 1
Type: Research Article
ISSN: 2615-9821

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Book part
Publication date: 2 December 2003

Ahmed S Abutaleb, Yuzo Kumasaka and Michael G Papaioannou

This paper presents a new adaptive technique for forecasting the Yen/U.S. Dollar exchange rate. The proposed method assumes a time-varying model to describe the evolution of the…

Abstract

This paper presents a new adaptive technique for forecasting the Yen/U.S. Dollar exchange rate. The proposed method assumes a time-varying model to describe the evolution of the exchange rate. Weekly predictions of the Yen/U.S. Dollar rate are dominated by weekly announcements of unexpected changes in the relative unemployment claims between the U.S. and Japan. Monthly predictions are more sensitive to monthly releases of the difference between the expected and announced value of the National Association of Purchasing Managers index. The predictive results of the proposed method are found more accurate than that of conventional ARMA techniques.

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The Japanese Finance: Corporate Finance and Capital Markets in ...
Type: Book
ISBN: 978-1-84950-246-7

Article
Publication date: 12 May 2022

Guangming Fu, Yuhang Tuo, Baojiang Sun, Chen Shi and Jian Su

The purpose of this study is to propose a generalized integral transform technique (GITT) to investigate the bending behavior of rectangular thin plates with linearly varying

Abstract

Purpose

The purpose of this study is to propose a generalized integral transform technique (GITT) to investigate the bending behavior of rectangular thin plates with linearly varying thickness resting on a double-parameter foundation.

Design/methodology/approach

The bending of plates with linearly varying thickness resting on a double-parameter foundation is analyzed by using the GITT for six combinations of clamped, simply-supported and free boundary conditions under linearly varying loads. The governing equation of plate bending is integral transformed in the uniform-thickness direction, resulting in a linear system of ordinary differential equations in the varying thickness direction that is solved by a fourth-order finite difference method. Parametric studies are performed to investigate the effects of boundary conditions, foundation coefficients and geometric parameters of variable thickness plates on the bending behavior.

Findings

The proposed hybrid analytical-numerical solution is validated against a fourth-order finite difference solution of the original partial differential equation, as well as available results in the literature for some particular cases. The results show that the foundation coefficients and the aspect ratio b/a (width in the y direction to height of plate in the x direction) have significant effects on the deflection of rectangular plates.

Originality/value

The present GITT method can be applied for bending problems of rectangular thin plates with arbitrary thickness variation along one direction under different combinations of loading and boundary conditions.

Details

Engineering Computations, vol. 39 no. 7
Type: Research Article
ISSN: 0264-4401

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Book part
Publication date: 2 December 2021

Maria Grazia Pittau, Roberto Zelli and Saida Ismailakhunova

The authors propose a framework to estimate the probability of being poor in a dynamic setting based on a large information set that includes individual characteristics and…

Abstract

The authors propose a framework to estimate the probability of being poor in a dynamic setting based on a large information set that includes individual characteristics and macro-economic variables. The joint inclusion of personal characteristics along with contextual factors allows separation of idiosyncratic shocks from aggregate shocks affecting poverty. The authors combine data from different cross-sectional surveys and fit a dynamic logistic hierarchical model within a Bayesian framework using standard Markov chain Monte Carlo techniques. The authors’ approach is exemplified by estimating household poverty status in Kyrgyz Republic as a function of time, regions, country, regional level variables and household level socio-demographic characteristics.

Details

Research on Economic Inequality: Poverty, Inequality and Shocks
Type: Book
ISBN: 978-1-80071-558-5

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Article
Publication date: 20 January 2021

Pedro Clavijo-Cortes

This study aims to contribute to the current and well-documented phenomenon of hysteresis in the US economy after the Great Financial Recession. Compelling reasons lead me to…

Abstract

Purpose

This study aims to contribute to the current and well-documented phenomenon of hysteresis in the US economy after the Great Financial Recession. Compelling reasons lead me to believe that Verdoorn's law can be used to explain this phenomenon by relating hysteresis to a fall in the size of returns to scale of the whole economy.

Design/methodology/approach

Verdoorn's law is estimated using a time-varying regression model that employs Bayesian methods to examine the evolution of the Verdoorn coefficient. The investigation uses a bivariate time-varying model to estimate long-run growth rates of output and productivity while controlling for potential endogeneity problems.

Findings

The study finds substantial variation in the Verdoorn coefficient across time as well as a significant fall of it in the onset of the Great Financial Recession, which confirms the presence of hysteresis in the US economy. Additionally, it also finds a fall in the size of productivity shocks, and in the long-run growth rates of output and productivity according to previous studies.

Originality/value

The empirical investigation uses, novel to the literature on Verdoorn's law to date, a bivariate time-varying regression model with stochastic volatility. It also employs quarterly productivity data for a considerably long period, which to my knowledge, has not been used by previous works. Most importantly, this approach contemplates positive hysteresis––typically neglected––which provides a less bleak panorama.

Details

Journal of Economic Studies, vol. 49 no. 1
Type: Research Article
ISSN: 0144-3585

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Book part
Publication date: 19 December 2012

Joseph H. Haslag and Yu-Chin Hsu

In this chapter, we examine the relationship between the cyclical components of output, the price level and the inflation rate. During the post-war period, there is a negative…

Abstract

In this chapter, we examine the relationship between the cyclical components of output, the price level and the inflation rate. During the post-war period, there is a negative correlation between output and the price level and a positive correlation between output and the inflation rate. A phase shift in the cyclical component between output and the price level can account for these two facts. The phase shift is consistent with movements in the price level Granger causes movements in output. In addition, we consider time-varying correlations between the two pairs of series. Spectral analysis suggest the price and output have different wavelengths, but the difference is not statistically significant.

Details

30th Anniversary Edition
Type: Book
ISBN: 978-1-78190-309-4

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Book part
Publication date: 16 December 2009

Zongwu Cai, Jingping Gu and Qi Li

There is a growing literature in nonparametric econometrics in the recent two decades. Given the space limitation, it is impossible to survey all the important recent developments…

Abstract

There is a growing literature in nonparametric econometrics in the recent two decades. Given the space limitation, it is impossible to survey all the important recent developments in nonparametric econometrics. Therefore, we choose to limit our focus on the following areas. In Section 2, we review the recent developments of nonparametric estimation and testing of regression functions with mixed discrete and continuous covariates. We discuss nonparametric estimation and testing of econometric models for nonstationary data in Section 3. Section 4 is devoted to surveying the literature of nonparametric instrumental variable (IV) models. We review nonparametric estimation of quantile regression models in Section 5. In Sections 2–5, we also point out some open research problems, which might be useful for graduate students to review the important research papers in this field and to search for their own research interests, particularly dissertation topics for doctoral students. Finally, in Section 6 we highlight some important research areas that are not covered in this paper due to space limitation. We plan to write a separate survey paper to discuss some of the omitted topics.

Details

Nonparametric Econometric Methods
Type: Book
ISBN: 978-1-84950-624-3

Article
Publication date: 8 May 2009

Stephen L. Lee

A number of studies have examined the convergence in European real estate markets and find that convergence is time‐varying. Additionally, the returns of some countries, notably…

Abstract

Purpose

A number of studies have examined the convergence in European real estate markets and find that convergence is time‐varying. Additionally, the returns of some countries, notably the UK, are as equally, if not more, influenced by the real estate returns in the USA than those in Europe. This paper aims to study the time‐varying convergence of the UK securitised real estate market shows with countries within Europe relative to that with the USA.

Design/methodology/approach

This paper utilizes a model estimated using a Kalman filter.

Findings

Using monthly data over the period 1990‐2007 we show that from 1990 to 1998 the returns of the UK securitised real estate were more influenced by the US market than the other countries in Europe. However, from autumn 1998 to 2004 the short‐run movements in the return of the UK securitised real estate market became increasingly associated with movements in the other countries in Europe market rather than the USA. But since 2004 the returns in the UK real estate have once again started to diverge from those of most countries in Europe.

Originality/value

This is the first paper to examine the time‐varying convergence of the securitised real estate markets using time‐varying parameter modelling techniques estimated by the Kalman filter. The results showing that the UK has not converged with the other markets in Europe, which implies that real estate diversification is still a viable investment strategy for UK investors in most countries in Europe.

Details

Journal of European Real Estate Research, vol. 2 no. 1
Type: Research Article
ISSN: 1753-9269

Keywords

Article
Publication date: 26 April 2022

Arcade Ndoricimpa

This study reexamines fiscal deficit sustainability in South Africa.

Abstract

Purpose

This study reexamines fiscal deficit sustainability in South Africa.

Design/methodology/approach

The study applies three cointegration testing approaches, namely testing for multiple structural changes in a cointegrated regression model, time-varying cointegration test and asymmetric cointegration test.

Findings

The results point to the existence of a level relationship between government revenue and spending. In addition, the long-run equilibrium relationship between government revenue and spending in South Africa is found to be characterized by breaks. As such, assuming a constant cointegrating slope may be misleading. Results from time-varying cointegration and an estimation of a cointegrated two-break model indicate that cointegrating coefficient has been time-varying but has remained less than 1 for the entire study period, indicating that fiscal deficits have been weakly sustainable. This finding is also confirmed by the results from an estimated asymmetric error correction model.

Practical implications

In view of the findings, authorities should put in place policies to improve the fiscal budgetary stance and reinforce the sustainability of the fiscal deficits in South Africa. Among other things, South Africa could undertake reforms to state-owned companies to reduce their reliance on public funds, slow down the pace of the public sector wage growth and devise effective economic measures to boost long-term growth. In addition, tax compliance and other revenue collection measures should be enhanced for additional tax revenue.

Originality/value

The contribution of this study is twofold; first, the study uses a long series of annual data spanning over a century, from 1913 to 2020. Indeed, cointegration is better modeled using long spans of time series data. Second, to examine the existence of a level relationship between spending and revenue, the study uses cointegration tests which allow capturing time-variation in the cointegrating slope coefficient, and accounting for asymmetries in the relationship between government spending and revenue. It is important to allow for time-variation in the cointegrating slope coefficient, especially when it has been hardly treated in the empirical literature on fiscal deficit sustainability. Allowing for time-variation in the cointegrating slope coefficient helps us to analyze fiscal deficit sustainability by periods of time. Indeed, the degree of fiscal sustainability can change from one time period to another.

Details

Journal of Economic and Administrative Sciences, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1026-4116

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