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Showing 1 to 7 of 7 for “"Vector Autoregressive Models"”.
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The Transmission of Negative Interest Rates in the Euro Area [védés előtt]
… Euro Area economies. With error correction and vector autoregressive models, I study how negative interest rates are transmitted into commercial bank rates. The results show that transmission through the interest rate channel changes in Eurozone countries when interest rates sink into negative …
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The health-economic growth nexus: a lower and middle-income Sub-Saharan economies comparison
… exists for health. The study employed two Panel Vector Autoregressive models (PVAR) to investigate the relationship between health and economic growth. A Panel Vector Autoregressive model is an appropriate model for large panel data sets (Munyengwa, 2012). The results of the study support the …
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Analyses of organic grain prices
… with alfalfa hay were examined using hedonic models and bootstrapping statistical techniques. Findings of the hedonic analyses are as follows. Dairy farms seemed to pay a lower premium for feed grade corn and hard red winter wheat compared to other types of buyers. Buyers located in Kansas …
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U.S. Housing Market Volatility
… standard GARCH(1,1) model. The results of the vector error correction model and the vector autoregressive models show that there are unidirectional and bidirectional housing return volatility spillover effects among not only contiguous MSAs but also noncontiguous MSAs. More volatility …
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Macroeconomic Forecasting: Statistically Adequate, Temporal Principal Components
… erodes reliability of inferences. The Vector Autoregressive (VAR) model at the center of these simulations allows for the Markov (temporal) dependence inherent in macroeconomic data and serves as the basis for extending conventional PCA. Stemming from the relationship between PCA and …
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Essays in International Finance: International Capital Flows, Equity and FX markets
… over the period 1988-2012. We deploy state-space models à la Kalman filter to identify the unobserved hot money as the temporary component of each type of flow. The analysis reveals that the importance of hot money relative to the permanent component in bank credit flows has significantly …
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Three Essays in Economic Inequality
… associated statistics, I perform a set of panel vector autoregressive models with heterogeneous dynamics using a comprehensive dataset of the United States at the state level. The estimation results highlight that the rapid growth of wealth residual during the last four decades, influenced by the …