Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 8 of 8 for “"lag structure"”.
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Effects of uncertainty on the investment decision : an examination of the option-based investment model using Japanese real estate data
… effects on the investment decision. A lag structure is found in the effect of total uncertainty. The parameters for other variables also generally favor the option-based model. In the demand equation, too, the results strongly support the option-based investment model. It should be …
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Predicting The U.S. Recessions With Housing Starts In Dynamic Probit Models
… model functional forms are explored in which the lag structure, especially the growth rate term for housing starts, is constructed in an innovative way to serve the comparison purpose between the current study and previous literature. Instead of the month-to-month growth, the housing variable is …
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STUDIES ON HOUSING MARKET DYNAMICS AND COINTEGRATION ANALYSIS WITH LATENT FACTORS
… conditions. Embedded within the model is a lead-lag structure that allows one to identify from where shocks propagate while allowing for and yielding estimates of cross-sectional differences in housing supply elasticities. The findings indicate that local supply conditions may matter more than …
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Modelling of volatility of stock prices using GARCH models & its importance in portfolio construction
… drawn regarding the different GARCH models, best lag structure and best error distributions for modelling. The GARCH (1,1) model demonstrates a relatively good forecasting performance as far as the short term forecasting horizon is concerned. However, the use of alternatives to the more common …
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Model selection-regression and time series applications
… standard errors. Time series analysis utilizes lagged autocorrelation- and lagged partial autocorrelation coefficients in order to specify the lag structure of the model. In certain data sets this process is not informative in determining the order of an ARIMA model. ICOMP guards against …
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Inward foreign direct investment and productivity: evidence from Vietnamese microdata
… used in the literature and uncertainty about the lag structure of the spillovers. Overall, our findings contribute to existing knowledge by bridging the evidence gap with respect to an under-studied country (Vietnam) and making a strong case for investigating the extent of heterogeneity in the …
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Marginal income tax rates and the U.K. economy: three essays
… the Choleski decomposition and using a different lag length. The third essay employs a SVAR model that imposes long run restrictions, and estimates the dynamic effects of fiscal policy shocks on macroeconomic variables in the U.K. Our findings indicate that a positive innovation to AMTR, which …
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Volatility and return forecasting : time series and options-based methods
… we provide evidence for the invalidity of the lag structure implied by the heterogeneous autoregressive (HAR) model which has been heavily adopted in volatility forecast. In our out-of-sample study considering the full time period, the best forecasting performance is usually provided by the …