相关论文: Relationships between different Macroeconomic Vari…
A non-parametric method for ranking stock indices according to their mutual causal influences is presented. Under the assumption that indices reflect the underlying economy of a country, such a ranking indicates which countries exert the…
This paper empirically assesses predictions of Goodwin's model of cyclical growth regarding demand and distributive regimes when integrating the real and financial sectors. In addition, it evaluates how financial and employment shocks…
Relational arrays represent measures of association between pairs of actors, often in varied contexts or over time. Trade flows between countries, financial transactions between individuals, contact frequencies between school children in…
In this article, we consider modeling ranked responses from a heterogeneous population. Specifically, we analyze data from the Eurobarometer 34.1 survey regarding public policy preferences towards drugs, alcohol and AIDS. Such policy…
Empirical growth analysis has three major problems --- variable selection, parameter heterogeneity and cross-sectional dependence --- which are addressed independently from each other in most studies. The purpose of this study is to propose…
An understanding of the economic landscape in a world of ever increasing data necessitates representations of data that can inform policy, deepen understanding and guide future research. Topological Data Analysis offers a set of tools which…
The underlying idea behind the construction of indices of economic inequality is based on measuring deviations of various portions of low incomes from certain references or benchmarks, that could be point measures like population mean or…
A novel spatiotemporal framework using diverse econometric approaches is proposed in this research to analyze relationships among eight economy-wide variables in varying market conditions. Employing Vector Autoregression (VAR) and Granger…
Economic growth results from countries' accumulation of organizational and technological capabilities. The Economic and Product Complexity Indices, introduced as an attempt to measure these capabilities from a country's basket of exported…
We review recent developments in detecting and estimating multiple change-points in time series models with exogenous and endogenous regressors, panel data models, and factor models. This review differs from others in multiple ways: (1) it…
Globally operating enterprises selling large and complex products and services often have to deal with situations where variability models are locally developed to take into account the requirements of local markets. For example, cars sold…
Price transmission has been studied extensively in agricultural economics through the lens of spatial and vertical price relationships. Classical time series econometric techniques suffer from the "curse of dimensionality" and are applied…
We employ the Bayesian framework to define a cointegration measure aimed to represent long term relationships between time series. For visualization of these relationships we introduce a dissimilarity matrix and a map based on the Sorting…
Over the past decade, researchers have focused increasing levels of attention on the use of survey and non-survey data to inform decision-making by multiple stakeholders. Work with such data generally requires extensive exploration before a…
Vector autogressions (VARs) are widely applied when it comes to modeling and forecasting macroeconomic variables. In high dimensions, however, they are prone to overfitting. Bayesian methods, more concretely shrinkage priors, have shown to…
A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an…
We consider the relationship between economic activity and intervention, including monetary and fiscal policy, using a universal dynamic framework. Central bank policies are designed for growth without excess inflation. However,…
The statistical description and modeling of volatility plays a prominent role in econometrics, risk management and finance. GARCH and stochastic volatility models have been extensively studied and are routinely fitted to market data, albeit…
Most papers which explored so far macroeconomic variables took into account income and wealth. Equally important as the previous macroeconomic variables is the expenditure or consumption, which shows the amount of goods and services that a…
A linear and lagged relationship between inflation, unemployment and labor force change rate, p(t)=A0UE(t-t0)+A1dLF(t-t1)/LF(t-t1)+ A2, where A0, A1, and A2 are empirical country-specific coefficients, was found for developed economies. The…