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Applied Econometrics (apply + econometrics)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES,

INTERNATIONAL ECONOMIC REVIEW, Issue 1 2007
Valentina Corradi
We introduce block bootstrap techniques that are (first order) valid in recursive estimation frameworks. Thereafter, we present two examples where predictive accuracy tests are made operational using our new bootstrap procedures. In one application, we outline a consistent test for out-of-sample nonlinear Granger causality, and in the other we outline a test for selecting among multiple alternative forecasting models, all of which are possibly misspecified. In a Monte Carlo investigation, we compare the finite sample properties of our block bootstrap procedures with the parametric bootstrap due to Kilian (Journal of Applied Econometrics 14 (1999), 491,510), within the context of encompassing and predictive accuracy tests. In the empirical illustration, it is found that unemployment has nonlinear marginal predictive content for inflation. [source]

Making and Breaking Rules in Applied Econometrics

JOURNAL OF ECONOMIC SURVEYS, Issue 4 2002
Les Oxley
No abstract is available for this article. [source]

RECONSIDERING THE INVESTMENT,PROFIT NEXUS IN FINANCE-LED ECONOMIES: AN ARDL-BASED APPROACH

METROECONOMICA, Issue 3 2008
Till Van TreeckArticle first published online: 28 APR 200
ABSTRACT A Post-Keynesian growth model is developed, in which financial variables are explicitly taken into account. Variants of an investment function are estimated econometrically, applying the ARDL (auto-regressive distributed lag)-based approach proposed by Pesaran et al. (Journal of Applied Econometrics, 16 (3), pp. 289,326). The econometric results are discussed with respect to a remarkable phenomenon that can be observed for some important OECD countries since the early 1980s: accumulation has generally been declining while profit shares and rates have shown a tendency to rise. We concentrate on one potential explanation of this phenomenon, which is particularly relevant for the USA and relies on a high propensity to consume out of capital income. [source]

We Ran One Regression,

OXFORD BULLETIN OF ECONOMICS & STATISTICS, Issue 5 2004
David F. Hendry
The controversy over the selection of ,growth regressions' was precipitated by some remarkably numerous ,estimation' strategies, including two million regressions by Sala-i-Martin [American Economic Review (1997b) Vol. 87, pp. 178,183]. Only one regression is really needed, namely the general unrestricted model, appropriately reduced to a parsimonious encompassing, congruent representation. We corroborate the findings of Hoover and Perez [Oxford Bulletin of Economics and Statistics (2004) Vol. 66], who also adopt an automatic general-to-simple approach, despite the complications of data imputation. Such an outcome was also achieved in just one run of PcGets, within a few minutes of receiving the data set in Fernández, Ley and Steel [Journal of Applied Econometrics (2001) Vol. 16, pp. 563,576] from Professor Ley. [source]