			Home About us Contact

Identification Conditions (identification + condition)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	100%

Selected Abstracts

Forecasting multivariate time series with linear restrictions using constrained structural state-space models

JOURNAL OF FORECASTING, Issue 4 2002
Gurupdesh S. Pandher
Abstract This paper presents a methodology for modelling and forecasting multivariate time series with linear restrictions using the constrained structural state-space framework. The model has natural applications to forecasting time series of macroeconomic/financial identities and accounts. The explicit modelling of the constraints ensures that model parameters dynamically satisfy the restrictions among items of the series, leading to more accurate and internally consistent forecasts. It is shown that the constrained model offers superior forecasting efficiency. A testable identification condition for state space models is also obtained and applied to establish the identifiability of the constrained model. The proposed methods are illustrated on Germany's quarterly monetary accounts data. Results show significant improvement in the predictive efficiency of forecast estimators for the monetary account with an overall efficiency gain of 25% over unconstrained modelling. Copyright © 2002 John Wiley & Sons, Ltd. [source]

MALE MARITAL WAGE DIFFERENTIALS: TRAINING, PERSONAL CHARACTERISTICS, AND FIXED EFFECTS

ECONOMIC INQUIRY, Issue 3 2010
WILLIAM M. RODGERS III
Using the National Longitudinal Survey of Youth 1979, we replicate previous estimates of the marital wage differential for white men, extend the analysis to African American men, then explain the within and between race differentials. We first control for formal job training, then for cognitive skills, parental background, and self-esteem with little effect. By contrast, the white differential but not the black differential disappears in fixed-effects estimation. We reconcile the cross-section/panel differentials by focusing on the distinct identification conditions employed by each technique. Men who never change marital status play a significant role in white cross-sectional estimates. (JEL J31, J12) [source]

Irreducibility and structural cointegrating relations: an application to the G-7 long-term interest rates

INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 2 2001
Marco R. Barassi
C32; C51 Abstract In this paper we examine the causal linkages between the G-7 long-term interest rates by using a new technique, which enables the researcher to analyse relations between a set of I(1) series without imposing any identification conditions based on economic theory. Specifically, we apply the so-called Extended Davidson's Methodology (EDM), which is based on the innovative concept of an irreducible cointegrating (IC) vector, defined as a subset of a cointegrating relation that does not have any cointegrated subsets. Ranking the irreducible vectors according to the criterion of minimum variance allows us to distinguish between structural and solved relations. The empirical results provide support for the hypothesis that larger, more stable economies can achieve policy objectives more successfully by accommodating rather than driving other countries' policies. It appears that the driving force is Canada, which is linked to the USA, UK and France in three out of the four fundamental relations, and which is a reference point for the US, Italian and German rates, which are not cointegrated, seem to be determined by country-specific factors. Copyright © 2001 John Wiley & Sons, Ltd. [source]

IDENTIFYING THE SHOCKS DRIVING INFLATION IN CHINA

PACIFIC ECONOMIC REVIEW, Issue 2 2010
Pierre L. Siklos
The time profile of inflation in China resembles the one experienced in major industrial countries. Given the uncertainty surrounding the sources of economic shocks, the present paper compares results from three sets of alternative identification conditions. Our principal finding is that inflation in China has been primarily driven by monetary factors. Although aggregate supply factors might have pushed inflation to cross the threshold leading to deflation, monetary policy is primarily responsible for Chinese inflationary outcomes. [source]