scholarly journals LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS

2014 ◽  
Vol 31 (4) ◽  
pp. 671-702 ◽  
Author(s):  
Bonsoo Koo ◽  
Oliver Linton
Keyword(s):  
Robust Estimation ◽  
Asymptotic Theory ◽  
Estimation Methods ◽  
Conditional Volatility ◽  
Long Run ◽  
Volatility Models ◽  
Short Run ◽  
Heavy Tailed ◽  
Volatility Function ◽  
Theoretical Results

We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run conditional volatility whose representation is given as a semi-strong GARCH(1,1) process with heavy tailed errors. We focus on robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility is totally unspecified whereas the short-run conditional volatility is a parametric semi-strong GARCH(1,1) process. We propose different robust estimation methods for nonstationary and strictly stationary GARCH parameters with nonparametric long-run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory of the proposed estimators. Numerical results lend support to our theoretical results.

Millionaires or Job Creators: What Really Happens to Employment Growth When You Stick It to the Rich?

2017 ◽  
Vol 47 (1) ◽  
pp. 112-141
Author(s):  
Ahiteme N. Houndonougbo ◽  
Matthew N. Murray
Keyword(s):  
Employment Growth ◽  
Estimation Methods ◽  
Negative Effects ◽  
Vector Autoregressive ◽  
Positive Effects ◽  
Long Run ◽  
The Us ◽  
Short Run ◽  
The Rich ◽  
Tax Changes

We provide empirical evidence on the consequences of relatively higher tax burdens on the rich for aggregate employment growth using a newly constructed time series for 1947 through 2011 derived from the US Statistics of Income. In response to shifts in the relative federal tax burden toward the rich, we find statistically significant positive effects on employment growth in the short run and some evidence of negative effects on employment growth in the long run. Among our robustness checks, we use the Romer and Romer narrative record analysis to restrict our sample to a period of exclusively exogenous tax changes. The results hold in the restricted sample and are also consistent across alternative specifications and estimation methods, including unrestricted and Bayesian vector autoregressive.

scholarly journals Inflation dynamics analysis in selected MENA countries

2018 ◽  
Vol 6 (2) ◽  
pp. 160-168
Author(s):  
Tarek Kacemi ◽  
Sallahuddin Hassan
Keyword(s):  
Phillips Curve ◽  
Least Square ◽  
New Keynesian ◽  
Estimation Methods ◽  
Mena Countries ◽  
Ordinary Least Square ◽  
Pooled Mean Group ◽  
Long Run ◽  
Short Run ◽  
The Empirical Analysis

The current paper analyses the new Keynesian Phillips curve (NKPC) in the context of selected MENA countries over the 1990-2016 period. This study has used Pooled Mean Group (PMG) and Fully Modified Ordinary Least Square (FMOLS) estimation methods for the empirical analysis. For the dynamic heterogeneous panels, PMG developed by Pesaran et al. (1999) is the most suitable technique. The outcomes by FMOLS asserted that inflation and unemployment are unrelated in the long run, corroborating the long run Philips Curve theory. While, the empirical outcomes obtained by PMG indicate negative linkage between unemployment and inflation in the long run. Nevertheless, the notion of the tradeoff between the inflation and unemployment that expressed by a short-run Phillips curve is not observed in the selected MENA countries. The findings of this study corroborate the hybrid version of NKPC. Moreover, it establishes of the study suggest that the dynamic inflation can be used as a HNKPC model for understanding the inflation behavior in selected MENA countries.

Effects of Economic Globalization, Foreign Capital Influx on Export in ECOWAS

2018 ◽  
Vol 18 (4) ◽  
pp. 20180055 ◽  
Author(s):  
Ousseini Amadou Maiga ◽  
Xiaojuan Hu ◽  
Terence Metuge Mekongcho ◽  
Salifou Kigbadjah Coulibaly
Keyword(s):  
Causal Relationship ◽  
Economic Globalization ◽  
West African ◽  
Estimation Methods ◽  
Panel Var ◽  
Test Results ◽  
Causality Test ◽  
Long Run ◽  
Short Run ◽  
The Subject

The relationships between globalization, foreign direct investment (FDI), and exports (trade) have been the subject of in-depth studies leading to mixed and inconclusive results. This study investigates how globalization and FDI influence and affect export, as well as the responsiveness of exports to globalization shocks in the West African ECOWAS region over the period 1980–2014. To investigate these phenomena, the study uses Panel VAR, cointegration methods and long-run estimation methods to estimate the short-run, cointegration and long-run relationships, as well as the responsiveness of export shocks due to economic globalization and FDI. The Panel VAR and Granger causality test results showed that there is a positive and significant effect as well as a causal relationship between economic globalization, non-export GDP, and short-term exports. Further, the study also shows that there is no significant effect and no causal relationship between FDI and exports in the short-run, but, FDI has a positive and significant relationship with export in the long-run in the ECOWAS region. The cointegration and long-run analysis showed the existence of cointegration and a long-run relationship between exports and the regressors included in this study.

Modelling Air Passenger Arrivals in the Balearic and Canary Islands, Spain

2009 ◽  
Vol 15 (3) ◽  
pp. 481-500 ◽  
Author(s):  
Ana Bartolomé ◽  
Michael McAleer ◽  
Vicente Ramos ◽  
Javier Rey-Maquieira
Keyword(s):  
Canary Islands ◽  
Seasonal Pattern ◽  
Climatic Conditions ◽  
Conditional Volatility ◽  
Asymmetric Effects ◽  
Long Run ◽  
Volatility Models

This paper models daily air passenger arrivals and their volatility for the Balearic and Canary Islands, Spain. Due to climatic conditions, tourism seasonality is clear in the Balearics, with an increasing number of arrivals during the winter months. In the Canary Islands, the seasonal pattern is different, with decreasing numbers in recent years. Three univariate conditional volatility models are estimated for both the Balearics and the Canaries, concentrating on empirical issues relating to short- and long-run persistence, as well as the symmetric and asymmetric effects of positive and negative shocks of equal magnitude on volatility.

Price and volatility transmissions between natural gas, fertilizer, and corn markets

2016 ◽  
Vol 76 (1) ◽  
pp. 151-171 ◽  
Author(s):  
Xiaoli Liao Etienne ◽  
Andrés Trujillo-Barrera ◽  
Seth Wiggins
Keyword(s):  
Natural Gas ◽  
Transportation Cost ◽  
Conditional Volatility ◽  
Content Type ◽  
Vector Error Correction ◽  
Long Run ◽  
Natural Gas Prices ◽  
Short Run ◽  
Corn Prices ◽  
Gas Price

Purpose – The purpose of this paper is to investigate the price and volatility transmission between natural gas, fertilizer (ammonia), and corn markets, an issue that has been traditionally ignored in the literature despite its significant importance. Design/methodology/approach – The authors jointly estimate a vector error correction model for the conditional mean equation and a multivariate generalized autoregressive heteroskedasticity model for the conditional volatility equation to investigate the interactions between natural gas, ammonia, and corn prices and their volatility. Findings – The authors find significant interplay between fertilizer and corn markets, while only a mild linkage in prices and volatility exist between those markets and natural gas during the period 1994-2014. There is not only a positive relationship between corn and ammonia prices in the short run, but both prices react to deviations from the long-run parity. Furthermore, the lagged conditional volatility of ammonia prices positively affects conditional volatility in the corn market and vice versa. This result is robust to a specification using crude oil price as an alternative to natural gas price to account for the large transportation cost built into ammonia prices. Results for the period of 2006-2014 indicate virtually no linkage between natural gas prices and those of fertilizer and corn during that period, while linkages in price level and volatility between the latter remain strong. Originality/value – This paper is the first in the literature to comprehensively examine the role of fertilizer on corn prices and volatility, and its relation to natural gas prices.

scholarly journals Impact of Foreign Direct Investment on Trade Balance: Evidence from Cote d’Ivoire

2020 ◽  
Vol 12 (7) ◽  
pp. 113
Author(s):  
Yaya Keho
Keyword(s):  
Foreign Direct Investment ◽  
Trade Balance ◽  
Direct Investment ◽  
Real Effective Exchange Rate ◽  
Estimation Methods ◽  
Fdi Inflows ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

Foreign direct investment (FDI) inflows have been increasing in developing countries over the past decades. However, there is only a few evidence about their impact on the trade balance on the recipient countries. This study empirically examines the issue for Cote d’Ivoire from 1980 to 2017. To that end, we extend the traditional trade balance function to include FDI and employ alternative cointegration testing and estimation methods. The results show that domestic income, real effective exchange rate and foreign direct investment are important drivers of trade balance. A real depreciation of domestic currency improves the trade balance both in the long and short run, thus consistent with Marshall-Lerner condition. Furthermore, FDI adversely affects trade balance in the long run.

Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in the Presence of Individual and Time Effects

2014 ◽  
Vol 6 (2) ◽  
pp. 129-181 ◽  
Author(s):  
Ryo Okui
Keyword(s):  
Panel Data ◽  
Bias Correction ◽  
Asymptotic Theory ◽  
Unbiased Estimation ◽  
Variance Estimator ◽  
Time Effects ◽  
Unbiased Estimators ◽  
Long Run ◽  
Individual Effects ◽  
Theoretical Results

AbstractThis article proposes asymptotically unbiased estimators of autocovariances and autocorrelations for panel data with both individual and time effects. We show that the conventional autocovariance estimators suffer from the bias caused by the elimination of individual and time effects. The bias related to individual effects is proportional to the long-run variance, and it related to time effects is proportional to the value of the estimated autocovariance. For the conventional autocorrelation estimators, the elimination of time effects does not cause a bias while the elimination of individual effects does. We develop methods to estimate the long-run variance and propose bias-corrected estimators based on the proposed long-run variance estimator. We also consider the half-panel jackknife estimation for bias correction. The theoretical results are given by employing double asymptotics under which both the number of observations and the length of the time series tend to infinity. Monte Carlo simulations show that the asymptotic theory provides a good approximation to the actual bias and that the proposed bias-correction methods work well.

scholarly journals Components of Savings Accumulation in Nigeria: An Empirical Evidence

2018 ◽  
Author(s):  
Chinedu Joel Ogbodo
Keyword(s):  
Inflation Rate ◽  
Secondary Data ◽  
Estimation Methods ◽  
Financial Deepening ◽  
Causality Test ◽  
Vector Error Correction ◽  
Long Run ◽  
Short Run ◽  
Auto Regressive ◽  
Careful Manipulation

The paper investigated the components of savings accumulation in Nigeria over the period 1980 to 2017. Secondary data were collated from World Development Index (WDI). In evaluating the objectives, the study employed the Auto Regressive Distributive Lag (ARDL) and Vector Error Correction Model (VECM) estimation methods. The key findings of the study show that the components of savings identified in literature understudied in the paper specifically, GDP per capita, foreign direct investment, financial deepening, interest rate, inflation rate exchange rate significantly influence savings accumulation in Nigeria either in short run, long run or both. Financial deepening was found statistically significant but influences savings negatively. Inflation rate was statistically insignificant although negative. The result from the VECM causality test revealed that short run and long run causal relationship exist between savings and the afore mentioned components in Nigeria. Hence, the study recommends careful manipulation of the identified savings components in a manner that they will not yield a counterproductive result in the economy rather contribute to the growth of savings and ultimately, the growth of Nigeria economy as a whole. It further recommends that the Nigerian government through its financial institutions encourage savings from both small and big savers which to large extent will assuage the perceived undeserved influence of financial deepening on savings accumulation.

Migration and US agricultural competitiveness

2013 ◽  
Vol 10 (2) ◽  
pp. 159-179 ◽  
Author(s):  
Philip L. Martin
Keyword(s):  
Farm Workers ◽  
Easy Access ◽  
Foreign Born ◽  
Guest Workers ◽  
Long Run ◽  
Short Run ◽  
Lower Wage ◽  
The Government ◽  
The One

Agriculture has one of the highest shares of foreign-born and unauthorized workers among US industries; over three-fourths of hired farm workers were born abroad, usually in Mexico, and over half of all farm workers are unauthorized. Farm employers are among the few to openly acknowledge their dependence on migrant and unauthorized workers, and they oppose efforts to reduce unauthorized migration unless the government legalizes currently illegal farm workers or provides easy access to legal guest workers. The effects of migrants on agricultural competitiveness are mixed. On the one hand, wages held down by migrants keep labour-intensive commodities competitive in the short run, but the fact that most labour-intensive commodities are shipped long distances means that long-run US competitiveness may be eroded as US farmers have fewer incentives to develop labour-saving and productivity-improving methods of farming and production in lower-wage countries expands.

Intrinsic Liquidity in Conditional Volatility Models

2016 ◽  
pp. 225
Author(s):  
Serge Darolles ◽  
Gaëlle Le Fol ◽  
Christian Francq ◽  
Jean-Michel Zakoïan
Keyword(s):  
Conditional Volatility ◽  
Volatility Models
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