scholarly journals Impulse Response Function Analysis of Shandong Residential Electricity Demand Based on the VAR Model

2020 ◽  
Vol 603 ◽  
pp. 012004
Author(s):  
Zhiwei Zhang ◽  
Bing Li
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Function Analysis ◽  
Impulse Response Function ◽  
Electricity Demand ◽  
Var Model ◽  
Residential Electricity

scholarly journals A Study On The Productivity Of Koreas Industrial Sector With IT Technology Capital And R&D Stocks Variation

2011 ◽  
Vol 1 (10) ◽  
Author(s):  
Chuhwan Park ◽  
Tae-Woong Park ◽  
Byoung-Moo Heo
Keyword(s):  
Time Series ◽  
Granger Causality ◽  
Impulse Response ◽  
Response Function ◽  
Function Analysis ◽  
Impulse Response Function ◽  
Industrial Sector ◽  
Response Analysis ◽  
Industrial Growth ◽  
Time Periods

This paper examines the effects of IT technology capital and R&D stocks variation on the growth of Koreas industries with time series approaches. In detail, we analyze the Granger causality and impulse response analysis among the Koreas industrial growth, IT technology capital, and R&D stocks. When it comes to this research conclusion, we know that IT technology capital and R&D stocks shocks affect the growth of Koreas industrial sector. However, the revere effect is ambiguous in each industrial sector. Also, the impulse response function analysis shows that the effect of IT technology capital and R&D stocks fluctuation in each industrial sector is presented with different time periods.

scholarly journals Can a simple structural time series model beat the random walk?

2014 ◽  
Vol 2 (1-2) ◽  
Author(s):  
Anton Abdulbasah Kamil ◽  
Zainudin Arsad ◽  
Quah Soon Hoe ◽  
Yip Chee Yin
Keyword(s):  
Random Walk ◽  
Impulse Response ◽  
Response Function ◽  
Structural Model ◽  
Function Analysis ◽  
Impulse Response Function ◽  
Random Walk Model ◽  
Comparison Study ◽  
Out Of Sample ◽  
Arfima Model

This paper tries to address the question that if the long run PPP holds, then there should exist a structural model which can outperform the random walk in out of sample forecasting. We propose an ARFIMA based model with log of the independent variable as an explanatory variable and make a comparison study of this structural model with the benchmark random walk model. Then, we compare our results with that as obtained by Engel and Hamilton, and by Clarida, Sarno, Taylor and Valente. We present the standard ARFIMA model and show how can make an extension of it so that it becomes a variant of ARFIMA and name it as YQ-ARFIMA, then construct a bivariate model relating the dependent variable yt and ln yt , and with that, perform an impulse response function analysis of the predictive ability of ln yt . We also transform the YQ-ARFIMA into a moving average representation, and thereafter perform the impulse response function analysis again, then make a comparison study between the standard ARFIMA and the YQARFIMA by comparing the out of sample forecasting ability of each one of them with the benchmark random walk model. After that, compare the performance of YQ-ARFIMA with that of the Markov switching model put forward by Engel and Hamilton, and the MSIH(3)-VECM as put forward by CSTV. Last, we test the robustness of the YQ-ARFIMA by fitting it into different exchange rate series spanning the five continents of the globe, then, test the consistency of the forecast by YQ-ARFIMA by a cointegration technique. By using the loss functions RMSE and MAPE, cointegration consistency in forecasts and impulse response function analysis, we have shown beyond doubt that theYQ-ARFIMA model is very much superior in forecasting ability.

Does Eurobond issuance influence FDI location? Evidence from sub-Saharan Africa

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Lord Mensah ◽  
Eric B. Yiadom ◽  
Raymond Dziwornu
Keyword(s):  
Time Series ◽  
Causal Relationship ◽  
Granger Causality ◽  
Impulse Response ◽  
Response Function ◽  
Impulse Response Function ◽  
Var Model ◽  
Fdi Inflows ◽  
Content Type ◽  
Sub Saharan

PurposeDoes the issuance of Eurobonds carry enough information about favourable domestic conditions to warrant more FDI inflows? In this study, the authors investigate how FDI is responding to the rising levels of Eurobonds in sub-Saharan African (SSA).Design/methodology/approachThe study uses the system GMM model to set up a panel with all 17 SSA countries with Eurobonds. The dataset was transformed into time series, and the VAR model and Granger causality were used to diffuse the doubt of a possible bi-causal relationship between Eurobonds and FDI. Additionally, the authors use the impulse response function to test the behaviour of FDI to a one-time shock to Eurobonds.FindingsThe study reports that Eurobond levels matter in explaining FDI receipts. Specifically, the authors report that the issuance of Eurobonds leads to a favourable increase in FDI inflows. The authors transform our data into time series and use the VAR model and Granger causality test to diffuse the doubt of a possible bi-causal relationship between Eurobonds and FDI. The authors’ findings from this exercise suggest that two lag levels of Eurobond are a good predictor of future FDI flows. More also, the authors use the impulse response function to test the behaviour of FDI to a one-time shock to Eurobonds and report that a one-unit standard deviation shock to Eurobonds will cause FDI to swell up over at least 8 years.Research limitations/implicationsThe study is limited in scope due to data availability. Future studies may consider using countries across the globe that have issued Eurobond to retest the current research objectives.Practical implicationsThe study establishes grounds to suggest that the issuance of Eurobonds carry enough information to foreign investors in deciding on the location of FDI.Originality/valueThe study is uniquely opening a new frontier to the discussion on how one international capital can be used to bait other foreign capital. It also discusses signalling theory at the macro level.

Strontium-89 radionuclide therapy: a dosimetric study using impulse response function analysis

1987 ◽  
Vol 60 (715) ◽  
pp. 685-692 ◽  
Author(s):  
G. M. Blake ◽  
J. M. Gray ◽  
M. A. Zivanovic ◽  
A. J. McEwan ◽  
J. S. Fleming ◽  
...  
Keyword(s):  
Impulse Response ◽  
Response Function ◽  
Radionuclide Therapy ◽  
Function Analysis ◽  
Impulse Response Function ◽  
Dosimetric Study

Agricultural production in Poland and agri-food exports

2018 ◽  
Vol 63 (4) ◽  
pp. 58-72
Author(s):  
Jacek Strojny
Keyword(s):  
Economic Policy ◽  
Impulse Response ◽  
Response Function ◽  
Agricultural Production ◽  
Vector Autoregression ◽  
Impulse Response Function ◽  
Variance Decomposition ◽  
The Other ◽  
Var Model ◽  
Research Show

The research is aiming at the identification of the dynamic causality between agricultural production in Poland and exports of agri-food goods. Identification of the magnitude and direction of these variables may be used for economic policy forming. The study covers the period of 1991—2013 and is based on the data from the FAO; the research employs the vector autoregression methodology (VAR). The study comprises, among others, the analysis of the impulse response function and variance decomposition of forecasts’ errors of VAR model variables. The results of the research show that agricultural production in Poland is shaped by both own and exports delays. On the other hand, agri-food exports are mainly influenced by their own development trends. This means that, in the VAR model, exports should be seen as a priority ('more exogenous').

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