16,996 research outputs found
Spatial Econometrics Revisited: A Case Study of Land Values in Roanoke County
Omitting spatial characteristics such as proximity to amenities from hedonic land value models may lead to spatial autocorrelation and biased and inefficient estimators. A spatial autoregressive error model can be used to model the spatial structure of errors arising from omitted spatial effects. This paper demonstrates an alternative approach to modeling land values based on individual and joint misspecification tests using data from Roanoke County in Virginia. Spatial autocorrelation is found in land value models of Roanoke County. Defining neighborhoods based on geographic and socioeconomics characteristics produces better estimates of neighborhood effects on land values than simple distance measures. Implementing a comprehensive set of individual and joint misspecification tests results in better correction for misspecification errors compared to existing practices.Land Economics/Use,
Modelling the Relationship between Whole Sale Price and Consumer Price Indices: Cointegration and Causality Analysis for India
In this study we attempted to analyze the static and dynamic causality between producersâ prices
measured by WPI and consumersâ prices measured by CPI in the context of India. We did our
analysis in the framework of time series and for analysis, we applied ARDL bounds testing
approach to cointegration and robustness of ARDL approach is examined through Johansen and
Juselius (1990) maximum likelihood approach over the period of 1950-2009.
We found the evidence of bidirectional causality between WPI and CPI in both cases i.e., in the
short-run and long-run. Furthermore, outside sample forecast analysis reveals that in India, WPI
leads CPI. This implies that WPI is determined by market forces and also a leading indicator of
consumersâ prices and inflation. This gives an indication to the Indian policy analysts to control
for factors affecting WPI in order to have control on CPI since CPI is used for indexation
purposes for many wage and salary earners including government employees and hence it will be
helpful in cutting down the excess government expenditure
Inference of time-varying regression models
We consider parameter estimation, hypothesis testing and variable selection
for partially time-varying coefficient models. Our asymptotic theory has the
useful feature that it can allow dependent, nonstationary error and covariate
processes. With a two-stage method, the parametric component can be estimated
with a -convergence rate. A simulation-assisted hypothesis testing
procedure is proposed for testing significance and parameter constancy. We
further propose an information criterion that can consistently select the true
set of significant predictors. Our method is applied to autoregressive models
with time-varying coefficients. Simulation results and a real data application
are provided.Comment: Published in at http://dx.doi.org/10.1214/12-AOS1010 the Annals of
Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical
Statistics (http://www.imstat.org
Inflation persistence during periods of structural change: an assessment using Greek data
The paper estimates inflation persistence in Greece from 1975 to 2003, a period of high variation in inflation and changes in policy regimes. Two empirical methodologies, univariate autoregressive (AR) modelling and second-generation random coefficient (RC) modelling, are employed to estimate inflation persistence. The empirical results from all the procedures suggest that inflation persistence was high during the inflationary period and the first six years of the disinflationary period, while it started to decline after 1997, when inflationary expectations seem to have been stabilised, and thus, monetary policy was effective at reducing inflation. Empirical findings also detect a sluggish response of inflation to changes in monetary policy. This observed delay seems to have changed little over time. JEL Classification: E31, E37CPI inflation, Persistence, structural change
Inflation Persistence during Periods of Structural Change: An Assessment Using Greek Data
The paper estimates inflation persistence in Greece from 1975 to 2003, a period of high variation in inflation and changes in policy regimes. Three empirical methodologies, univariate autoregressive (AR) modelling, second-generation random coefficient (RC) modelling, and vector autoregressive (VAR) modelling, are employed to estimate inflation persistence. The empirical results from all the procedures suggest that inflation persistence was high during the inflationary period and the first six years of the disinflationary period, while it started to decline after 1997, when inflationary expectations seem to have been stabilised, and thus, monetary policy was effective at reducing inflation. Empirical findings also detect a sluggish response of inflation to changes in monetary policy. This observed delay seems to have changed little over time.CPI inflation; persistence; structural change
Stock Market Performance and Sustainable Economic Growth in Nigeria: A Bounds Testing Co-integration Approach
The study examined the relationship between stock market performance and economic growth in Nigeria. It
utilized the bounds testing co-integration procedure also known as autoregressive distributed lag estimation
procedure. The empirical model combined key stock market indicators and some traditional macroeconomic
variables to estimate the hypothesized relationship in the study. It found that in the long-run, overall output in the
Nigerian economy is less sensitive to changes in stock market capitalization as well as the average dividend yield
thereby casting doubt on the ability of the Nigerian stock market in its present level of development to serve as a
barometer for measuring or predicting the overall health of the Nigerian economy as well as its direction over the
long-run horizon. The other major finding in the study is that the long-run growth of the Nigerian economy is
highly sensitive to marginal variations in interest rate which is suggestive that macroeconomic variables in the
country are at present more useful in shaping the long-run direction of the Nigerian economy
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