An investigation on trade openness, fiscal policy and economic growth in Malaysia: Using an ARDL bounds testing approach [PDF]
, 2009 This study examines the impacts of trade openness and fiscal policy on economic growth in Malaysia between 1970 and 2003 using the autoregressive distributed lag (ARDL) approach and bounds test as proposed by Pesaran et al. (2001).
Abdullah, Hussin +1 more
core
Innovations orthogonalization: a solution to the major pitfalls of EEG/MEG "leakage correction" [PDF]
, 2017 The problem of interest here is the study of brain functional and effective connectivity based on non-invasive EEG-MEG inverse solution time series. These signals generally have low spatial resolution, such that an estimated signal at any one site is an ...
Biscay, Rolando J. +8 more
core +1 more source
A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios
Journal of Forecasting, EarlyView.ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley +1 more source
Econometric analysis of high dimensional VARs featuring a dominant unit [PDF]
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension
Chudik, Alexander, Pesaran, Hashem
core +3 more sources
On the role of government spending, trade openness and terms of trade in Iran’s agricultural growth [PDF]
Brazilian Journal of BiologyAgriculture is recognized as the driving force of economic growth, especially in developing economies. It plays a crucial role in Iran’s economy especially during economic sanctions as it is a source of income for rural people, food security, job ...
A. Moghaddasi +2 more
doaj +1 more source
On the Dynamic Relationship between U.S. Farm Income and Macroeconomic Variables [PDF]
This study examines the short- and long-run effects of changes in macroeconomic variables—agricultural commodity prices, interest rates and exchange rates—on the U.S. farm income.
Baek, Jungho, Koo, Won W.
core +1 more source
Coherent Forecasting of Realized Volatility
Journal of Forecasting, EarlyView.ABSTRACT The QLIKE loss function is the stylized favorite of the literature on volatility forecasting when it comes to out‐of‐sample evaluation and the state of the art model for realized volatility (RV) forecasting is the HAR model, which minimizes the squared error loss for in‐sample estimation of the parameters.
Marius Puke, Karsten Schweikert
wiley +1 more source
Dynamic models in space and time [PDF]
This paper presents a first-order autoregressive distributed lag model in both space and time. It is shown that this model encompasses a wide series of simpler models frequently used in the analysis of space-time data as well as models that better fit ...
Elhorst, J.P.
core +1 more source
Forecasting House Prices: The Role of Market Interconnectedness
Journal of Forecasting, EarlyView.ABSTRACT While the existing research uncovers interconnections between various housing markets, it largely ignores the question of whether such linkages can improve house price predictions. To address this issue, we proceed in two steps. First, we forecast disaggregated house price growth rates from Australia and China to determine whether ...
Zac Chen +3 more
wiley +1 more source
The Hypothetical Psychological Impact of the COVID-19 Pandemic on Pediatrics and Pediatric Emergency Admissions: Evidence from Autoregressive Distributed Lag Model Method. [PDF]
Eurasian J Med, 2023 Genç Kavas H, Şengönül A.
europepmc +1 more source