Long-memory process and aggregation of AR(1) stochastic processes: A new characterization [PDF]
, 2015 Contemporaneous aggregation of individual AR(1) random processes might lead to different properties of the limit aggregated time series, in particular, long memory (Granger, 1980).
Candelpergher, Bernard +2 more
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The size of informal economy in Pakistan [PDF]
This paper estimates the size of informal economy in Pakistan by using monetary approach with some modifications, electricity consumption approach and MIMIC model.
Arby, Muhammad Farooq +2 more
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Modeling the Effect of Oil Price on Global Fertilizer Prices [PDF]
The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, the autoregressive distributed lag (ARDL) model, and alternative
Chang, C-L. +3 more
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The Estimation of Mixed Regression, Autoregression, Moving Average, and Distributed Lag Models [PDF]
Econometrica, 1972 E.J. Hannan, D.F. Nichols
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Determinants of current account in the EU: the relation between internal and external balances in the new members [PDF]
This paper considers the major determinants of the current account in the new members of the EU. It examines the long-run and short-run impact of real exchange rate, investment, private and public savings on current account.
Ketenci, Natalya, Uz, Idil
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The Monetary Model of Exchange Rate: Evidence from the Philippines Using ARDL Approach [PDF]
In this paper, we re-examine the validity of both short and long run monetary models of exchange rate for the case of the Philippines by using new approach called Autoregressive Distributed Lag (ARDL) to cointegration.
Long, Dara, Samreth, Sovannroeun
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An Autoregressive Distributed-Lag Modeling Approach to Nigeria’s External Reserves Dynamics [PDF]
International Journal of Academic Research in Business and Social Sciences, 2020 Ibrahim Shaibu, Famous I.O. Izedonmi
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Testing Alternative Dynamic Systems for Modelling Tourism Demand [PDF]
The goals in this paper are to contribute an empirical study of tourism demand dynamics, and to point out areas where the scrutiny of relationships between theoretical and empirical considerations are likely to produce new insights in this area of ...
Maria M. De Mello, Natércia Fortuna
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A Note on Short-Run and Long-Run Relationships between Parallel and Official Exchange Rates: The Case of Cambodia [PDF]
By employing an Autoregressive Distributed Lag (ARDL) approach to cointegration, this paper presents the results of a new empirical study on short-run and long-run relationships between the Cambodian parallel and the official exchange rates.
Sovannroeun Samreth
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