Results 61 to 70 of about 1,911,399 (201)

Decomposing supply shocks in the US electricity industry: evidence from a time-varying Bayesian panel vector autoregression model

, 2020
This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from 48 US States, spanning the period January 2001-September 2016, while it employs a novel strategy for electricity supply shocks based on a time ...
Apergis, Nicholas, Polemis, Michael
core   +1 more source

Measuring systemic risk of banking sector in Uzbekistan [PDF]

International Trade, Politics and Development
PurposeThis study investigates systemic risk and risk spillovers among 21 commercial banks in Uzbekistan.Design/methodology/approachTo this end, we adopt the Conditional Value-at-Risk framework and employ quantile regression, panel regression and a panel
Wenbo Wang, Jong Chil Son
doaj   +1 more source

Health Care Expenditures in OECD Countries: A Panel Unit Root and Cointegration Analysis [PDF]

This paper examines the linkationship between health care expenditures and gdp for 21 oecd countries using panel cointegration techniques. the analysis accounts for the fact that health care expenditures are not solely driven by income, but also by ...
Dreger, C., Reimers, H.E.
core  

GMM Estimation of Autoregressive Roots Near Unity with Panel Data [PDF]

This paper investigates a generalized method of moments (GMM) approach to the estimation of autoregressive roots near unity with panel data. The two moment conditions studied are obtained by constructing bias corrections to the score functions under OLS ...
Hyungsik Roger Moon
core  

Structural Panel Bayesian VAR Model to Deal with Model Misspecification and Unobserved Heterogeneity Problems

Econometrics, 2019
This paper provides an overview of a time-varying Structural Panel Bayesian Vector Autoregression model that deals with model misspecification and unobserved heterogeneity problems in applied macroeconomic analyses when studying time-varying ...
Antonio Pacifico
doaj   +1 more source

Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption [PDF]

The standard Vector Error Correction Model (VECM) approach to investigating the underlying dynamics of economic variables assumes a constant co-integration space.
John Lingard, Philip Kostov
core  

Bayesian vector autoregression with applications on panel data and small area estimation

Journal of Applied Statistics
We present a Bayesian vector autoregressive (BVAR) model designed for panel data. In small-area applications, traditional vector autoregressive (VAR) models quickly become overparameterized, and standard BVARs often rely on aggressive global shrinkage, risking over-shrinking meaningful regional dynamics.
Hammed A. Olayinka, Balgobin Nandram
openaire   +1 more source

Vector Autoregressions, Policy Analysis, and Directed Acyclic Graphs: An Application to the U.S. Economy [PDF]

The paper considers the use of directed acyclic graphs (DAGs), and their construction from observational data with PC-algorithm TETRAD II, in providing over-identifying restrictions on the innovations from a vector autoregression. Results from Sims’ 1986
David A. Bessler, Titus O. Awokuse
core  

General-to-Specific Model Selection Procedures for Structural Vector Autoregressions [PDF]

Structural vector autoregressive (SVAR) models have emerged as a dominant research strategy in empirical macroeconomics, but suffer from the large number of parameters employed and the resulting estimation uncertainty associated with their impulse ...
Hans-Martin Krolzig
core  

Credit Risk Management Dynamics: Evidence from Indonesian Rural Banks

Risks
This paper investigates credit risk management as a dynamic system. Panel Vector Autoregression (PVAR) is employed to model interrelationships among four key components: Non-Performing Loans (NPLs), Loan Loss Provision (LLP), loan charge-off (LCO) and ...
Moch Doddy Ariefianto, Triasesiarta Nur, Bryna Meivitawanli   +2 more
doaj   +1 more source