Economic Models - Convex Optimization

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A Novel Method of Estimation Under Co-Integration 41 Due to the properties of SVD, we can easily and directly include in the co-integrating vectors, as many deterministic components as we want to. Besides, we found that the errors corresponding to the finally selected cointegration vector, are characterized by the minimum variance property. It should be noted that the procedure proposed here is not mentioned in the relevant literature. Further, we analyzed the stages of a relevant technique to obtain reliable results regarding the order of integration of a given series provided that it is DSS. We also demonstrated the properties of the so-called near integrated series, which can be traced by applying this technique. It should be emphasized that with this kind of series (NI), we show that the conventional methods for unit root test may produce faulty results. References Banerjee, A, JJ Dolado, JW Galbraith and DF Hendry (1993). Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data. New York: Oxford University Press. Dickey, DA and WA Fuller (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 49, 1057–1072. Dickey, DA, DW Jansen and DL Thornton (1994). A primer on cointegration with an application to money and income. In Cointegration for the Applied Economist, BB Rao (ed.), UK: St. Martin’s Press, 9–45. Enders, W (1995). Applied Econometrics Time Series. New York: John Wiley. Harris, R (1995). Using Cointegration Analysis in Econometric Modelling. London: Prentice Hall. Holden, D and R Perman (1994). Unit roots and cointegration for the economist. In Cointegration for the Applied Economist, BB Rao (ed.), UK: St. Martin’s Press, 47–112. Johansen, S and K Juselius (1990). Maximum likelihood estimation and inference on cointegration with application to the demand for money. Oxford Bulletin of Economics and Statistics 52, 169–210. Johnston, J and J DiNardo (1997). Econometric Models. New York: McGraw-Hill International. Kleibergen, F and V Dijk (1994). Direct cointegration testing in error correction models. Journal of Econometrics 63, 61–103. Lazaridis, A and D Basu (1983). Stochastic optimal control by pseudo-inverse. Review of Economics and Statistics 65(2), 347–350. Lazaridis, A (1986). A note regarding the problem of perfect multicollinearity. Quantity and Quality 120, 297–306. McKinnon, J (1991). Critical values for co-integration tests. In Long-Run Economic Relationships, RF Engle and CWJ Granger (eds.), New York: Oxford University Press. Perron, P and T Vogelsang (1992a). Nonstationarity and level shifts with an application to purchasing power parity. Journal of Business and Economic Statistics 10, 301–320.
42 Alexis Lazaridis Perron, P and T Vogelsang (1992b). Testing for a unit root in a time series with a changing mean: Corrections and extensions. Journal of Business and Economic Statistics 10, 467–470. Sims, CA (1980). Macroeconomics and reality. Econometrica 48, 1–48.
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ECONOMIC MODELS Methods, Theory and
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ECONOMIC MODELS Methods, Theory and
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This Volume is Dedicated to the Mem
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Contents Tom Oskar Martin Kronsjo:
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Tom Oskar Martin Kronsjo: A Profile
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Tom Oskar Martin Kronsjo students t
Page 14 and 15: About the Editor Prof. Dipak Basu i
Page 16 and 17: Contributors Athanasios Athanasenas
Page 18: Contributors Victoria Miroshnik, is
Page 21 and 22: xx Introduction type of model is ve
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Page 27 and 28: 4 Olav Bjerkholt Among these was al
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Page 47 and 48: 24 Alexis Lazaridis A straightforwa
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Page 51 and 52: 28 Alexis Lazaridis Estimating the
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92 Andrew Hughes Hallet (d) Since E
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94 Andrew Hughes Hallet Table 3. Ex
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96 Andrew Hughes Hallet restraint m
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98 Andrew Hughes Hallet HM Treasury
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100 Andrew Hughes Hallet γ/(β −
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102 Chirstophe Deissenberg and Pave
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122 Nikitas Spiros Koutsoukis 2. Mo
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124 Nikitas Spiros Koutsoukis GRAI
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134 Nikitas Spiros Koutsoukis We be
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138 Victoria Miroshnik 2. Corporate
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140 Victoria Miroshnik Japanese NC
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142 Victoria Miroshnik process shou
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144 Victoria Miroshnik National cul
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146 Victoria Miroshnik A1 A2 A3 D1
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148 Victoria Miroshnik Fujino, T (1
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152 Anna-Maria Mouza of salaries of
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154 Anna-Maria Mouza Table 2. final
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156 Anna-Maria Mouza Table 4. Worki
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158 Anna-Maria Mouza 3.2.2. Personn
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160 Anna-Maria Mouza where X 43 , a
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162 Anna-Maria Mouza Thus, the tota
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164 Anna-Maria Mouza 6. Some Altern
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166 Anna-Maria Mouza increase for e
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168 Anna-Maria Mouza The solution o
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174 Fabrizio Iacone and Renzo Orsi
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202 Athanasios Athanasenas 2. The C
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204 Athanasios Athanasenas to asset
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206 Athanasios Athanasenas I end up
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208 Athanasios Athanasenas consider
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210 Athanasios Athanasenas Table 1.
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212 Athanasios Athanasenas vector:
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214 Athanasios Athanasenas in relev
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216 Athanasios Athanasenas The esti
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220 Athanasios Athanasenas run, cre
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222 Athanasios Athanasenas Lown, C
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224 Index fiscal expansions, 91, 92
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Economic Models - Convex Optimization

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