Forecast Error Variance Decomposition (FEVD)
Natural gas consumption and economic growth: cointegration, causality and forecast error variance decomposition tests for Pakistan
... (forecast error variance decomposition and impulse response function) allows reinforcing and confirming the direction of causality of the ...
27
Financial Spillovers Across Countries: Measuring shock transmissions
... the forecast error variance decomposition (FEVD) for a VAR model at h - step ahead forecast, and we construct it using both the orthogonalized FEVD and the generalized ...
29
Structural Vector Autoregressive (SVAR) Analysis of Maize Prices and Extreme Weather Shocks
... and Forecast Error Variance Decomposition (FEVD) to examine the dynamic relationship between extreme weather indicators (minimum and maximum temperature and precipitation) and wholesale ...
10
Does Trade Openness Affect Long Run Growth? Cointegration, Causality and Forecast Error Variance Decomposition Tests for Pakistan
... The presence of cointegration for long run relationship between economic growth, trade openness, financial development, capital and labour leads us to apply VECM Granger causality approa[r] ...
58
The Sources of Unemployment in Lesotho
... and forecast error variance decomposition (FEVD) re- vealed that shocks to price, demand, and labour supply significantly affect un- employment in the short/medium term in ...
29
An empirical analysis of the transmission of market movements : linkages between equity markets in the Asia Pacific region : a thesis presented in partial fulfilment of the requirements for the degree of Master of Business Studies in Finance at Massey University
... Forecast error variance decomposition and impulse response analysis has been used to study the nature of the linkages between markets in the region, and the efficiency with which innovat[r] ...
10
Exchange Rate Volatility, Currency Substitution and Monetary Policy in Nigeria
... Vector Error Correction (VEC) ...the forecast error variance decomposition functions suggest that exchange rate volatility and currency substitution responds to monetary policy with ...
34
Impact of foreign direct investment on Thailand's trade and domestic private investment : a thesis presented in partial fulfilment of the requirements for the degree of Master in Applied and International Economics at Massey University
... The empirical results from forecast error variance decomposition analysis also indicate that imports, exports, domestic private investment, and foreign direct investments have inter-rela[r] ...
11
An empirical analysis of the transmission of market movements : linkages between equity markets in the Asia Pacific region : a thesis presented in partial fulfilment of the requirements for the degree of Master of Business Studies in Finance at Massey University
... Forecast error variance decomposition and impulse response analysis has been used to study the nature of the linkages between markets in the region, and the efficiency with which innovat[r] ...
173
Measuring spot variance spillovers when (co)variances are time varying the case of multivariate GARCH models
... construct variance spillover indices that are updated with time-t ...the forecast error variance decomposition that is derived from the vector moving average (VMA) representation of the ...
43
Financial Development, Manufacturing Sector and Sustainability: Evidence from Nigeria
... Vector Error Correction ...the variance decomposition showed that the forecast error shocks of the financial development indicators affect output in the manufacturing sector at ...
8
Monetary Policy Analysis in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach
... A. Those parameters associated with the conditional mean function are estimated subject to cross-economy equality restrictions. Those parameters associated exclusively with the conditional variance function are ...
87
On the fixed effects vector decomposition
... The fevd estimator of Pl¨ umper and Troeger (2007a) offers the analyst of panel data a way to include time-invariant (and slowly-changing) variables in the presence of group effects that are possibly correlated ...
23
Post-processing through linear regression
... regularization, error-in-variable regression, geometric mean regression and best-member ...the forecast error, the ability to cope with multi- collinearity and the reproduction of the observed ...
14
The determinants of the recent interregional migration flows in Italy: A panel data analysis
... vector decomposition estimator (FEVD), a recent panel data technique that allows to estimate the time invariant variables (Plümper and Troeger, ...within variance, like the GDP and the population ...
39
Exchange Rate Pass Through To Import Prices In Indonesia: Evidence Post Free Floating Exchange Rate
... Sanusi (2010) examined the effect of exchange rate changes on consumer prices in Ghana by using the methods of structural VAR (SVAR). The research results showed that the pass through of exchange rate to consumer prices ...
6
EFFECT OF OIL PRICE AND EXCHANGE RATE VOLATILITY ON ECONOMIC GROWTH IN NIGERIA
... the variance of output, inflation and real exchange rate are ...the variance of oil prices are 100 percent at impact and about 97 percent after a ...
17
Long Run Risk and Hidden Growth Persistence
... the forecast variance of the long-run dividend growth rate despite homoscedastic consumption ...changing forecast variance make discrimination between protracted spells of anemic growth and ...
52
A Crime Rate Forecast and Decomposition Method
... This paper provides a method for forecasting age-specific crime rate by age using singular value decomposition and time series modeling. Crime forecasting in its qualitative and quantitative aspects reveals ...
9
A Comparative Simulation Study of ARIMA and Fuzzy Time Series Model for Forecasting Time Series Data
... The results shows the comparison between the proposed models versus classical models for long terms based on selected criterion of forecasting accuracy for simulated models. The distribution of different forecasting ...
8