Results of error correction models:
Further results on weak-exogeneity in vector error correction models
... and results We now report some Monte Carlo replications and analyses the size distortions and power of the sequential procedure of rank tests introduced ...
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Estimation of nonlinear error correction models
... the error correction term appears in a bounded transition function ...smooth models assuming that the cointegrating vector estimators converge at a certain ...these results are con- …ned to ...
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Forecasting Performance of Alternative Error Correction Models
... system results in inferior forecasting ...roots results in poor performance for ten to twenty five steps ahead forecasts whereas over- specification results in inferior short-term ...
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Vector Autoregression and Vector Error-Correction Models
... ent results depending on which identification assumption we choose, so if there is no clear choice it may be useful to examine whether results are robust across different ...
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Stationary Vector Autoregressive Representation of Error Correction Models
... Finally, we employ the model to dynamically analyze the real exchange rate between the US dollar and the Japanese yen. The rest of this paper is organized as follows. Section 2 introduces the model and assumptions. ...
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Determination of vector error correction models in high dimensions
... nalizing algorithms for VECM without mathematical proofs, see Signoretto and Suykens (2012), Wilms and Croux (2016). To the best of our knowledge, comparable settings of determining cointegrated time series have only ...
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Asymmetric Error Correction Models for the Oil-Gasoline Price Relationship
... If we compare the estimated asymmetric coefficients across stages, the main differences are related to the sign of the coefficients γ 1 and to the optimal number of lags in each equation. The lagged short-run effects are ...
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Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
... vector error correction models which allow for asymmetric and non-linear error ...asymptotic results for (quasi-)maximum likelihood (QML) based estimators and ...convergence ...
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Estimating threshold vector error-correction models with multiple cointegrating relationships
... These results can be summarised as follows. The newly proposed SMG algorithm is comparable in terms of efficiency to the existing HS method, but appears to have a slightly lower bias in smaller samples. In ...
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Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models
... VEC models we allow for higher order dynamics and the lag order is selected based on information criteria and white noise residual ...VEC models. Table 1 contains the results of the cointegration ...
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Rank-based tests of the cointegrating rank in semiparametric error correction models
... Hallin, Van den Akker, and Werker (2011). First, we can use standard LAN projection results in order to derive the scores to be used in the rank-based procedures. Secondly, the restriction to D = 0 is innocuous as ...
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Forecasting gasoline prices with mixed random forest error correction models
... The results confirm that gasoline prices respond asymmetrically to crude oil price changes, while central heating oil reacts ...an error correction ...
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Demonstrating The Use Of Vector Error Correction Models Using Simulated Data
... the results of the Johansen cointegration test. The test results indicate that there are four cointegrating equations at the 1% level of statistical significance as would be expected by the process by which ...
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Error Correction Models of MSA Housing "Supply" Elasticities: Implications for Price Recovery
... monocentric models have given away to “polycentric” theory wherein a city has multiple centers or locations of economic ...of models does not always yield the same comparative static results as with ...
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Problems Related to Over-identifying Restrictions for Structural Vector Error Correction Models
... 5 Conclusions In this note I have pointed out a problem with imposing over-identifying restrictions in structural VECMs with cointegrated variables and long-run restrictions. It is shown that they may result in a ...
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Language Models for Contextual Error Detection and Correction
... language models yield slightly worse results compared to the spe- cific classifier approach, where each classifier is specifically trained on one confusible ...
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Neural Sequence Labelling Models for Grammatical Error Correction
... detection models on cor- rection ...Detection models can be more fine-tuned to finer nuances of grammaticality, and therefore better able to distinguish between correct and incorrect versions of a ...
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Numerically Grounded Language Models for Semantic Error Correction
... Semantic error correction We evaluate SEC systems on the corrupted dataset (Section 3) for detection and ...best results, a total F1 improvement of 2 points over the base LM model and 7 points over ...
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Numerically Grounded Language Models for Semantic Error Correction
... Semantic error correction We evaluate SEC systems on the corrupted dataset (Section 3) for detection and ...best results, a total F1 improvement of 2 points over the base LM model and 7 points over ...
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The Unreasonable Effectiveness of Transformer Language Models in Grammatical Error Correction
... such models would fare in this task when treated as simple language mod- ...language models trained on large linguistic corpora and as- sess their performance on GEC without any super- vised ...language ...
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