A Thresholding-Based Prewhitened Long-Run Variance Estimator and Its Dependence-Oracle Property

2018 ◽  
Author(s):  
ZHANG TING
Keyword(s):  
Oracle Property ◽  
Variance Estimator ◽  
Long Run

Asymptotically Unbiased Estimation of Autocovariances and Autocorrelations with Panel Data in the Presence of Individual and Time Effects

2014 ◽  
Vol 6 (2) ◽  
pp. 129-181 ◽  
Author(s):  
Ryo Okui
Keyword(s):  
Panel Data ◽  
Bias Correction ◽  
Asymptotic Theory ◽  
Unbiased Estimation ◽  
Variance Estimator ◽  
Time Effects ◽  
Unbiased Estimators ◽  
Long Run ◽  
Individual Effects ◽  
Theoretical Results

AbstractThis article proposes asymptotically unbiased estimators of autocovariances and autocorrelations for panel data with both individual and time effects. We show that the conventional autocovariance estimators suffer from the bias caused by the elimination of individual and time effects. The bias related to individual effects is proportional to the long-run variance, and it related to time effects is proportional to the value of the estimated autocovariance. For the conventional autocorrelation estimators, the elimination of time effects does not cause a bias while the elimination of individual effects does. We develop methods to estimate the long-run variance and propose bias-corrected estimators based on the proposed long-run variance estimator. We also consider the half-panel jackknife estimation for bias correction. The theoretical results are given by employing double asymptotics under which both the number of observations and the length of the time series tend to infinity. Monte Carlo simulations show that the asymptotic theory provides a good approximation to the actual bias and that the proposed bias-correction methods work well.

Finn Kydland and Edward Prescott: Driving Forces behind Economic Cycles (2004 Nobel Prize in Economics)

2005 ◽  
pp. 133-143 ◽  
Author(s):  
E. Balashova
Keyword(s):  
Nobel Prize ◽  
Driving Forces ◽  
Microeconomic Theory ◽  
Business Cycle Theory ◽  
Economic Cycles ◽  
Cyclical Fluctuations ◽  
Long Run ◽  
Time To Build ◽  
New Business ◽  
Extensive Research Program

The method of analyzing and modeling cyclical fluctuations of economy initiated by F. Kydland and E. Prescott - the 2004 Nobel Prize winners in Economics - is considered in the article. They proposed a new business cycle theory integrating the theory of long-run economic growth as well as the microeconomic theory of consumers and firms behavior. Simple version of general dynamic and stochastic macroeconomic model is described. The given approach which was formulated in their fundamental work "Time to Build and Aggregate Fluctuations" (1982) gave rise to an extensive research program and is still used as a basic instrument for investigating cyclical processes in economy nowadays.

Forming Sources of Long-run Growth: How to Understand Them?

2014 ◽  
pp. 4-20 ◽  
Author(s):  
G. Idrisov ◽  
S. Sinelnikov-Murylev
Keyword(s):  
Economic Growth ◽  
Growth Rate ◽  
Economic Policy ◽  
Business Cycle ◽  
Capital Markets ◽  
Productivity Growth ◽  
Government Spending ◽  
Long Run ◽  
Accelerate Growth ◽  
Budget Institutions

The paper analyzes the inconsequence and problems of Russian economic policy to accelerate economic growth. The authors consider three components of growth rate (potential, Russian business cycle and world business cycle components) and conclude that in order to pursue an effective economic policy to accelerate growth, it has to be addressed to the potential (long-run) growth component. The main ingredients of this policy are government spending restructuring and budget institutions reform, labor and capital markets reforms, productivity growth.

The Problem of Identifying and Modeling the Relationship between Monetary Factor and Inflation in the Russian Economy

2008 ◽  
pp. 61-76
Author(s):  
A. Porshakov ◽  
A. Ponomarenko
Keyword(s):  
Money Supply ◽  
Money Demand ◽  
Russian Economy ◽  
Long Run ◽  
Complex Approach ◽  
Wide Range ◽  
Long Time ◽  
The Relationship ◽  
Supply Side Factors

The role of monetary factor in generating inflationary processes in Russia has stimulated various debates in social and scientific circles for a relatively long time. The authors show that identification of the specificity of relationship between money and inflation requires a complex approach based on statistical modeling and involving a wide range of indicators relevant for the price changes in the economy. As a result a model of inflation for Russia implying the decomposition of inflation dynamics into demand-side and supply-side factors is suggested. The main conclusion drawn is that during the recent years the volume of inflationary pressures in the Russian economy has been determined by the deviation of money supply from money demand, rather than by money supply alone. At the same time, monetary factor has a long-run spread over time impact on inflation.

The Role of Technological Change in the Long-run Global Economy Forecasting

2013 ◽  
pp. 97-116 ◽  
Author(s):  
A. Apokin
Keyword(s):  
Technological Change ◽  
Data Quality ◽  
Long Range ◽  
Global Economy ◽  
World Economy ◽  
Qualitative Approaches ◽  
Long Run ◽  
The World ◽  
National Economies

The author compares several quantitative and qualitative approaches to forecasting to find appropriate methods to incorporate technological change in long-range forecasts of the world economy. A?number of long-run forecasts (with horizons over 10 years) for the world economy and national economies is reviewed to outline advantages and drawbacks for different ways to account for technological change. Various approaches based on their sensitivity to data quality and robustness to model misspecifications are compared and recommendations are offered on the choice of appropriate technique in long-run forecasts of the world economy in the presence of technological change.

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