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Dynamic Econometrics
Abstract
This book confronts the practical problems of modelling aggregate time series data, in a systematic and intergrated framework. The main problem in econometric modelling of time series is discovering sustainable and interpretable relationships between observed economic variables. The primary aim of this book is to develop an operational econometric approach which allows constructive modelling. Professor Hendry deals with methodological issues (model discovery, data mining, and progressive research strategies); with major tools for modelling (recursive methods, encompassing, super exogeneity, invariance tests); and with practical problems (collinearity, heteroscedasticity, and measurement errors). He also includes an extensive study of US money demand. The book is self-contained, with the technical background covered in appendices. It is thus suitable for first year graduate students, and includes solved examples and exercises to facilitate its use in teaching. Available in OSO: http://www.oxfordscholarship.com/oso/public/content/economicsfinance/0198283164/toc.html
... Posteriormente, utilizando al vector de cointegración definido en la ecuación (3) de la demanda de electricidad residencial, se procede a obtener un modelo econométrico final en su forma de corrección de error (ECM) (Engel y Granger, 1987), con base en el procedimiento de lo general a lo específico (Hendry, 1995). ...
... Periodo: 1994-2018 Los vectores de cointegración del procedimientode Johansen (1995) pueden utilizarse como mecanismos de corrección de errores (ECM)(Engel y Granger, 1987) para construir los modelos econométricos generales (ecuación 2)(Hendry, 1995). ...
The objective of this article is to estimate the income and price elasticities of the demand of residential electricity for Argentina, Brazil, Chile y Colombia (ABCM) with the Johansen (1995) procedure for the period 1980-2018 and the simulation of some prospective scenarios to 2030. The results show that the income elasticities of the demand of residential electricity are 1.00, 0.93, 1.01 y de 0.61 and the price elasticities of the demand of residential electricity are -0.16, -0.28, -0.14 and -0.08 for Argentina, Brazil, Chile y Colombia, respectively. Also, there is a positive effect of the temperature around 0.5 for all these countries over the demand of residential electricity confirming the presence of circular causation between de demand of electricity and climate change.
... The error correction or adjustment coefficients are reported in which is a matrix, while the long run The literature discusses five models for appropriate treatment of deterministic components. These include (Johansen & Juseliu, 1990: Johansen, 1991: Hendry, 1995: Enders, 2004) amongst others. The study uses the (Pantula, 1989) principle to determine the trend specification for the cointegration equation. ...
... The standard approach with spatial econometric models would be to establish a benchmark model that needs to be expanded with spatial interaction effects (Hendry, 1995). With this aim, we start with a non-spatial linear OLS regression: ...
Cities are certainly a key factor in the location of gambling facilities. This paper aims to map the location of gambling outlets in urban areas and to examine potential links between neighborhoods socioeconomic and demographic characteristics and gambling supply, taking into account spatial dependencies of neighboring areas. This correlation is of interest because neighborhood characteristics may attract sellers, and because the presence of gambling sellers may cause changes in neighborhood demographics. Using detailed official data from the city of Madrid for the year 2017, three spatial econometric approaches are considered: spatial autoregressive (SAR) model, spatial error model (SEM) and spatial lag of X (explicative variables) model (SLX). Empirical analysis finds a strong correlation between neighborhoods characteristics and co-location of gambling outlets, highlighting a specific geographic patterning of distribution within more disadvantaged urban areas. This may have interesting implications for gambling stakeholders and for local governments when it comes to the introduction and/or increase of gambling availability.
Using data from 37 OECD countries during the 1980–2020 period, this paper seeks to quantify the potential role and impacts of pension expenditures for reducing old-age poverty (66–75 and 76-and-over age groups). To that end, we applied panel data techniques controlling for key macroeconomic and demographic variables. Our results suggest that pension expenditure shows a linear and nonlinear impact on old-age poverty rates. The estimated elasticities increase (in absolute value) with the ratio of public pension expenditure to GDP, being higher (in absolute value) for the 76-and-over than for the 66–75 age group, suggesting a larger impact of pension expenditure on poverty for the oldest population group. When evaluating how each explanatory variable explains the poverty rates, we found that the macroeconomic situation is the main driver of its reduction, followed by public pension expenditure. Applying the panel dynamic threshold model, we also endogenously identified a common threshold of 7.21 in the ratio of public pension expenditures to GDP in the relationship between this variable and the poverty rate of both age groups. These results hold across various sensitivity analyses testing for structural breaks and heterogeneous relationships in the baseline empirical model and for the possibility of multiple thresholds in the threshold model. Our findings have significant implications for policymakers and researchers interested in social welfare and economic policy, providing evidence supporting the role of pension expenditures in reducing poverty among the elderly.
We lament a limited understanding of data analytics and its fingerprints in data science, data mining, big data, and artificial intelligence, in the form of narrow focus on some steps in data science or applied statistics generally. This paper widens perspectives by examining an integrated data and business analytics system which milks deep research and enterprise development insights from data analytics. It argues that what companies who can afford such integrated data and business analytics pay for is not only the technical data analytics steps but also the wider ambience of business science, including integrated business modelling and development, ramified insight development, and clearly structured value creation. This includes solving complete users’ problem identified by frontloading user research in the analytics, using a hybrid statistical and strategic problem-solving model which is informed by the Balanced Scorecard to elicit cogent business solutions from the data analytics results, and more generally helping users and client organisations to realise applicable affordances of a phlegmatic Oselux Vision.
This paper aims to analyse the interactive role of fiscal and monetary policies in promoting inclusive growth. In this attempt, we use a panel data of 51 developing countries for the period 1995-2017 and employ state-of-the-art panel data estimation methods. The paper concludes that expansionary fiscal and monetary policies both affect economic inclusiveness in the developing region. However, it is observed that high expenditures in developing countries, which lead to debt crises, not only directly affect economic inclusiveness but also reduce the effectiveness of monetary policy. Therefore, the governments in these countries may consider cutting their spending. Thus, an increase in the money supply with a low to median level of government expenditure is a favourable policy option.
We evaluate residual projection strategies in the context of a large-scale macro model of the euro area and smaller benchmark time-series models. The exercises attempt to measure the accuracy of model-based forecasts simulated both out-of-sample and in-sample. Both exercises incorporate alternative residual-projection methods, to assess the importance of unaccounted-for breaks in forecast accuracy and off-model judgment. Conclusions reached are that simple mechanical residual adjustments have a significant impact of forecasting accuracy irrespective of the model in use, ostensibly due to the presence of breaks in trends in the data. The testing procedure and conclusions are applicable to a wide class of models and thus of general interest. JEL Classification: C52, E30, E32, E37.
Books reviewed in this article:
David F. Hendry (1993) Econometrics: Alchemy or Science? Essays in Econometric Methodology
Economic Forecast-ing Econometrics: Alchemy or Science
- M P Clements
- D F Hendry
Clements, M.P. and D.F. Hendry, 1995, Economic Forecast-ing, Cambridge University Press, Cambridge. Hendry, D.F., 1993, Econometrics: Alchemy or Science? Blackwell Publishers, Oxford.