Module 13: Autocorrelation Problem Module 15: Autocorrelation Problem(Contd.)
|
|
- Benedict Wade
- 6 years ago
- Views:
Transcription
1 6 P age Module 13: Autocorrelation Problem Module 15: Autocorrelation Problem(Contd.) Rudra P. Pradhan Vinod Gupta School of Management Indian Institute of Technology Kharagpur, India rudrap@vgsom.iitkgp.ernet 6
2 7 P age Now, two more tests of autocorrelation can be done. One is the graphical representation and the other is the Runs test First, the graph, which is presented below: u i 1 u i We can see there is a strong positive relation between u i and u i 1, suggesting autocorrelation of the first order, i.e., u i = u i 1 + t For the runs test, in Column VI of the above table, the total number of positive values (N 1 ), and the total number of negative values (N 2 ) are counted. We also count that R=80 times u i changed signs from positive to negative and then from negative to positive. So, for the Runs test, we have N 1 = 677, N 2 = 720, N=N 1 +N 2 = 1397, and R = 80. So, E(R) = + 1 = + 1 = Var(R) = = = Then, for 95% confidence level (or equivalently, 5% significance level), if observed R falls between E(R)±1.96 R, then there is no autocorrelation, but if it falls outside, it can be said that autocorrelation exists. Now, E(R) R = * = and E(R) R = * =
3 8 P age But observed R is 80, and it lies outside the interval [662.26, ] So, again we infer that there IS autocorrelation. So now, we can say that we cannot believe the significances of the i s that we got from OLS. We first have to remove the autocorrelation and then find the significance to make correct conclusions about which factors affect gold prices. That is, our detection of autocorrelation is over, and we can now move to the next step, that is, removal of autocorrelation. There are 4 methods to remove autocorrelation: 1. First difference Method (applicable here, since d<r 2 ) 2. Find from Durbin Watson d statistic, and use Generalised Least Squares Regression 3. Find from Eqn. 2, and use Generalised Least Squares Regression 4. Use iterative Methods like Cochrane Orcutt (need to use softwares for this) Method 1: First Difference Method: Gold price t = * USD exchange rate t + 3 * Sensex t + 4 * oil price t ( ) Gold price t 1 = * USD exchange rate t * Sensex t * oil price t 1 (Gold price t Gold price t 1 ) = 2 * (USD rate t USD rate t 1 ) + 3 * (Sensex t Sensex t 1 ) + 4 * (oil price t oil price t ) t = 2 * t + 3 * t + 4 * t where t = (Gold price t Gold price t 1 ), t = (USD rate t USD rate t 1 ), t = (Sensex t Sensex t 1 ) and t = (oil price t oil price t ) The results from the OLS are as follows: = * + ( 0.182) * * Std Error t R Durbin Watson d L = (From Durbind U = Watson Tables) 8
4 9 P age We see that the Durbin Watson d statistic shows that there is no autocorrelation in the first difference equation. Now we can believe the values of i s. t statistic for 2 is less than 2, so it is statistically insignificant => USD exchange rate does not affect gold price significantly; t statistic for 3 is more than 2, so it is statistically significant => Sensex affects gold price significantly and negatively; and t statistic for 4 is more than 2, so it is statistically significant => Oil price affects gold price significantly and positively. Method 2: Find from Durbin Watson d statistic, and use Generalised Least Squares Regression From the original OLS, we got Durbin Watson d statistic as: d =1.645 =1.692 calc =2.308 =2.355 =2.061 It has been established that for large samples, d 2(1 ). Then, 1 d/2 = /2 = 0.98 X Gold price t = * USD exchange rate t + 3 * Sensex t + 4 * oil price t ( ) * Gold price t 1 = * 1 + * 2 * USD exchange rate t 1 + * 3 * Sensex t 1 + * 4 * oil price t 1 (Gold price t * Gold price t 1 ) = ( 1 * 1 ) + 2 * (USD rate t * USD rate t 1 ) + 3 * (Sensex t * Sensex t 1 ) + 4 * (oil price t * oil price t ) t = 1 * (1 ) + 2 * t + 3 * t + 4 * t where t = (Gold price t * Gold price t 1 ), t = (USD rate t * USD rate t 1 ), t = (Sensex t * Sensex t 1 ) and t = (oil price t * oil price t ) Now we compute the above values in the following table: The results from the OLS are as follows: 9
5 10 P age = * + ( 0.182) * * Std Error t R Durbin Watson d L = (From Durbind U = Watson Tables) Here also Durbin Watson d statistic shows that there is no autocorrelation in the generalized equation. Now we can believe the values of i s. t statistic for 2 is less than 2, so it is statistically insignificant => USD exchange rate does not affect gold price significantly; t statistic for 3 is more than 2, so it is statistically significant => Sensex affects gold price significantly and negatively; and t statistic for 4 is more than 2, so it is statistically significant => Oil price affects gold price significantly and positively. Method 3: Find from Eqn. 2, and use Generalised Least Squares Regression Using the values of u t and u t 1 which were computed in the first table (Page 3), we evaluate Eqn 2 using OLS, and get the following: X d =1.645 =1.692 calc =2.308 =2.355 =1.775 u t = u t 1 + t R That is = , same as Case 2. The results of the Generalized Least Squares also are the same. Method 4: Iterative Method, specifically the Cochrane Orcutt procedure 10
6 11 P age The algebra here is more involved, so I shall not write about it. In fact, this method is normally available in any software that handles Time Series Analysis. Here I give the output : Gold price * USD Exch. Rate ( 0.181) * Sensex * oil price = + + Std Error t R Durbin Watson 2.04 d L = (From Durbind U = Watson Tables) Here also Durbin Watson d statistic shows that there is no autocorrelation in the generalized equation. Now we can believe the values of i s. t statistic for 2 is less than 2, so it is statistically insignificant => USD exchange rate does not affect gold price significantly; t statistic for 3 and 4 are more than 2, so they are statistically significant => Sensex and oil price affect gold price significantly. Final comment: From the OLS of Eqn 1, all coefficients were highly significant. But autocorrelation was detected and removed, after which only 2 coefficients remained significant. I hope this clarifies why it is necessary to detect and remove autocorrelation. References for Further Reading: Dielman, Terry E.: Applied Regression Analysis for Business and Economics, PWS Kent, Boston, Draper, N. R., and H. Smith: Applied Regression Analysis, 3d ed., John Wiley & Sons, New York, Frank, C. R., Jr.: Statistics and Econometrics, Holt, Rinehart and Winston, New York, Goldberger, Arthur S.: Introductory Econometrics, Harvard University Press, Graybill, F. A.: An Introduction to Linear Statistical Models, vol. 1, McGraw Hill, New York, Greene, William H.: Econometric Analysis, 4th ed., Prentice Hall, Englewood Cliffs, N. J., Griffiths, William E., R. Carter Hill and George G. Judge: Learning and Practicing Econometrics, John Wiley & Sons, New York, Gujarati, Damodar N.: Essentials of Econometrics, 2d ed., McGraw Hill, New York, Hill, Carter, William Griffiths, and George Judge: Undergraduate Econometrics, John Wiley & Sons, New York, Hu, Teh Wei: Econometrics: An Introductory Analysis, University Park Press, Baltimore, Johnston, J.: Econometric Methods, 3d ed., McGraw Hill, New York,
7 12 P age Katz, David A.: Econometric Theory and Applications, Prentice Hall, Englewood Cliffs, N.J., Klein, Lawrence R.: An Introduction to Econometrics, Prentice Hall, Englewood Cliffs, N.J., Koop, Gary: Analysis of Economic Data, John Wiley & Sons, New York, Koutsoyiannis, A.: Theory of Econometrics, Harper & Row, New York, Maddala, G. S.: Introduction to Econometrics, John Wiley & Sons, 3d ed., New York, Mills, T. C.: The Econometric Modelling of Financial Time Series, Cambridge University Press, Mittelhammer, Ron C., George G. Judge, and Douglas J. Miller: Econometric Foundations, Cambridge University Press, New York, Mukherjee, Chandan, Howard White, and Marc Wuyts: Econometrics and Data Analysis for Developing Countries, Routledge, New York, Pindyck, R. S., and D. L. Rubinfeld: Econometric Models and Econometric Forecasts, 4th ed., McGraw Hill, New York, Verbeek, Marno: A Guide to Modern Econometrics, John Wiley & Sons, New York, Walters, A. A.: An Introduction to Econometrics, Macmillan, London, Wooldridge, Jeffrey M.: Introductory Econometrics, South Western College Publishing, Faqs (Frequently Asked Questions): 1. Estimation using OLS on autocorrelation data results in the parameters being estimated to be a) Biased b) Inconsistent c) Asymptotically normally distributed d) Inefficient e) Efficient 2. For H O of no autocorrelation to be not rejected the Durbin Watson d statistics should be a) Equals to 2 b) Equals to zero c) Equals to 4 d) Equals to 1 e) Equals to One of the easiest ways of detecting autocorrelation is the graphical method where we a) Plot the error terms against their standardized values b) Plot the error terms against each X variable c) Plot the error terms against each Y variable d) Plot the error terms against time 4. This is not an important assumption for computing the d statistics a) The regression model includes an intercept term b) The explanatory variables are fixed in repeated sampling c) The error terms are generated by the first order auto regressive scheme d) The error terms are not correlated with each other 12
8 13 P age Self Evaluation Tests/ Quizzes 1. In a study of the determination of prices of final output at factor cost in the United Kingdom, the following results were obtained on the basis of annual data for the period : PF t = W t 0.521X t M t M t PF t-1 se = (0.992) (0.127) (0.099) (0.024) (0.039) (0.119) R 2 = d = 2.54 Where PF = prices of final output at factor cost, W = wages and salaries per employee, X = gross domestic product per person employed, M = import prices, M t 1 = import prices lagged 1 year, and PF t 1 = prices of final output at factor cost in the previous year. Since for 18 observations and 5 explanatory variables, the 5 percent lower and upper d values are 0.71 and 2.06, the estimated d value of 2.54 indicates that there is no positive autocorrelation. Comment 2. Given a sample of 50 observations and 4 explanatory variables, what can you say about autocorrelation if (a) d = 1.05? (b) d = 1.40? (c) d = 2.50? (d) d = 3.97? 3. Give circumstances under which each of the following methods of estimating the firstorder coefficient of autocorrelation ρ may be appropriate: a) First-difference regression b) Moving average regression c) Theil Nagar transform d) Cochrane and Orcutt iterative procedure e) Hildreth Lu scanning procedure f) Durbin two-step procedure 4. State whether the following statements are true or false. Briefly justify your answer. a) When autocorrelation is present, OLS estimators are biased as well as inefficient. b) The Durbin Watson d test assumes that the variance of the error term ut is homoscedastic. c) The first-difference transformation to eliminate autocorrelation assumes that the coefficient of autocorrelation ρ is 1. d) The R 2 values of two models, one involving regression in the first difference form and another in the level form, are not directly comparable. e) A significant Durbin Watson d does not necessarily mean there is autocorrelation of the first order. f) In the presence of autocorrelation, the conventionally computed variances and standard errors of forecast values are inefficient. g) The exclusion of an important variable(s) from a regression model may give a significant d value. 13
Lecture25: Simultaneous Equation Modeling(Contd.)
P age Modle 8: Simltaneos Eqation Modeling Lectre5: Simltaneos Eqation Modeling(Contd.) Rdra P. Pradhan Vinod Gpta School of Management Indian Institte of Technolog Kharagpr, India Email: rdrap@vgsom.iitkgp.ernet
More informationConfidence Intervals for Pearson s Correlation
Chapter 801 Confidence Intervals for Pearson s Correlation Introduction This routine calculates the sample size needed to obtain a specified width of a Pearson product-moment correlation coefficient confidence
More informationGetting Started in Logit and Ordered Logit Regression (ver. 3.1 beta)
Getting Started in Logit and Ordered Logit Regression (ver. 3. beta Oscar Torres-Reyna Data Consultant otorres@princeton.edu http://dss.princeton.edu/training/ Logit model Use logit models whenever your
More informationLottery Purchases and Taxable Spending: Is There a Substitution Effect?
Lottery Purchases and Taxable Spending: Is There a Substitution Effect? Kaitlin Regan April 2004 I would like to thank my advisor, Professor John Carter, for his guidance and support throughout the course
More informationTHE RELATIONSHIP BETWEEN GDP GROWTH RATE AND INFLATIONARY RATE IN GHANA: AN ELEMENTARY STATISTICAL APPROACH
THE RELATIONSHIP BETWEEN GDP GROWTH RATE AND INFLATIONARY RATE IN GHANA: AN ELEMENTARY STATISTICAL APPROACH Patrick Enu 1, Prudence Attah-Obeng 2, Edmond Hagan 3 1, 3 Methodist University College Ghana,
More informationThere are also two econometric techniques that are popular methods for linking macroeconomic factors to a time series of default probabilities:
2222 Kalakaua Avenue, 14 th Floor Honolulu, Hawaii 96815, USA telephone 808 791 9888 fax 808 791 9898 www.kamakuraco.com Kamakura Corporation CCAR Stress Tests for 2016: A Wells Fargo & Co. Example of
More informationAn Empirical Examination of Traditional Equity Valuation Models: The case of the Athens Stock Exchange
European Research Studies, Volume 7, Issue (1-) 004 An Empirical Examination of Traditional Equity Valuation Models: The case of the Athens Stock Exchange By G. A. Karathanassis*, S. N. Spilioti** Abstract
More informationEstimation, Analysis and Projection of India s GDP
MPRA Munich Personal RePEc Archive Estimation, Analysis and Projection of India s GDP Ugam Raj Daga and Rituparna Das and Bhishma Maheshwari 2004 Online at https://mpra.ub.uni-muenchen.de/22830/ MPRA Paper
More informationGetting Started in Logit and Ordered Logit Regression (ver. 3.1 beta)
Getting Started in Logit and Ordered Logit Regression (ver. 3. beta Oscar Torres-Reyna Data Consultant otorres@princeton.edu http://dss.princeton.edu/training/ Logit model Use logit models whenever your
More informationConflict of Exchange Rates
MPRA Munich Personal RePEc Archive Conflict of Exchange Rates Rituparna Das and U R Daga 2004 Online at http://mpra.ub.uni-muenchen.de/22702/ MPRA Paper No. 22702, posted 17. May 2010 13:37 UTC Econometrics
More informationCOEFFICIENT AND PRICE ELASTICITY OF DEMAND. Presented to the Graduate Council of the. North Texas State University in Partial
379 )Y0E6 3O THE RELATIONSHIP BETWEEN AN INDUSTRY AVERAGE BETA COEFFICIENT AND PRICE ELASTICITY OF DEMAND THESIS Presented to the Graduate Council of the North Texas State University in Partial Fulfillment
More informationForecasting Exchange Rate between Thai Baht and the US Dollar Using Time Series Analysis
Forecasting Exchange Rate between Thai Baht and the US Dollar Using Time Series Analysis Kunya Bowornchockchai International Science Index, Mathematical and Computational Sciences waset.org/publication/10003789
More informationTHE BEHAVIOUR OF CONSUMER S EXPENDITURE IN INDIA:
48 ABSTRACT THE BEHAVIOUR OF CONSUMER S EXPENDITURE IN INDIA: 1975-2008 DR.S.LIMBAGOUD* *Professor of Economics, Department of Applied Economics, Telangana University, Nizamabad A.P. The relation between
More informationChapter 4 Level of Volatility in the Indian Stock Market
Chapter 4 Level of Volatility in the Indian Stock Market Measurement of volatility is an important issue in financial econometrics. The main reason for the prominent role that volatility plays in financial
More informationComparative Study of the Factors Affecting Stock Return in the Companies of Refinery and Petrochemical Listed in Tehran Stock Exchange
Comparative Study of the Factors Affecting Stock Return in the Companies of Refinery and Petrochemical Listed in Tehran Stock Exchange Reza Tehrani, Albert Boghosian, Shayesteh Bouzari Abstract This study
More informationThe Simple Regression Model
Chapter 2 Wooldridge: Introductory Econometrics: A Modern Approach, 5e Definition of the simple linear regression model Explains variable in terms of variable Intercept Slope parameter Dependent variable,
More informationAnalysis of Stock Price Behaviour around Bonus Issue:
BHAVAN S INTERNATIONAL JOURNAL of BUSINESS Vol:3, 1 (2009) 18-31 ISSN 0974-0082 Analysis of Stock Price Behaviour around Bonus Issue: A Test of Semi-Strong Efficiency of Indian Capital Market Charles Lasrado
More informationPutting the Econ into Econometrics
Putting the Econ into Econometrics Jeffrey H. Dorfman and Christopher S. McIntosh Department of Agricultural & Applied Economics University of Georgia May 1998 Draft for presentation to the 1998 AAEA Meetings
More informationThe Simple Regression Model
Chapter 2 Wooldridge: Introductory Econometrics: A Modern Approach, 5e Definition of the simple linear regression model "Explains variable in terms of variable " Intercept Slope parameter Dependent var,
More informationEconometric Methods for Valuation Analysis
Econometric Methods for Valuation Analysis Margarita Genius Dept of Economics M. Genius (Univ. of Crete) Econometric Methods for Valuation Analysis Cagliari, 2017 1 / 26 Correlation Analysis Simple Regression
More informationIncorporation of Fixed-Flexible Exchange Rates in Econometric Trade Models: A Grafted Polynomial Approach
CARD Working Papers CARD Reports and Working Papers 7-1986 Incorporation of Fixed-Flexible Exchange Rates in Econometric Trade Models: A Grafted Polynomial Approach Zong-Shin Liu Iowa State University
More informationNPTEL Project. Econometric Modelling. Module 16: Qualitative Response Regression Modelling. Lecture 20: Qualitative Response Regression Modelling
1 P age NPTEL Project Econometric Modelling Vinod Gupta School of Management Module 16: Qualitative Response Regression Modelling Lecture 20: Qualitative Response Regression Modelling Rudra P. Pradhan
More informationDO SHARE PRICES FOLLOW A RANDOM WALK?
DO SHARE PRICES FOLLOW A RANDOM WALK? MICHAEL SHERLOCK Senior Sophister Ever since it was proposed in the early 1960s, the Efficient Market Hypothesis has come to occupy a sacred position within the belief
More informationCHAPTER III METHODOLOGY
CHAPTER III METHODOLOGY 3.1 Description In this chapter, the calculation steps, which will be done in the analysis section, will be explained. The theoretical foundations and literature reviews are already
More informationA SEARCH FOR A STABLE LONG RUN MONEY DEMAND FUNCTION FOR THE US
A. Journal. Bis. Stus. 5(3):01-12, May 2015 An online Journal of G -Science Implementation & Publication, website: www.gscience.net A SEARCH FOR A STABLE LONG RUN MONEY DEMAND FUNCTION FOR THE US H. HUSAIN
More informationCeria Minati Singarimbun and Ana Noveria School of Business and Management Institut Teknologi Bandung, Indonesia
JOURNAL OF BUSINESS AND MANAGEMENT Vol. 3, No.4, 2014: 401-409 THE RELATIONSHIP AMONG OIL PRICES, GOLD PRICES, GROSS DOMESTIC PRODUCT, AND INTEREST RATE TO THE STOCK MARKET RETURN OF BASIC INDUSTRY AND
More informationFactor Affecting Yields for Treasury Bills In Pakistan?
Factor Affecting Yields for Treasury Bills In Pakistan? Masood Urahman* Department of Applied Economics, Institute of Management Sciences 1-A, Sector E-5, Phase VII, Hayatabad, Peshawar, Pakistan Muhammad
More informationTRENDS IN THE INTEREST RATE INVESTMENT GDP GROWTH RELATIONSHIP
TRENDS IN THE INTEREST RATE INVESTMENT GDP GROWTH RELATIONSHIP Lucian-Liviu ALBU * Abstract In the last years it seemed that the Romanian economy leading up to access to the EU was going to enter a new
More informationInternational journal of advanced production and industrial engineering (A Blind Peer Reviewed Journal)
IJAPIE-2016-10-406, Vol 1(4), 40-44 International journal of advanced production and industrial engineering (A Blind Peer Reviewed Journal) Consumption and Market Beta: Empirical Evidence from India Nand
More informationA Test of the Normality Assumption in the Ordered Probit Model *
A Test of the Normality Assumption in the Ordered Probit Model * Paul A. Johnson Working Paper No. 34 March 1996 * Assistant Professor, Vassar College. I thank Jahyeong Koo, Jim Ziliak and an anonymous
More informationA STUDY OF ELASTICITY OF PLAN AND NON-PLAN EXPENDITURE OF GOVERNMENT OF MAHARASHTRA By Dr. Ajay Dixit
A STUDY OF ELASTICITY OF PLAN AND NON-PLAN EXPENDITURE OF GOVERNMENT OF MAHARASHTRA By Dr. Ajay Dixit Abstract: Planning process in India initiates the Plan and non-plan expenditure categories of the total
More informationFactors Affecting the Volatility of the Jakarta Composite Index before and after the Merger of Two Stock and Bond Markets in Indonesia
Asian Social Science; Vol. 10, No. 22; 2014 ISSN 1911-2017 E-ISSN 1911-2025 Published by Canadian Center of Science and Education Factors Affecting the Volatility of the Jakarta Composite Index before
More informationWorking Paper Series May David S. Allen* Associate Professor of Finance. Allen B. Atkins Associate Professor of Finance.
CBA NAU College of Business Administration Northern Arizona University Box 15066 Flagstaff AZ 86011 How Well Do Conventional Stock Market Indicators Predict Stock Market Movements? Working Paper Series
More informationINFLATION TARGETING AND INDIA
INFLATION TARGETING AND INDIA CAN MONETARY POLICY IN INDIA FOLLOW INFLATION TARGETING AND ARE THE MONETARY POLICY REACTION FUNCTIONS ASYMMETRIC? Abstract Vineeth Mohandas Department of Economics, Pondicherry
More informationstarting on 5/1/1953 up until 2/1/2017.
An Actuary s Guide to Financial Applications: Examples with EViews By William Bourgeois An actuary is a business professional who uses statistics to determine and analyze risks for companies. In this guide,
More informationVolume 37, Issue 2. Handling Endogeneity in Stochastic Frontier Analysis
Volume 37, Issue 2 Handling Endogeneity in Stochastic Frontier Analysis Mustafa U. Karakaplan Georgetown University Levent Kutlu Georgia Institute of Technology Abstract We present a general maximum likelihood
More informationDemand and Supply for Residential Housing in Urban China. Gregory C Chow Princeton University. Linlin Niu WISE, Xiamen University.
Demand and Supply for Residential Housing in Urban China Gregory C Chow Princeton University Linlin Niu WISE, Xiamen University. August 2009 1. Introduction Ever since residential housing in urban China
More informationHow High A Hedge Is High Enough? An Empirical Test of NZSE10 Futures.
How High A Hedge Is High Enough? An Empirical Test of NZSE1 Futures. Liping Zou, William R. Wilson 1 and John F. Pinfold Massey University at Albany, Private Bag 1294, Auckland, New Zealand Abstract Undoubtedly,
More informationMultivariate Regression Analysis of Oil Price Volatility on GDP Growth in Kenya
American Journal of Theoretical and Applied Statistics 207; 6(): 44- http://wwwsciencepublishinggroupcom/j/ajtas doi: 0648/jajtas2070606 ISSN: 2326-8999 (Print); ISSN: 2326-9006 (Online) Multivariate Regression
More informationRelationship between Financial Performance and Systematic Risk: Case Study on Jordan Commercial Banks Listed in Amman Stock Exchange
0222 0222 Relationship between Financial Performance and Systematic Risk: Case Study on Jordan Commercial Banks Listed in Amman Stock Exchange Abstract The objective of the study is to examine the relationship
More informationRelationship between Broadband and Internet Use amongst Swedish Companies
Mathematical Statistics Stockholm University Relationship between Broadband and Internet Use amongst Swedish Companies 2001 2005 Malin Nilsson Examensarbete 2008:10 Postal address: Mathematical Statistics
More informationMortality Rates Estimation Using Whittaker-Henderson Graduation Technique
MATIMYÁS MATEMATIKA Journal of the Mathematical Society of the Philippines ISSN 0115-6926 Vol. 39 Special Issue (2016) pp. 7-16 Mortality Rates Estimation Using Whittaker-Henderson Graduation Technique
More informationIntroduction to Population Modeling
Introduction to Population Modeling In addition to estimating the size of a population, it is often beneficial to estimate how the population size changes over time. Ecologists often uses models to create
More informationCan Increasing Educational Budget Reduce Unemployment Rate?
American Journal of Economics 2016, 6(1): 15-21 DOI: 10.5923/j.economics.20160601.02 Can Increasing Educational Budget Reduce Unemployment Rate? Ko-Ming Ni Department of Information Management, Ling Tung
More informationTesting Forward Rate Unbiasedness in India an Econometric Analysis of Indo-US Forex Market
International Research Journal of Finance and Economics ISSN 1450-2887 Issue 12 (2007) EuroJournals Publishing, Inc. 2007 http://www.eurojournals.com/finance.htm Testing Forward Rate Unbiasedness in India
More informationSt. Xavier s College Autonomous Mumbai. Syllabus For 2 nd Semester Course in Statistics (June 2015 onwards)
St. Xavier s College Autonomous Mumbai Syllabus For 2 nd Semester Course in Statistics (June 2015 onwards) Contents: Theory Syllabus for Courses: S.STA.2.01 Descriptive Statistics (B) S.STA.2.02 Statistical
More informationInvestment in Physical Capital, Investment in Health and Economic Growth in China
Investment in Physical Capital, Investment in Health and Economic Growth in China AUTHORS ARTICLE INFO JOURNAL FOUNDER Xie Xiaoqing Xie Xiaoqing (2005). Investment in Physical Capital, Investment in Health
More informationGENERATION OF STANDARD NORMAL RANDOM NUMBERS. Naveen Kumar Boiroju and M. Krishna Reddy
GENERATION OF STANDARD NORMAL RANDOM NUMBERS Naveen Kumar Boiroju and M. Krishna Reddy Department of Statistics, Osmania University, Hyderabad- 500 007, INDIA Email: nanibyrozu@gmail.com, reddymk54@gmail.com
More informationExperience from early tort reforms: comparative negligence since (economic aspects of comparative negligence vs. contributory negligence)
Experience from early tort reforms: comparative negligence since 1974. (economic aspects of comparative negligence vs. contributory negligence) By: George B. Flanigan, Joseph E. Johnson, Daniel T. Winkler
More informationThe Determination of Municipal Budget Incomes in Lithuania
The Determination of Municipal Budget Incomes in Lithuania Mark William Shaw Chandler* Submitted for the conference: Government, Market and the Civic Sector: The Search for a Productive Partnership, 9
More informationA multiple regression model for inflation rate in Romania in the enlarged EU
MPRA Munich Personal RePEc Archive A multiple regression model for inflation rate in Romania in the enlarged EU Eugen Falnita and Ciprian Sipos 15. January 2007 Online at http://mpra.ub.uni-muenchen.de/11473/
More informationFinancial Econometrics: Problem Set # 3 Solutions
Financial Econometrics: Problem Set # 3 Solutions N Vera Chau The University of Chicago: Booth February 9, 219 1 a. You can generate the returns using the exact same strategy as given in problem 2 below.
More informationCopyrighted 2007 FINANCIAL VARIABLES EFFECT ON THE U.S. GROSS PRIVATE DOMESTIC INVESTMENT (GPDI)
FINANCIAL VARIABLES EFFECT ON THE U.S. GROSS PRIVATE DOMESTIC INVESTMENT (GPDI) 1959-21 Byron E. Bell Department of Mathematics, Olive-Harvey College Chicago, Illinois, 6628, USA Abstract I studied what
More informationMONEY, PRICES, INCOME AND CAUSALITY: A CASE STUDY OF PAKISTAN
The Journal of Commerce, Vol. 4, No. 4 ISSN: 2218-8118, 2220-6043 Hailey College of Commerce, University of the Punjab, PAKISTAN MONEY, PRICES, INCOME AND CAUSALITY: A CASE STUDY OF PAKISTAN Dr. Nisar
More informationF UNCTIONAL R ELATIONSHIPS BETWEEN S TOCK P RICES AND CDS S PREADS
F UNCTIONAL R ELATIONSHIPS BETWEEN S TOCK P RICES AND CDS S PREADS Amelie Hüttner XAIA Investment GmbH Sonnenstraße 19, 80331 München, Germany amelie.huettner@xaia.com March 19, 014 Abstract We aim to
More informationEconometric Models for the Analysis of Financial Portfolios
Econometric Models for the Analysis of Financial Portfolios Professor Gabriela Victoria ANGHELACHE, Ph.D. Academy of Economic Studies Bucharest Professor Constantin ANGHELACHE, Ph.D. Artifex University
More informationSt. Xavier s College Autonomous Mumbai T.Y.B.A. Syllabus For 5 th Semester Courses in Statistics (June 2016 onwards)
St. Xavier s College Autonomous Mumbai T.Y.B.A. Syllabus For 5 th Semester Courses in Statistics (June 2016 onwards) Contents: Theory Syllabus for Courses: A.STA.5.01 Probability & Sampling Distributions
More informationWAGE DIFFERENTIALS IN THE CZECH AGRICULTURAL SECTOR IN THE PERIOD OF THE 1ST QUARTER 2000 TO THE 3RD QUARTER 2012 AND LABOR PRODUCTIVITY
WAGE DIFFERENTIALS IN THE CZECH AGRICULTURAL SECTOR IN THE PERIOD OF THE 1ST QUARTER 2000 TO THE 3RD QUARTER 2012 AND LABOR PRODUCTIVITY Marta Grycova, Ing. Czech University of Life Sciences in Prague,
More informationTEACHING NOTE 00-03: MODELING ASSET PRICES AS STOCHASTIC PROCESSES II. is non-stochastic and equal to dt. From these results we state the following:
TEACHING NOTE 00-03: MODELING ASSET PRICES AS STOCHASTIC PROCESSES II Version date: August 1, 2001 D:\TN00-03.WPD This note continues TN96-04, Modeling Asset Prices as Stochastic Processes I. It derives
More informationMultiple Regression. Review of Regression with One Predictor
Fall Semester, 2001 Statistics 621 Lecture 4 Robert Stine 1 Preliminaries Multiple Regression Grading on this and other assignments Assignment will get placed in folder of first member of Learning Team.
More informationBasic Financial Statement Analysis Practices: A Study on Infosys
Basic Financial Statement Analysis Practices: A Study on Infosys Medarapu Sudhakar Kakatiya University- Warangal Telangana, INDIA Abstract: The Balance Sheet, also called a statement of financial position,
More informationJacek Prokop a, *, Ewa Baranowska-Prokop b
Available online at www.sciencedirect.com Procedia Economics and Finance 1 ( 2012 ) 321 329 International Conference On Applied Economics (ICOAE) 2012 The efficiency of foreign borrowing: the case of Poland
More informationOpenness and Inflation
Openness and Inflation Based on David Romer s Paper Openness and Inflation: Theory and Evidence ECON 5341 Vinko Kaurin Introduction Link between openness and inflation explored Basic OLS model: y = β 0
More informationThe data definition file provided by the authors is reproduced below: Obs: 1500 home sales in Stockton, CA from Oct 1, 1996 to Nov 30, 1998
Economics 312 Sample Project Report Jeffrey Parker Introduction This project is based on Exercise 2.12 on page 81 of the Hill, Griffiths, and Lim text. It examines how the sale price of houses in Stockton,
More informationBooth School of Business, University of Chicago Business 41202, Spring Quarter 2014, Mr. Ruey S. Tsay. Solutions to Midterm
Booth School of Business, University of Chicago Business 41202, Spring Quarter 2014, Mr. Ruey S. Tsay Solutions to Midterm Problem A: (30 pts) Answer briefly the following questions. Each question has
More informationGraduated from Glasgow University in 2009: BSc with Honours in Mathematics and Statistics.
The statistical dilemma: Forecasting future losses for IFRS 9 under a benign economic environment, a trade off between statistical robustness and business need. Katie Cleary Introduction Presenter: Katie
More informationImpact of Weekdays on the Return Rate of Stock Price Index: Evidence from the Stock Exchange of Thailand
Journal of Finance and Accounting 2018; 6(1): 35-41 http://www.sciencepublishinggroup.com/j/jfa doi: 10.11648/j.jfa.20180601.15 ISSN: 2330-7331 (Print); ISSN: 2330-7323 (Online) Impact of Weekdays on the
More informationPowered by TCPDF (
Powered by TCPDF (www.tcpdf.org) Title GOVERNMENT EXPENDITURE AND ECONOMIC GROWTH: REFLECTIONS ON PROFESSOR RAM'S APPROACH, A NEW FRAMEWORK AND SOME EVIDENCE FROM NEW ZEALAND TIME-SERIES DATA Sub Title
More informationThe Evidence for Differences in Risk for Fixed vs Mobile Telecoms For the Office of Communications (Ofcom)
The Evidence for Differences in Risk for Fixed vs Mobile Telecoms For the Office of Communications (Ofcom) November 2017 Project Team Dr. Richard Hern Marija Spasovska Aldo Motta NERA Economic Consulting
More informationAnalysis of the Influence of the Annualized Rate of Rentability on the Unit Value of the Net Assets of the Private Administered Pension Fund NN
Year XVIII No. 20/2018 175 Analysis of the Influence of the Annualized Rate of Rentability on the Unit Value of the Net Assets of the Private Administered Pension Fund NN Constantin DURAC 1 1 University
More informationAn Examination of the Net Interest Margin Aas Determinants of Banks Profitability in the Kosovo Banking System
EUROPEAN ACADEMIC RESEARCH Vol. II, Issue 5/ August 2014 ISSN 2286-4822 www.euacademic.org Impact Factor: 3.1 (UIF) DRJI Value: 5.9 (B+) An Examination of the Net Interest Margin Aas Determinants of Banks
More informationThe analysis of the multivariate linear regression model of. soybean future influencing factors
Volume 4 - Issue 4 April 218 PP. 39-44 The analysis of the multivariate linear regression model of soybean future influencing factors Jie He a,b Fang Chen a,b * a,b Department of Mathematics and Finance
More informationConference: Southern Agricultural Economics Association (2007 Annual Meeting, February 4-7, 2007, Mobile, Alabama) Authors: Chavez, Salin, and
Conference: Southern Agricultural Economics Association (2007 Annual Meeting, February 4-7, 2007, Mobile, Alabama) Authors: Chavez, Salin, and Robinson Texas A&M University Department of Agricultural Economics
More informationBalance of payments and policies that affects its positioning in Nigeria
MPRA Munich Personal RePEc Archive Balance of payments and policies that affects its positioning in Nigeria Anulika Azubike Nnamdi Azikiwe University, Awka, Anambra State, Nigeria. 1 November 2016 Online
More informationMethods for A Time Series Approach to Estimating Excess Mortality Rates in Puerto Rico, Post Maria 1 Menzie Chinn 2 August 10, 2018 Procedure:
Methods for A Time Series Approach to Estimating Excess Mortality Rates in Puerto Rico, Post Maria 1 Menzie Chinn 2 August 10, 2018 Procedure: Estimate relationship between mortality as recorded and population
More informationPresidential and Congressional Vote-Share Equations: November 2018 Update
Presidential and Congressional Vote-Share Equations: November 2018 Update Ray C. Fair November 14, 2018 Abstract The three vote-share equations in Fair (2009) are updated using data available as of November
More informationSt. Xavier s College Autonomous Mumbai STATISTICS. F.Y.B.Sc. Syllabus For 1 st Semester Courses in Statistics (June 2015 onwards)
St. Xavier s College Autonomous Mumbai STATISTICS F.Y.B.Sc Syllabus For 1 st Semester Courses in Statistics (June 2015 onwards) Contents: Theory Syllabus for Courses: S.STA.1.01 Descriptive Statistics
More informationSensex Realized Volatility Index (REALVOL)
Sensex Realized Volatility Index (REALVOL) Introduction Volatility modelling has traditionally relied on complex econometric procedures in order to accommodate the inherent latent character of volatility.
More informationAN EMPIRICAL ANALYSIS OF THE PUBLIC DEBT RELEVANCE TO THE ECONOMIC GROWTH OF THE USA
AN EMPIRICAL ANALYSIS OF THE PUBLIC DEBT RELEVANCE TO THE ECONOMIC GROWTH OF THE USA Petar Kurečić University North, Koprivnica, Trg Žarka Dolinara 1, Croatia petar.kurecic@unin.hr Marin Milković University
More informationTime series data: Part 2
Plot of Epsilon over Time -- Case 1 1 Time series data: Part Epsilon - 1 - - - -1 1 51 7 11 1 151 17 Time period Plot of Epsilon over Time -- Case Plot of Epsilon over Time -- Case 3 1 3 1 Epsilon - Epsilon
More informationVolume 35, Issue 1. Thai-Ha Le RMIT University (Vietnam Campus)
Volume 35, Issue 1 Exchange rate determination in Vietnam Thai-Ha Le RMIT University (Vietnam Campus) Abstract This study investigates the determinants of the exchange rate in Vietnam and suggests policy
More informationIMPACT OF MACROECONOMIC VARIABLE ON STOCK MARKET RETURN AND ITS VOLATILITY
7 IMPACT OF MACROECONOMIC VARIABLE ON STOCK MARKET RETURN AND ITS VOLATILITY 7.1 Introduction: In the recent past, worldwide there have been certain changes in the economic policies of a no. of countries.
More informationROMANIAN COMPANIES INCREASING PERFORMANCE UNDER THE INFLUENCE OF
81 ANNALS OF THE UNIVERSITY OF CRAIOVA ECONOMIC SCIENCES Year XXXXI No. 39 2011 ROMANIAN COMPANIES INCREASING PERFORMANCE UNDER THE INFLUENCE OF THEIER CAPITALIZATION STOCK Assoc. Prof. Dalia Simion Ph.
More informationMulti-Path General-to-Specific Modelling with OxMetrics
Multi-Path General-to-Specific Modelling with OxMetrics Genaro Sucarrat (Department of Economics, UC3M) http://www.eco.uc3m.es/sucarrat/ 1 April 2009 (Corrected for errata 22 November 2010) Outline: 1.
More informationIS INFLATION VOLATILITY CORRELATED FOR THE US AND CANADA?
IS INFLATION VOLATILITY CORRELATED FOR THE US AND CANADA? C. Barry Pfitzner, Department of Economics/Business, Randolph-Macon College, Ashland, VA, bpfitzne@rmc.edu ABSTRACT This paper investigates the
More informationTHE APPLICATION OF THE LAFFER CURVE IN THE ECONOMY OF TURKEY
Uluslararası Sosyal Araştırmalar Dergisi The Journal of International Social Research Cilt: 10 Sayı: 50 Volume: 10 Issue: 50 Haziran 2017 June 2017 www.sosyalarastirmalar.com Issn: 1307-9581 THE APPLICATION
More informationCOURSE LECTURER: DR. O.F. ASHAOLU
UNIVERSITY OF AGRICULTURE, ABEOKUTA DEPARTMENT OF AGRICULTURAL ECONOMICS AND FARM MANAGEMENT Course Title: Production Economics, Farm Management & Accounting. Course Code: AEM 501 Semester: First No. of
More informationEconometric Methods for Valuation Analysis
Econometric Methods for Valuation Analysis Margarita Genius Dept of Economics M. Genius (Univ. of Crete) Econometric Methods for Valuation Analysis Cagliari, 2017 1 / 25 Outline We will consider econometric
More informationInfluence of Macroeconomic Indicators on Mutual Funds Market in India
Influence of Macroeconomic Indicators on Mutual Funds Market in India KAVITA Research Scholar, Department of Commerce, Punjabi University, Patiala (India) DR. J.S. PASRICHA Professor, Department of Commerce,
More informationFactors Affecting the Movement of Stock Market: Evidence from India
Factors Affecting the Movement of Stock Market: Evidence from India V. Ramanujam Assistant Professor, Bharathiar School of Management and Entrepreneur Development, Bharathiar University, Coimbatore, Tamil
More informationThe Trend of the Gender Wage Gap Over the Business Cycle
Gettysburg Economic Review Volume 4 Article 5 2010 The Trend of the Gender Wage Gap Over the Business Cycle Nicholas J. Finio Gettysburg College Class of 2010 Follow this and additional works at: http://cupola.gettysburg.edu/ger
More informationTHE IMPACT OF OIL REVENUES ON BUDGET DEFICIT IN SELECTED OIL COUNTRIES
THE IMPACT OF OIL REVENUES ON BUDGET DEFICIT IN SELECTED OIL COUNTRIES Mohammadreza Monjazeb, Arezoo Choghayi and Masumeh Rezaee Economic department, University of Economic Sciences Abstract The purpose
More informationTHE IMPACT OF BANKING RISKS ON THE CAPITAL OF COMMERCIAL BANKS IN LIBYA
THE IMPACT OF BANKING RISKS ON THE CAPITAL OF COMMERCIAL BANKS IN LIBYA Azeddin ARAB Kastamonu University, Turkey, Institute for Social Sciences, Department of Business Abstract: The objective of this
More informationWhy Housing Gap; Willingness or Eligibility to Mortgage Financing By Respondents in Uasin Gishu, Kenya
Journal of Emerging Trends in Economics and Management Sciences (JETEMS) 6(4):66-75 Journal Scholarlink of Emerging Research Trends Institute in Economics Journals, and 015 Management (ISSN: 141-704) Sciences
More informationInterrelationship between Profitability, Financial Leverage and Capital Structure of Textile Industry in India Dr. Ruchi Malhotra
Interrelationship between Profitability, Financial Leverage and Capital Structure of Textile Industry in India Dr. Ruchi Malhotra Assistant Professor, Department of Commerce, Sri Guru Granth Sahib World
More informationExample 1 of econometric analysis: the Market Model
Example 1 of econometric analysis: the Market Model IGIDR, Bombay 14 November, 2008 The Market Model Investors want an equation predicting the return from investing in alternative securities. Return is
More informationAvailable on Gale & affiliated international databases. AsiaNet PAKISTAN. JHSS XX, No. 2, 2012
Available on Gale & affiliated international databases AsiaNet PAKISTAN Journal of Humanities & Social Sciences University of Peshawar JHSS XX, No. 2, 2012 Impact of Interest Rate and Inflation on Stock
More informationComputer Lab Session 3 The Generalized Linear Regression Model
JBS Masters in Finance Econometrics Module Michaelmas 2010 Thilo Klein http://thiloklein.de Contents Computer Lab Session 3 The Generalized Linear Regression Model Exercise 1. Heteroskedasticity (1)...
More information23.1. Assumptions of Capital Market Theory
NPTEL Course Course Title: Security Analysis and Portfolio anagement Course Coordinator: Dr. Jitendra ahakud odule-12 Session-23 Capital arket Theory-I Capital market theory extends portfolio theory and
More informationModeling the volatility of FTSE All Share Index Returns
MPRA Munich Personal RePEc Archive Modeling the volatility of FTSE All Share Index Returns Bayraci, Selcuk University of Exeter, Yeditepe University 27. April 2007 Online at http://mpra.ub.uni-muenchen.de/28095/
More information