8,892 research outputs found
Cointegration and Forward and Spot Exchange Rate Regressions
No full textIn this paper we investigate in detail the relationship between models of cointegration between the current spot exchange rate, st, and the current forward rate, ft, and models of cointegration between the future spot rate, st+1, and ft and the implications of this relationship for tests of the forward rate unbiasedness hypothesis (FRUH). We argue that simple models of cointegration between st and ft more easily capture the stylized facts of typical exchange rate data than simple models of cointegration between st+1 and ft and so serve as a natural starting point for the analysis of exchange rate behavior. We show that simple models of cointegration between st and ft imply rather complicated models of cointegration between st+1 and ft. As a result, standard methods are often not appropriate for modeling the cointegrated behavior of (st+1, ft)' and we show that the use of such methods can lead to erroneous inferences regarding the FRUH.cointegration, exchange rates, forward rate unbiasedness, weak exogeneity
State Space Modeling Using SsfPack in S+FinMetrics 3.0
No full textThis paper presents two illustrations of state space modeling in S-PLUS using the SsfPack 3.0 routines implemented in S+FinMetrics 3.0. The state space modeling functions in S+FinMetrics/SsfPack are extremely flexible and powerful and can be used for a wide variety of linear Gaussian state space models and for some non-linear and non-Gaussian state space models.
ROSENTHAL, Eric Inventory of documents
No full textCOVERAGE 1904; 1 File; 011 metre.Private papers of Eric Rosenthal, author, journalist and broadcaster
Modeling financial time series with S-plus
No full textThe field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics This is the first book to show the power of S-PLUS for the analysis of time series data It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department at the University of Washington, and is co-director of the nascent Professional Master's Program in Computational Finance He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T Buechel Award for Outstanding Teaching He is an associate editor of the Journal of Business and Economic Statistics and Studies in Nonlinear Dynamics and Econometrics He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics Jiahui Wang is a Research Scientist at Insightful Corporation He received a PhD in Economics from the university of Washington in 1997 He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants In 2002 Dr Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centr
A new method of projection-based inference in GMM with weakly identified nuisance parameters
No full textProjection-based methods of inference on subsets of parameters are useful for obtaining tests that do not over-reject the true parameter values. However, they are also often criticized for being conservative. We show that the usual method of pro jection can be modifed to obtain tests that are as powerful as the conventional tests for subsets of parameters. Like the usual projection-based methods, one can always put an upper bound to the rate at which the new method over-rejects the true value of the parameters of interest. The new method is described in the context of GMM with possibly weakly identifed parameters.
tritrophic-dispersal-model: Code used for creating figures for "Non-hierarchical dispersal promotes stability and resilience in a tri-trophic metacommunity"
No full text<p>This is the commented code used for creating figures for the paper. Any questions regarding the code should be directed to the corresponding author and repository owner (Eric Pedersen). </p>
Eric Velazquez Spanish Language Picture Book Award 2022 Acceptance Speech
No full textAuthor Eric Velazquez gives his Silver Medal acceptance speech for Pulpo Guisado (Holiday House)https://educate.bankstreet.edu/spanishlanguageaward/1001/thumbnail.jp
VAR estimation and forecasting when data are subject to revision
No full textConventional VAR estimation and forecasting ignores the fact that economic data are often subject to revision many months or years after their initial release. This paper shows how VAR analysis can be modified to account for such revisions. The proposed approach assumes that government statistical releases are efficient with a finite lag. It takes no stand on whether earlier revisions are “noise” or “news.” The technique is illustrated using data on employment and the unemployment rate, real GDP and the unemployment rate, and real GDP and the GDP/consumption ratio. In each case, the proposed procedure outperforms conventional VAR analysis and the more-restrictive methods for handling the data-revision problem that are found in the existing literature.
Eric C. Lincoln, Professor of Sociology and Religion, 1971
No full textThis is an interview with Eric C. Lincoln. Eric was a Professor of Sociology and religion, Union Theological Seminary and author of many books and articles on Negro history. In this recording the contributors discuss local memphis politics, sociology, and race relations compared to that of other cities in the South and the rest of the country
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