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Full-Text Articles in Econometrics

Macroconstants Of Development: A New Benchmark For The Strategic Development Of Advanced Countries And Firms, Andrey Bystrov, Vyacheslav Yusim, Tamilla Curtis Mar 2016

Macroconstants Of Development: A New Benchmark For The Strategic Development Of Advanced Countries And Firms, Andrey Bystrov, Vyacheslav Yusim, Tamilla Curtis

Dr. Tamilla Curtis

This research proposed a new indicator of countries’ development called “macroconstants of development”. The literature review indicates that the concept of "macroconstants of development" is not used at the moment in neither the theory nor the practice of industrial policy. Research of longitudinal data of total GDP, GDP per capita and their derivatives for most countries of the world was conducted. An analysis of statistical information has been done by employing econometric analyses.

Based on the analysis of the statistical data, which characterizes the development of large, technologically advanced countries in ordinary conditions, it was identified that the average acceleration …


Asymmetric Forecast Densities For U.S. Macroeconomic Variables From A Gaussian Copula Model Of Cross-Sectional And Serial Dependence, Michael S. Smith, Shaun Vahey Dec 2015

Asymmetric Forecast Densities For U.S. Macroeconomic Variables From A Gaussian Copula Model Of Cross-Sectional And Serial Dependence, Michael S. Smith, Shaun Vahey

Michael Stanley Smith

Most existing reduced-form macroeconomic multivariate time series models employ elliptical disturbances, so that the forecast densities produced are symmetric. In this paper, we use a copula model with asymmetric margins to produce forecast densities with the scope for severe departures from symmetry. Empirical and skew t distributions are employed for the margins, and a high-dimensional Gaussian copula is used to jointly capture cross-sectional and (multivariate) serial dependence. The copula parameter matrix is given by the correlation matrix of a latent stationary and Markov vector autoregression (VAR). We show that the likelihood can be evaluated efficiently using the unique partial correlations, …