scholarly journals Technical Analysis of Tourism Price Process in the Eurozone

2021 ◽  
Vol 14 (11) ◽  
pp. 517
Author(s):  
Sergej Gričar ◽  
Štefan Bojnec
Keyword(s):  
Time Series ◽  
Computational Economics ◽  
Vector Autoregressive Model ◽  
Data Set ◽  
Vector Autoregressive ◽  
Long Run ◽  
Bona Fide ◽  
Likelihood Approach ◽  
Specific Contribution

This study is a specific contribution to investigating normalities in prices to a well-established cointegrated vector autoregressive model (VAR). While the role of prices in computational economics has been investigated, the real prices vis-à-vis nominal prices in the decision process has been neglected. The paper investigates the transition from nominal to real time-series of prices without losing information in the data set when deflating or de-seasonalizing. The likelihood approach is based on careful specifications of the (co)integration characteristics of tourism prices. The results confirm that the transmission of tourism prices in the Eurozone positively impacts Slovenian tourism prices when the spatial consolidated cointegrated VAR model is used. The theoretical-conceptual and empirical contribution is twofold: first, the study develops and empirically applies bona fide divisor of normality consolidation for time-series in levels instead of routinely utilised inflation integers, and second, the study introduces perfection of prices on a long-run time-series treatment.

scholarly journals Institutional drivers, historical determinism, and economic development in Mozambique

2019 ◽  
Vol 15 (4) ◽  
pp. 767-789
Author(s):  
Luis Brites Pereira ◽  
John Manuel Luiz
Keyword(s):  
Political Economy ◽  
Time Series ◽  
Economic Development ◽  
Path Dependence ◽  
Complex Dynamics ◽  
Economic Institutions ◽  
Data Set ◽  
Content Type ◽  
Vector Autoregressive ◽  
Long Run

Purpose The purpose of this paper is to examine the evolution of political and economic institutions, their persistence and interdependence and their effects on economic progress in Mozambique. Design/methodology/approach Using a unique data set, which has developed detailed long-run indices of institutional change in Mozambique from 1900 onwards, the research utilizes time-series econometrics to estimate cointegration relations and Vector Autoregressive and Vector Error Correction models, and also Granger causality, correlation and residual analysis when interpreting the estimation results. Findings It shows support for path dependence in political and economic institutions as well as the critical juncture theory and modernization hypothesis, and for webs of association between these institutions and economic development. It provides evidence of an equilibrium-dependent process, where history does matter (as do early conditions), and whose impact may differ depending on the nature of institutional arrangements. Various institutions created during colonial times have a bearing on the present state of institutions in Mozambique, as reflected in important continuities regarding the forms of political economy, among others. Originality/value The work contributes to existing research not only through the employment of a new set of institutional measures, which allows for a particularly long time-series investigation in a developing country setting, but also through its contribution to studies on modernization and critical junctures but in a longitudinal manner which allows for the exploration of complex dynamics embedded within a country’s particular political economy. The implications are far-reaching and carry importance beyond the academy given the pressure on policymakers to get things right because of the persistence of institutions and their consequences and the associated path dependency.

Money and Household Consumption Expenditure in Developing Asia: Some Panel ARDL Evidence

2021 ◽  
pp. 001946622110624
Author(s):  
Ghanashyama Mahanty ◽  
Himanshu Sekhar Rout ◽  
Swayam Prava Mishra
Keyword(s):  
Economic Growth ◽  
Interest Rates ◽  
Household Consumption ◽  
Asia Pacific ◽  
Consumption Expenditure ◽  
Data Set ◽  
Final Consumption ◽  
Long Run ◽  
Short Run

The role of money in influencing real economic activities has been a long-standing debate in macroeconomics. As per the Keynesian theory, household consumption expenditure plays a significant role in promoting economic growth. Given the rapid consumption-led growth pattern in the emerging Asia Pacific region, in this article, we attempt to assess the role of money in influencing household consumption expenditure, which propels economic growth. We employ a panel data set from 2005–2018 for 10 emerging Asian economies, covering Bangladesh, Cambodia, India, Indonesia, Malaysia, Pakistan, Philippines, Sri Lanka, Thailand and Vietnam. Given the region’s heterogeneous nature, we employ a variant of the popular St Louise equation model with autoregressive distributed lag model (ARDL) panel framework based on pooled mean group (PMG) and dynamic fixed effect (DFE) models developed by Pesaran and Shin to study the underlying relationships. Both PMG and DFE models suggest a strong positive relationship between money and household consumption expenditure both in the long run and short run. After allowing for control variables such as government final consumption expenditure and interest rate, the relationships continue to hold steady. Further, the relationship holds true across both narrow (M1) and broad money (M3) measures. The government final consumption expenditure and interest rates do not have influence on household consumption expenditure in the long run, but they have an influence in the short run. JEL Codes: C23, O16, O47, E51, E31, E21

Long-run relationship between investment and maintenance in local governments

Facilities ◽  
2016 ◽  
Vol 34 (11/12) ◽  
pp. 703-722 ◽  
Author(s):  
Arnt O. Hopland
Keyword(s):  
Local Governments ◽  
Reduced Form ◽  
Public Infrastructure ◽  
Data Set ◽  
Content Type ◽  
Vector Autoregressive ◽  
The Past ◽  
Long Run ◽  
The Relationship ◽  
New Infrastructure

Purpose The purpose of the paper is to analyze the relationship between maintenance of existent and investment in new infrastructure in Norwegian local governments. Design/methodology/approach A reduced form vector autoregressive system is estimated using a 29-year-long panel data set for the Norwegian local governments. Findings The data reveal that increased investment in new infrastructure sparks little, if any, increase in maintenance. The results also indicate that increased maintenance expenditures spark new investments. Because more investments mean more infrastructure and adequate maintenance should give that investments are not caused by maintenance, the results suggest that the local governments have not optimized their maintenance scheduling in this period. Originality/value Even though maintenance and investment are large expenditures that both serve as inputs to the stock of infrastructure, little is known about the relationship between the two. The findings in this paper suggests that Norwegian local governments have not planned their maintenance and investments well in the past, and this can be part of the explanation as to why local public infrastructure in Norway is presently in poor condition.

scholarly journals Exports as a Determinant of Inflation in Kenya: Disaggregated Econommetric Analysis

2017 ◽  
Vol 13 (10) ◽  
pp. 417
Author(s):  
Evans Ovamba Kiganda ◽  
Scholastica Adhiambo ◽  
Nelson Obange
Keyword(s):  
Time Series ◽  
Central Bank ◽  
Granger Causality ◽  
Impulse Response ◽  
Response Analysis ◽  
Vector Autoregressive ◽  
Impulse Response Analysis ◽  
Long Run ◽  
The Government ◽  
The Relationship

The purpose of this study was to examine exports as a determinant of inflation in Kenya: A disaggregated econometric analysis with specific objectives of establishing the relationship between domestic exports and inflation in Kenya and determining the relationship between re - exports and inflation in Kenya. This was occasioned by inconclusive and incomprehensive analysis on the relationship between exports and inflation given mixed results and failure by scholars to disaggregate total exports into domestic exports and re-exports. Correlation research design was employed using monthly time series obtained from Central Bank of Kenya (CBK) data spanning 132 months from January 2005 to December 2015.Vector Autoregressive (VAR) techniques of cointegration, Granger causality and impulse response analysis were employed. Results indicated a significant positive and negative long run relationship between domestic exports and re- exports with inflation in Kenya respectively that were supported by the impulse response analysis. A unidirectional causality running from domestic exports to inflation and re-exports to inflation was also established. The study concluded that domestic exports and re-exports determine inflation in Kenya with domestic exports having greater influence and therefore recommended that the government of Kenya needs to advocate for a trade policy that aims at reducing exports of domestically produced products and increase re-exports. This will ensure that only surplus is exported to reduce shortage of domestically produced commodities hence a reduction in price for the products.

scholarly journals THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS

2015 ◽  
Vol 32 (5) ◽  
pp. 1095-1139 ◽  
Author(s):  
Søren Johansen ◽  
Morten Ørregaard Nielsen
Keyword(s):  
Time Series ◽  
Voting Behavior ◽  
Empirical Work ◽  
Sum Of Squares ◽  
Second Order ◽  
Data Set ◽  
Initial Values ◽  
Image Position ◽  
Conditional Maximum

In this paper, we analyze the influence of observed and unobserved initial values on the bias of the conditional maximum likelihood or conditional sum-of-squares (CSS, or least squares) estimator of the fractional parameter,d, in a nonstationary fractional time series model. The CSS estimator is popular in empirical work due, at least in part, to its simplicity and its feasibility, even in very complicated nonstationary models.We consider a process,Xt, for which data exist from some point in time, which we call –N0+ 1, but we only start observing it at a later time,t= 1. The parameter (d,μ,σ2) is estimated by CSS based on the model${\rm{\Delta }}_0^d \left( {X_t - \mu } \right) = \varepsilon _t ,t = N + 1, \ldots ,N + T$, conditional onX1,...,XN. We derive an expression for the second-order bias of$\hat d$as a function of the initial values,Xt,t= –N0+ 1,...,N, and we investigate the effect on the bias of setting aside the firstNobservations as initial values. We compare$\hat d$with an estimator,$\hat d_c $, derived similarly but by choosingμ=C. We find, both theoretically and using a data set on voting behavior, that in many cases, the estimation of the parameterμpicks up the effect of the initial values even for the choiceN= 0.IfN0= 0, we show that the second-order bias can be completely eliminated by a simple bias correction. If, on the other hand,N0> 0, it can only be partly eliminated because the second-order bias term due to the initial values can only be diminished by increasingN.

scholarly journals Modelling Inflation Sectors in Indonesia Using Vector Autoregressive (VAR)

2019 ◽  
Vol 20 (1) ◽  
pp. 47
Author(s):  
Alan Prahutama ◽  
S. Suparti ◽  
Dwi Ispriyanti ◽  
Tiani Wahyu Utami
Keyword(s):  
Time Series ◽  
White Noise ◽  
Granger Causality ◽  
Autoregressive Model ◽  
Vector Autoregressive Model ◽  
Vector Autoregressive

Analisis time series dapat dibagi menjadi dua yaitu analisis time series univariat dan analisis time series multivariat. Analisis time series univariat salah satunya menggunakan ARIMA, sedangkan analisis time series multivariat dapat menggunakan VAR. VAR merupakan pemodelan persamaan simultan yang memiliki beberapa variabel endogen secara bersamaan. Asumsi dalam model VAR antara lain terjadi kausalitas antar variabel (kausalitas Granger), residual white noise dan berdistribusi normal multivariat. Pada paper ini, metode VAR diimplementasikan dalam memodelkan sektor-sektor Inflasi di Indonesia. Adapun sektor-sektor tersebut antara lain sektor makanan (Y1t),Sektor Makanan Jadi, Minuman, Rokok dan Tembakau (Y2), Sektor perumahan, listrik, air, gas dan bahan bakar (Y3), Sektor Sandang (Y4), Sektor Kesehatan (Y5), Sektor Pendidikan dan Olahraga (Y6), Sektor Transportasi, Komunikasi dan Jasa Keuangan (Y7). Hasilnya adalah tidak semua variabel sektor inflasi berpengaruh terhadap sektor lainnya. Hanya beberapa variabel yang berpengaruh terhadap suatu sektor. Asumsi kausalitas Granger tidak semua dipenuhi oleh semua variabel. Begitu juga dengan normal multivariat juga tidak terpenuhi. Akan tetapi residual model sudah white noise. Keywords: vector autoregressive model, sectors of inflation, Granger Causality.

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