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Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/230090
Description: Transition probabilities between four labor market states (full-time employment, part-time employment, unemployment and inactive) for three age groups (the young, mature and old) are calculated using ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/262758
Description: In order to shed new light on the influence of volume and economic fundamentals on the long-run volatility of the Chinese stock market we follow the methodology introduced by Engle et al. (2009) and E ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/204038
Description: This paper shows how scale efficiency can be measured from an arbitrary parametric hyperbolic distance function with multiple outputs and multiple inputs. It extends the methods introduced by Ray (J P ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/277297
Description: We consider the local identification of parameters in structural VAR models with ARCH type errors. By establishing a mapping between the structural and reduced-form models, we provide a set of suffici ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/164676
Description: Estimates of the cost of equity are often sensitive to the specification of the linear factor model used in their construction. In this article, we use techniques developed for high-dimensional factor ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/168111
Description: We introduce a generalization of the approximate factor model that divides the observable variables into groups, allows for arbitrarily strong cross-correlation between the disturbance terms of variab ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/133108
Description: Using a small New Keynesian state space macroeconomic model, we apply maximum likelihood estimation and the Kalman filter to obtain joint estimates of the unobservable medium-run paths of potential ou ... More
Reviewed: Reviewed
Authors: Joyeux, Roselyne
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/92897
Description: In this paper we consider the generalization of the concept of cointegration to non-stationary processes which are not necessarily I(d). Two cases are of special interest. First the case of non-statio ... More
Reviewed: Reviewed
Authors: Joyeux, Roselyne
Date: 2010
Subject Keyword: 140300 Econometrics
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/89769
Description: In late 1978 Clive Granger was asked by Maurice Priestley to contribute a paper to the firstissue of the Journal of Time Series Analysis. In Granger’s usual style he was determined to provide achallen ... More
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/151338
Description: We introduce a generalization of the approximate factor model for which the observable variables belong to a finite number of groups. The error terms of variables that belong to different groups are a ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/180624
Description: 20 page(s)
Authors: Joyeux, Roselyne
Date: 2007
Subject Keyword: 140300 Econometrics
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/71386
Description: The empirical literature making use of unit root and cointegration tests has been growing over the last two decades. The application of those tests is challenging for many reasons including the treatm ... More
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/79898
Description: This note shows that the orthogonal shocks obtained by imposing a recursive structure on the contemporaneous impacts of the errors in a vector-error correction model (VECM) are related to the orthogon ... More
Reviewed: Reviewed
Date: 2004
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/74325
Description: We consider identification of a class of dynamic factor model. We show that identification holds under reasonably general conditions. The results apply to many of the dynamic factor models that have a ... More
Reviewed: Reviewed
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