Econometric methodology and the philosophy of …
At the IIT Bombay – Monash Research Academy, he is working on an econometric model to estimate the demand for cash, as well as study the life of currency notes in India.
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"The Queen’s Economics Department is a fantastic place to be a graduate student. The coursework is challenging and the professors are approachable. Queen’s not only offers one of the top ranked Ph.D. programs in the country, it also provides a very collegial environment for learning. The department hosts regular workshops in microeconomics, macroeconomics and econometrics and provides grad students with the opportunity to meet and engage with visiting researchers. Grad students also regularly interact with each other in seminars, courses and reading groups. All of these factors have enriched my graduate school experience and helped me grow as a researcher. I should also mention there is a weekly doughnut hour with faculty!”
According to the significance of the econometric models in foreign exchange market, the purpose of this research is to give a closer examination on some important issues in this area. The research covers exchange rate pass-through into import prices, liquidity risk and expected returns in the currency market, and the common risk factors in currency markets. Firstly, with the significant of the exchange rate pass-through in financial economics, the first empirical chapter studies on the degree of exchange rate pass-through into import in emerging economies and developed countries in panel evidences for comparison covering the time period of 1970-2009. The pooled mean group estimation (PMGE) is used for the estimation to investigate the short run coefficients and error variance. In general, the results present that the import prices are affected positively, though incompletely, by the exchange rate. Secondly, the following study addresses the question whether there is a relationship between cross-sectional differences in foreign exchange returns and the sensitivities of the returns to fluctuations in liquidity, known as liquidity beta, by using a unique dataset of weekly order flow. Finally, the last study is in keeping with the study of Lustig, Roussanov and Verdelhan (2011), which shows that the large co-movement among exchange rates of different currencies can explain a risk-based view of exchange rate determination. The exploration on identifying a slope factor in exchange rate changes is brought up. The study initially constructs monthly portfolios of currencies, which are sorted on the basis of their forward discounts. The lowest interest rate currencies are contained in the first portfolio and the highest interest rate currencies are in the last. The results performs that portfolios with higher forward discounts incline to contain higher real interest rates in overall by considering the first portfolio and the last portfolio though the fluctuation occurs.
A treatise on econometric forecasting - CaltechTHESIS
A series of econometric models have been employed to investigate the effect of traffic congestion on both accident frequency (such as classical Negative Binomial and Bayesian spatial models) and accident severity (such as ordered logit and mixed logit models).
Three essays in econometric theory - Research portal
Do an econometric analysis of data in the card game Blackjack. Examine the theories, run a regression, identify the problem, find theory on problem, what econometric results have been done, then take your own approach. You can include charts, graphs, specify the variables, and for (linear, etc.). Before running a regression, we need a theory. It can be done in the following way:
Econometric Analysis Undergraduate Research Papers
Applied Econometrics: Applied econometrics focuses on using techniques to analyze data and uses statistical methods to produce empirical evidence to test opinions and theories.
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We investigate the effects of model misspecification and stochastic dynamics in the problem of forecasting. In economics and many fields of engineering, many researchers are guilty of the dangerous practice of treating their mathematical models as the true data generating mechanisms responsible for the observed phenomena and downplaying or omitting all together the important step of model verification. In recent years, econometricians have acknowledged the need to account for model misspecification in the problems of estimation and forecasting. In particular, a large body of work has emerged to address properties of estimators under model misspecification, along with a plethora of misspecification testing methodologies. In this work, we investigate the combined effects of model misspecification and various types of stochastic dynamics on forecasts based on linear regression models. The data generating process (DGP) is assumed unknown to the forecaster except for the nature of process dependencies, i.e., independent identically distributed, covariance stationary, or nonstationary. Estimation is carried out by means of ordinary least squares, and forecasts are evaluated with the mean squared forecast error (MSFE) or mean square error of prediction. We investigate the sample size dependence of the MSFE. For this purpose, we develop an algorithm to approximate the MSFE by an expression depending only on the sample size n and moments of the processes. The approximation is constructed by Taylor series expansions of the squared forecast error which do not require knowledge of the functional form of the DGP. The approximation can be used to determine the existence of optimal observation windows which result in the minimum MSFE. We assess the accuracy of the approximating algorithm with Monte Carlo experiments.
Econometrics Project Ideas - Project Topics
Econometric Theory: Econometric theory applies the tools of statistics to economic problems. It develops methods for testing and quantifying economic theories and relationships in data.