Dissertations / Theses: 'Error Correction Model (ECM)'

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Gqozo, Pamela. "Impact of oil price on tourism in South Africa: an error correction model (ECM) analysis." Thesis, University of Fort Hare, 2013. http://hdl.handle.net/10353/d1017941.

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The study focuses on the impact of oil price on tourism in South Africa. Quarterly time series data for the period 1990 to 2012 was used in this study. Error correction model is the research instrument that was used to determine the impact of oil price on tourism in South Africa. The explanatory variables in this study are oil price, real exchange rates, gross domestic product, consumer price index and transport infrastructure investment. The results of the study revealed that oil price, consumer price index and real exchange rate have a negative long run relationship on tourism, while gross domestic product and transport infrastructure investment had a positive long run relationship on tourism. It was also shown that oil price is statistically significant relationship on tourism.

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Correia, José Alfredo Henriques. "A sustentabilidade financeira da segurança social em Portugal." Master's thesis, Instituto Superior de Economia e Gestão, 2004. http://hdl.handle.net/10400.5/2840.

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Mestrado em Economia Monetária e Financeira
Neste estudo analisa-se a sustentabilidade do sistema de Segurança Social em Portugal, investigando as determinantes da despesa de forma a propor políticas de gestão da mesma, susceptíveis de assegurar a sua sustentabilidade financeira. O estudo utiliza dados anuais de 1960 a 2002, estimando um modelo de correcção do erro que toma em consideração a cointegração de Johansen e de Engle-Granger, bem como testes de raízes unitárias. Enquadra-se este estudo no contexto institucional do sistema de Segurança Social em Portugal e na revisão da literatura feita sobre esta matéria.
This study analyses the sustainability of the social security system in Portugal, examining the origin of social security expense, so that we can offer policies that allow administrating social security expenses, permitting their financial sustainability. This study uses data from 1960 until 2002 and it develops an Error Correction Model (ECM) that takes into consideration the Johansen and the Engle-Granger cointegration as well as unit root tests. The present study fits in the institutional context of the Portuguese Social Security System and in the literature review made about this subject.

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Suppakittiwong, Tanyatorn, and Sornsita Aimprasittichai. "A Study of a Relationship Between The U.S. Stock Market and Emerging Stock Markets in Southeast Asia." Thesis, Linnéuniversitetet, Institutionen för nationalekonomi och statistik (NS), 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-46781.

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Resulting from the deregulation and prosperity of the economic and financial sectors in Asia during 1980s, a significant increase in cross-bordered financial transactions ultimately accelerated the region of Southeast Asia to be on a process of financial integration and consequently diminished opportunities for portfolio diversification. Financial Integration is a multidimensional process through which allocation of financial assets becomes lastly borderless. This purpose of this paper is to examine a progress thus far in capital market integration or preferentially, the co-movement of the equity markets between the U.S. and the Southeast Asian nations: Thailand, Indonesia, Malaysia, and the Philippines by employing the methodology of Gregory and Hansen Cointegration and Error Correction Analysis (ECM). The consequence of the U.S. market performance on each Southeast Asian national markets are extensively analyzed by decomposing monthly price-index time series into three distinct sub-periods based on an occurrence of the Subprime Mortgage Financial Crisis in 2007. The results indicate that these four emerging markets had been considerable influenced by the U.S. market performance, regardless of crisis or non-crisis periods. Nevertheless, some countries like Indonesia and the Philippines acted differently during the pre-crisis and crisis sub-periods respectively due to their domestic market infrastructure and regulation adjustment. However, these two markets had eventually turned to share an interdependent long-run relationship with the U.S. equity market since the ending of the Subprime financial downturn. Moreover, this finding suggests that ongoing capital market integration in the Southeast Asian region would mitigate portfolio diversification benefits for investors by virtue of increasing in correlation among securities and assets. Therefore, more exhaustive investigation about equity market integration is significantly beneficial in macroeconomic and financial perspective.

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Wang, Jing. "THREE ESSAYS ON PRICING AND VOLUME DISTRIBUTIONS OF CROSS-LISTED STOCKS." Cleveland State University / OhioLINK, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=csu1421369950.

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Bäckström, Fredrik, and Anders Ivarsson. "Meta-Model Guided Error Correction for UML Models." Thesis, Linköping University, Department of Computer and Information Science, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-8746.

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Modeling is a complex process which is quite hard to do in a structured and controlled way. Many companies provide a set of guidelines for model structure, naming conventions and other modeling rules. Using meta-models to describe these guidelines makes it possible to check whether an UML model follows the guidelines or not. Providing this error checking of UML models is only one step on the way to making modeling software an even more valuable and powerful tool.

Moreover, by providing correction suggestions and automatic correction of these errors, we try to give the modeler as much help as possible in creating correct UML models. Since the area of model correction based on meta-models has not been researched earlier, we have taken an explorative approach.

The aim of the project is to create an extension of the program MetaModelAgent, by Objektfabriken, which is a meta-modeling plug-in for IBM Rational Software Architect. The thesis shows that error correction of UML models based on meta-models is a possible way to provide automatic checking of modeling guidelines. The developed prototype is able to give correction suggestions and automatic correction for many types of errors that can occur in a model.

The results imply that meta-model guided error correction techniques should be further researched and developed to enhance the functionality of existing modeling software.

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Kokkola, N. "A double-error correction computational model of learning." Thesis, City, University of London, 2017. http://openaccess.city.ac.uk/18838/.

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In this thesis, the Double Error model, a general computational model of real-time learning is presented. It builds upon previous real-time error-correction models and assumes that associative connections form not only between stimuli and reinforcers, but between all types of stimuli in a connectionist network. The stimulus representation uses temporally-distributed elements with memory traces, and a process of expectation-based attentional modulation for both reinforcers and non-reinforcing stimuli is introduced. A modified error-correction learning rule is proposed, which incorporates both an error-term for the predicted and predicting stimulus. The static asymptote of learning familiar from other models of learning is replaced by a similarity measure between the activities of said stimuli, resulting in more temporally correlated stimulus representations forming stronger associative links. Associative retrieval based on previously formed associative links result in the model predicting mediated learning and pre-exposure effects. As a general model of learning, it accounts for phenomena predicted by extant learning models. For instance, its usage of error-correction learning produces a natural account of cue-competition effects such as blocking and overshadowing. Its elemental framework, which incorporates overlapping sets of elements to represent stimuli, leads to it predicting non-linear discriminations including biconditional discriminations and negative patterning. The observation that adding a cue to an excitatory compound stimulus leads to a lower generalization decrement as compared to removing a cue from said compound also follows from this representational assumption. The model further makes a number of unique predictions. The apparent contradiction of mediated learning in backward blocking and mediated conditioning proceeding in opposite directions is predicted through the model’s dynamic asymptote. Latent inhibition is accounted for as occurring through both learning and selective attention. The selective attention of the model likewise produces emergent effects when instantiated in the real-time dynamics of the model, predicting that the relatively best predictor of an outcome can sustain the largest amount of attention when compared to poorer predictors of said outcome. The model is evaluated theoretically, through simulations of learning experiments, and mathematically to demonstrate its generality and formal validity. Further, a simplified version of the model is contrasted against other models on a simple artificial classification task, showcasing the power of the fully-connected nature of the model, as well as its second error term in enabling the model’s performance as a classifier. Finally, numerous avenues of future work have been explored. I have completed a proof-of-concept deep recurrent network extension of the model, instantiated with reference to machine learning theory, and applied the second error term of the model to modulating backpropagation in time of a vanilla RNN. Both the former and latter were applied to a natural language processing task.

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Molin, Simon. "House Price Dynamics in Sweden : Vector error-correction model." Thesis, Umeå universitet, Nationalekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172367.

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Movements in house prices can have effects on individuals, financial markets, and the whole economy. After the rapid increase in house prices worldwide since the mid-1990s and after the financial crisis in 2008, many studies have investigated house price dynamics. Furthermore, real house prices in Sweden have increased by more than 200 % since the mid-1990s up until today. This study takes a closer look at the fundamental determinants of house prices to investigate both the long- and short-run dynamics of Swedish house prices. The method of use includes a vector error-correction model, which exposes both long- and short-run dynamics of house prices. The long-run results show that Swedish house prices are currently not overvalued. Furthermore, in the short-run, the results suggest that house prices adjust to their equilibrium level with 7,9 % in each quarter.

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Coulibaly, Massita. "L'autosuffisance alimentaire et la politique rizicole en Côte d'Ivoire." Clermont-Ferrand 1, 1996. http://www.theses.fr/1996CLF10179.

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Cette étude a pour objet d’analyser le bien-fondé de la recherche de l’autosuffisance alimentaire entreprise en Côte d’Ivoire autour du développement de la filière riz, et d’examiner les capacités du pays à atteindre cet objectif après la dévaluation du FCFA. L’intérêt de ce travail pour le riz se justifie par la croissance de la part du riz dans la consommation des ivoiriens et le déficit constant de cette filière en dépit des sommes importantes engagées dans le développement de la production locale. Deux grands axes d’analyse sont évoqués. Le premier axe est l’analyse des causes de l’échec des politiques mises en place dans la filière avant la dévaluation. Cet échec s’est traduit par la croissance de la part des importations dans la consommation des ivoiriens. Par l’analyse des fondements des politiques alimentaires, nous vous proposons dans le premier chapitre d’examiner la cohérence des politiques mises en place dans le secteur. Cette analyse nous permet d’émettre l’hypothèse que la sécurité alimentaire, plus que l’autosuffisance a été le fondement des politiques alimentaires. Il y a donc eu une contradiction entre les objectifs d’autosuffisance affichés et les mesures de développement de la filière. Un examen de l’évolution du marché du riz par rapport aux différentes politiques, dans le chapitre 2, confirme bien cette contradiction et présente les réformes entreprises pour la production en vue de réaliser l’autosuffisance dans la filière. Le second axe porte sur l’efficacité des nouvelles mesures entreprises après la dévaluation. Dans cette optique, nous avons calculé les indicateurs de performance de la production de riz, à l’aide de la Matrice d’Analyse des Politiques, dans le chapitre 3. Ces indicateurs, calculés avant et après la dévaluation mettent en évidence le regain de compétitivité des unités de production locale. Cette analyse a aussi permis de souligner l’importance de l’approche par systèmes de culture et apporte des informations nécessaires à l’identification des modes de production à promouvoir. Nous avons également estimé la réponse des paysans aux différentes incitations contenues dans ces mesures dont la principale est le relèvement des prix aux producteurs. Cette analyse économétrique, a été menée à l’aide d’un modèle dynamique d’offre agricole intégrant un Mécanisme de Correction d’Erreurs. Elle révèle que l’offre du riz dépend positivement des prix relatifs des différentes cultures (riz, coton et maïs), elle dépend négativement du prix des facteurs de production (en l’occurrence la main d’œuvre) et du crédit agricole. La réaction des riziculteurs est donc en partie dictée par la rentabilité de la culture du riz et des conditions d’accès aux intrants agricoles. Ce résultat souligne de nouveau la nécessité de mettre en place un système de financement des activités agricoles après la dissolution de la BNDA
Our goal in this study is to analyze the economic foundations of the rice self sufficiency objective (which ranks high in the agenda of the government) and assess the attainability of such goal after the devaluation of the CFA franc. Two main themes are evoked here. The first one focusses on the array of policies implemented before the devaluation. The causes of poor results obtained (growth in the importations of rice), seem to stem from inconsistencies between declared objectives and policies implemented. Chapter one has shown that food security rather than self-sufficiency was guiding force of reforms. This result is confirmed when we analyze in the chapter 2, the evolution of the rice market. The analysis of rice market evolution shows the reforms undertaken as well. In the second part, we analyze the effectiveness and usefulness if policies implemented after devaluation. For that purpose, indicators of performance of rice production have been calculated using Policy Analysis Matrix (PMA). This indicators, computed for the pre-devaluation as well as post-devaluation period have shown some increasing competitiveness of the local production units. We finally estimate the supply response behavior of peasants using a dynamic supply model with an Error Correction Mechanism (ECM). This econometric analysis shows that supply of rice is positively correlated with relative price (of rice, cotton and maize), negatively with price of inputs (especially labor) and credit. The latter call for an adequate rural financing system after the bankrucy of BNDA

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Silber, Frank. "Makroökonometrische Anpassungsanalyse im Vector-Error-Correction-Model (VECM) : Untersuchungen an ausgewählten Arbeitsmärkten /." Frankfurt am Main: Lang, 2003. http://www.gbv.de/dms/zbw/362076561.pdf.

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Watkins, Yijing Zhang. "Image Compression and Channel Error Correction using Neurally-Inspired Network Models." OpenSIUC, 2018. https://opensiuc.lib.siu.edu/dissertations/1529.

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Everyday an enormous amount of information is stored, processed and transmitted digitally around the world. Neurally-inspired compression models have been rapidly developed and researched as a solution to image processing tasks and channel error correction control. This dissertation presents a deep neural network (DNN) for gray high-resolution image compression and a fault-tolerant transmission system with channel error-correction capabilities. A feed-forward DNN implemented with the Levenberg-Marguardt learning algorithm is proposed and implemented for image compression. I demonstrate experimentally that the DNN not only provides better quality reconstructed images but also requires less computational capacity as compared to DCT Zonal coding, DCT Threshold coding, Set Partitioning in Hierarchical Trees (SPIHT) and Gaussian Pyramid. An artificial neural network (ANN) with improved channel error-correction rate is also proposed. The experimental results indicate that the implemented artificial neural network provides a superior error-correction ability by transmitting binary images over the noisy channel using Hamming and Repeat-Accumulate coding. Meanwhile, the network’s storage requirement is 64 times less than the Hamming coding and 62 times less than the Repeat-Accumulate coding. Thumbnail images contain higher frequencies and much less redundancy, which makes them more difficult to compress compared to high-resolution images. Bottleneck autoencoders have been actively researched as a solution to image compression tasks. However, I observed that thumbnail images compressed at a 2:1 ratio through bottleneck autoencoders often exhibit subjectively low visual quality. In this dissertation, I compared bottleneck autoencoders with two sparse coding approaches. Either 50\% of the pixels are randomly removed or every other pixel is removed, each achieving a 2:1 compression ratio. In the subsequent decompression step, a sparse inference algorithm is used to in-paint the missing the pixel values. Compared to bottleneck autoencoders, I observed that sparse coding with a random dropout mask yields decompressed images that are superior based on subjective human perception yet inferior according to pixel-wise metrics of reconstruction quality, such as PSNR and SSIM. With a regular checkerboard mask, decompressed images were superior as assessed by both subjective and pixel-wise measures. I hypothesized that alternative feature-based measures of reconstruction quality would better support my subjective observations. To test this hypothesis, I fed thumbnail images processed using either bottleneck autoencoder or sparse coding using either checkerboard or random masks into a Deep Convolutional Neural Network (DCNN) classifier. Consistent, with my subjective observations, I discovered that sparse coding with checkerboard and random masks support on average 2.7\% and 1.6\% higher classification accuracy and 18.06\% and 3.74\% lower feature perceptual loss compared to bottleneck autoencoders, implying that sparse coding preserves more feature-based information. The optic nerve transmits visual information to the brain as trains of discrete events, a low-power, low-bandwidth communication channel also exploited by silicon retina cameras. Extracting high-fidelity visual input from retinal event trains is thus a key challenge for both computational neuroscience and neuromorphic engineering. % Here, we investigate whether sparse coding can enable the reconstruction of high-fidelity images and video from retinal event trains. Our approach is analogous to compressive sensing, in which only a random subset of pixels are transmitted and the missing information is estimated via inference. We employed a variant of the Locally Competitive Algorithm to infer sparse representations from retinal event trains, using a dictionary of convolutional features optimized via stochastic gradient descent and trained in an unsupervised manner using a local Hebbian learning rule with momentum. Static images, drawn from the CIFAR10 dataset, were passed to the input layer of an anatomically realistic retinal model and encoded as arrays of output spike trains arising from separate layers of integrate-and-fire neurons representing ON and OFF retinal ganglion cells. The spikes from each model ganglion cell were summed over a 32 msec time window, yielding a noisy rate-coded image. Analogous to how the primary visual cortex is postulated to infer features from noisy spike trains in the optic nerve, we inferred a higher-fidelity sparse reconstruction from the noisy rate-coded image using a convolutional dictionary trained on the original CIFAR10 database. Using a similar approach, we analyzed the asynchronous event trains from a silicon retina camera produced by self-motion through a laboratory environment. By training a dictionary of convolutional spatiotemporal features for simultaneously reconstructing differences of video frames (recorded at 22HZ and 5.56Hz) as well as discrete events generated by the silicon retina (binned at 484Hz and 278Hz), we were able to estimate high frame rate video from a low-power, low-bandwidth silicon retina camera.

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Santana, Amarilio Luiz de. "Forecasts for collection of VAT in CearÃ: a model analysis with error correction." Universidade Federal do CearÃ, 2009. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=4340.

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nÃo hÃ
This research aims to offer managers of the State of CearÃ a choice of tool to perform estimates of the monthly tax collection Movement of Goods and Services (ICMS) through econometric model consistent with a good predictive power. For that, it was used models of bug fixes, ECM, and the vector cointegrante was estimated by DOLS (Dynamic Ordinary Least Squares). The forecasts generated by the research confirms the ability of ECM for generation of prediction, due to the small error margin. In addition, comparisons were made with the forecasts made by SEFAZ-CE and the de Rocha Neto (2008) opportunity for ARIMA models, thus we can say that the model used here is more accurate than the method used by the Secretary of Finance and the ARIMA to perform estimates of monthly collections of ICMS.
Esta pesquisa tem como objetivo oferecer aos gestores do Estado do CearÃ uma opÃÃo de ferramenta para realizar previsÃo de arrecadaÃÃo mensal do Imposto sobre CirculaÃÃo de Mercadorias e ServiÃos (ICMS), por meio de um modelo economÃtrico consistente e com um bom poder preditivo. Para isso, foram utilizados modelos de correÃÃes de erros, MCE, sendo que o vetor cointegrante foi estimado por DOLS (Dynamic Ordinary Least Squares). As previsÃes geradas pela pesquisa confirmam a capacidade do MCE para geraÃÃo de previsÃo, devido Ã pequena margem de erro. AlÃm disso, foram feitas comparaÃÃes com as previsÃes realizadas pela SEFAZ-CE e com as de Rocha Neto (2008) ensejadas por modelos ARIMA, deste modo, pode-se dizer que o modelo empregado aqui Ã mais acurado do que o mÃtodo utilizado pela SecretÃria da Fazenda e do que o ARIMA para realizar previsÃo de arrecadaÃÃo mensal de ICMS.

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Lindgren, Jonathan. "Modeling credit risk for an SME loan portfolio: An Error Correction Model approach." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-136176.

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Sedan den globala finanskrisen 2008 har flera stora regelverk införts för att säkerställa att banker hanterar risker på sunt sätt. Bland dessa regelverk är Basel II som infört kapitalkrav för kreditrisk som baseras på Sannolikhet för Fallissemang och Förlust Givet Fallissemang. Basel II Advanced Internal-Based Approach ger banker möjligheten att skatta dessa riskmått för enskilda portföljer och göra interna kreditriskvärderingar. I överensstämmelse med Advanced Internal-Based-rating undersöker denna uppsats användningen av en Error Correction Model för modellering av Sannolikhet för Fallissemang. En modell som visat sin styrka inom stresstestning. Vidare implementeras en funktion för Förlust Givet Fallissemang som binder samman Sannolikhet för Fallissemang och Förlust Givet Fallissemang med systematisk risk. Error Correction Modellen modellerar Sannolikhet för Fallissemang av en SME-portfölj från en av de "fyra stora" bankerna i Sverige. Modellen utvärderas och stresstestas med Europeiska Bankmyndighetens stresstestscenario 2016 och analyseras, med lovande resultat.
Since the global financial crisis of 2008, several big regulations have been implemented to assure that banks follow sound risk management. Among these are the Basel II Accords that implement capital requirements for credit risk. The core measures of credit risk evaluation are the Probability of Default and Loss Given Default. The Basel II Advanced Internal-Based-Rating Approach allows banks to model these measures for individual portfolios and make their own evaluations. This thesis, in compliance with the Advanced Internal-Based-rating approach, evaluates the use of an Error Correction Model when modeling the Probability of Default. A model proven to be strong in stress testing. Furthermore, a Loss Given Default function is implemented that ties Probability of Default and Loss Given Default to systematic risk. The Error Correction Model is implemented on an SME portfolio from one of the "big four" banks in Sweden. The model is evaluated and stress tested with the European Banking Authority's 2016 stress test scenario and analyzed, with promising results.

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Zechman, Emily Michelle. "Improving Predictability of Simulation Models using Evolutionary Computation-Based Methods for Model Error Correction." NCSU, 2005. http://www.lib.ncsu.edu/theses/available/etd-08082005-105133/.

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Simulation models are important tools for managing water resources systems. An optimization method coupled with a simulation model can be used to identify effective decisions to efficiently manage a system. The value of a model in decision-making is degraded when that model is not able to accurately predict system response for new management decisions. Typically, calibration is used to improve the predictability of models to match more closely the system observations. Calibration is limited as it can only correct parameter error in a model. Models may also contain structural errors that arise from mis-specification of model equations. This research develops and presents a new model error correction procedure (MECP) to improve the predictive capabilities of a simulation model. MECP is able to simultaneously correct parameter error and structural error through the identification of suitable parameter values and a function to correct misspecifications in model equations. An evolutionary computation (EC)-based implementation of MECP builds upon and extends existing evolutionary algorithms to simultaneously conduct numeric and symbolic searches for the parameter values and the function, respectively. Non-uniqueness is an inherent issue in such system identification problems. One approach for addressing non-uniqueness is through the generation of a set of alternative solutions. EC-based techniques to generate alternative solutions for numeric and symbolic search problems are not readily available. New EC-based methods to generate alternatives for numeric and symbolic search problems are developed and investigated in this research. The alternatives generation procedures are then coupled with the model error correction procedure to improve the predictive capability of simulation models and to address the non-uniqueness issue. The methods developed in this research are tested and demonstrated for an array of illustrative applications.

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Tunehed, Per. "Is the Swedish housing market overvalued? : An analysis using a Vector error correction model." Thesis, Umeå universitet, Nationalekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-185129.

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This thesis attempts to answer if a bubble is growing on the Swedish housing market. This is done by assessing the extent to which supply and demand – represented by fundamentals – can explain the rise on the Swedish housing market. Empirically, this is done by estimating a Vector error correction model using quarterly data stretching from Q1 2000 to Q4 2019. The model uses house prices as its dependent variable and disposable income, interest rate, construction costs, financial assets, and employment as independent variables. The study finds that there is a long-run relationship between house price and the independent variables, and that this long-run relationship can explain the increase in house prices that has been seen in Sweden over the last two decades, and that this suggests that a housing bubble is unlikely. Furthermore, the model finds that, in the long-run, house prices are positively associated with financial assets, and negatively associated with disposable income, interest rates, construction costs and employment rate.

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Cirineo, Tony, and Bob Troublefield. "STANDARD INTEROPERABLE DATALINK SYSTEM, ENGINEERING DEVELOPMENT MODEL." International Foundation for Telemetering, 1995. http://hdl.handle.net/10150/608398.

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International Telemetering Conference Proceedings / October 30-November 02, 1995 / Riviera Hotel, Las Vegas, Nevada
This paper describes an Engineering Development Model (EDM) for the Standard Interoperable Datalink System (SIDS). This EDM represents an attempt to design and build a programmable system that can be used to test and evaluate various aspects of a modern digital datalink. First, an investigation was started of commercial wireless components and standards that could be used to construct the SIDS datalink. This investigation lead to the construction of an engineering developmental model. This model presently consists of wire wrap and prototype circuits that implement many aspects of a modern digital datalink.

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Nastansky, Andreas, Alexander Mehnert, and Hans Gerhard Strohe. "A vector error correction model for the relationship between public debt and inflation in Germany." Universität Potsdam, 2014. http://opus.kobv.de/ubp/volltexte/2014/5024/.

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In the paper, the interaction between public debt and inflation including mutual impulse response will be analysed. The European sovereign debt crisis brought once again the focus on the consequences of public debt in combination with an expansive monetary policy for the development of consumer prices. Public deficits can lead to inflation if the money supply is expansive. The high level of national debt, not only in the Euro-crisis countries, and the strong increase in total assets of the European Central Bank, as a result of the unconventional monetary policy, caused fears on inflating national debt. The transmission from public debt to inflation through money supply and long-term interest rate will be shown in the paper. Based on these theoretical thoughts, the variables public debt, consumer price index, money supply m3 and long-term interest rate will be analysed within a vector error correction model estimated by Johansen approach. In the empirical part of the article, quarterly data for Germany from 1991 by 2010 are to be examined.

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Mvita, Mpinda Freddy. "The impact of dividend policy on shareholders' wealth : evidence from the Vector Error Correction Model." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/31010.

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Dividend policy is widely researched in financial management, but determining whether it affects the market price per share is difficult. There has been much published on the subject, which presented theories such as the Modigliani, Miller, Gordon, Lintner, Walter and Richardson propositions and the relevance and irrelevance theories. However, little research has been done on the impact of dividend policy on shareholders’ wealth while considering the short- and long-run effects. The Vector Error Correction Model (VECM) was used to describe the short-run and long-run dynamics or the adjustment of the cointegrated variables towards their equilibrium values in South Africa. This study attempts to explain the effect of dividend policy on the market price per share. A sample of 46 companies listed on the Johannesburg Securities Exchange (JSE) was selected for the period 1995-2010. Three variables were used, namely the market price per share, the dividend per share and the earnings per share. The market price per share was used as a proxy in measuring shareholders’ wealth and the dividend per share was used as a proxy in measuring the dividend policy. Fixed and random effects models were applied to panel data to determine the relation between dividend policy and market price per share. The fixed effects method was used to control the stable characteristics of the companies over a fixed period. The random effects model was applied when the companies’ characteristics differed. Results for both models indicated that dividend yield is positively related to market price per share, while earnings per share do not have a significant impact on the market price per share. To test the strength of the long-run relationship, the VECM was applied. The coefficient for dividend per share in the co-integrating equation was positive, while the coefficient for earnings per share was negative. This confirms previous research findings. The results suggest that there is a long-run relationship between dividend per share and market price per share. The Granger causality test indicates there is bi-directional Granger causality between market price per share and dividend per share in South Africa. Therefore dividend policy does have a significant long-run impact on the share price and therefore provides a signal about the company’s financial success.
Dissertation (MCom)--University of Pretoria, 2012.
Financial Management
Unrestricted

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Ercolani, Marco G. "Price uncertainty, investment and consumption." Thesis, University of Essex, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.265023.

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Brandt, Oskar, and Rickard Persson. "The relationship between stock price, book value and residual income: A panel error correction approach." Thesis, Uppsala universitet, Statistiska institutionen, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-254344.

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In this paper we examine the short and long-term relations between stock price, book value and residual income. We employ a panel error correction model, estimated with Engle & Granger’s (1987) two-step procedure and the single equation methodology. The models are estimated with FE-OLS and the MG-estimator. We find that stock prices adjust previous periods equilibrium error. Further, we find that book value has short and long-term effects on stock prices. Finally, this paper finds mixed results regarding residual incomes impact on stock prices. The MG-estimator finds evidence for a short-term relationship, while the FE-OLS provides insignificant or weak support for short-term effects. FE-OLS and MG-estimator find insignificant or weak support regarding residual incomes long-term effects.

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Mikhailitchenko, Serguei, and na. "The Australian Housing Market: Price Dynamics and Capital Stock Growth." Griffith University. Department of Accounting, Finance and Economics, 2008. http://www4.gu.edu.au:8080/adt-root/public/adt-QGU20100729.074134.

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This study was motivated by the desire to contribute to the understanding of the movement of house prices and the role of the so-called economic fundamentals in the housing market, especially within an Australian context. The core objective of this thesis is to aid understanding of the economic and other mechanisms by which the Australian housing market operates. We do this by constructing an analytical framework, or model, that encompasses the most important characteristics of the housing market. This thesis examines two important aspects of the Australian housing market: movements of house prices and changes in the net capital stock of dwellings in Australia. Movements of house prices are modelled from two perspectives: firstly, using the fundamental approach, which explains the phenomena by changes in such fundamental explanatory variables as income, interest rates, population and prices of building materials, and secondly, by analysing spatial interdependence of house prices in Australian capital cities. Changes in stock of dwellings were also modelled on the basis of a fundamental approach by states and for Australia as a whole...

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21

Rajam, G. "The UK food chain : restructuring, strategies and price transmission." Thesis, University of Nottingham, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.243617.

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Behar, Alberto. "Estimating elasticities of demand and supply for South African manufactured exports using a vector error correction model." Master's thesis, University of Cape Town, 2002. http://hdl.handle.net/11427/10118.

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Bibliography: leaves 82-83.
Elasticities of demand and supply for South African manufactured exports are estimated using the co-integrating vector autoregression / vector error correction model approach in order toaddress simultaneity and non-stationarity issues. Demand is highly price-elastic, ranging from-3 to -6. The price elasticity of supply is 1. Competitors' prices and world income are an important determinant of demand, but domestic capacity utilization is not an important determinant of export supply.

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Htet, Maung Soe. "Airline Error Correction Model and Its Application to Forecast the California Carbon Monoxide, Precipitation, and Air Temperature." Thesis, Southeast Missouri State University, 2018. http://pqdtopen.proquest.com/#viewpdf?dispub=10617045.

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Environmental data such as carbon monoxide (CO), precipitation, air temperature, and traffic have recently drawn the attention of researchers. Several time series models such as Seasonal Autoregressive Integrated Moving Average (SARIMA) and Vector Autoregressive (VAR) models have been applied to forecast CO. A VAR model can study extrinsic and intrinsic variables together but it does not incorporate seasonality. An Airline model is a special case of SARIMA which uses only an intrinsic variable and incorporates seasonality. The purpose of this thesis is to propose a time series model which incorporates seasonality and uses an extrinsic variable to forecast an intrinsic variable. The model is called Airline Error Correction Model (AECM). This thesis uses AECM to forecast CO using traffic, precipitation and air temperature as extrinsic variables. The forecasts using different models of AECM are compared to forecasts using VAR and Airline models. The results of the study show that AECM does a better job on forecasting than VAR and Airline models.

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Javeid, Umer. "Okun's Law : Empirical Evidence from Pakistan (1981-2005)." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-16168.

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The main objective of this research paper is to find the association between unemployment rate and GDP growth which is presented empirically by Arthur Okun’s in early 1960s. For this purpose I have used annual time series data during the period 1981-2005 of Pakistan. I applied difference version of Okun’s law which is more appropriate to access results directly from empirical data. In order to find long run relation between the variables I used Engle-Granger cointegration technique and Error Correction Mechanism (ECM) to find the short term behavior of GDP growth to its long run value. This paper verifies negative relationship between unemployment rate and GDP growth and both variables have long run relation with each other. Moreover GDP growth will adjust more quickly towards equilibrium in the long run.

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Persson, Rickard. "The short and long-term interdependencies between stock prices and dividends: A panel vector error correction approach." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-255666.

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This paper examines the short and long-term interdependencies between stock prices and dividends. I utilize firm level data from FTSE ALL SHARE from 1990-2014 and apply panel vector error correction model estimated with Engle & Grangers (1987) two-step procedure. The results show that there is a bi-directional long-term relationship between stock prices and dividends, i.e. an adjustment process is at work when a disequilibrium occurs. I also find a bi-directional short-term relationship. This paper also shows that Lintners model and the present value model are relevant frameworks in stock valuations.

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Croswell, Joseph Adam 1977. "A model for analysis of the effects of redundancy and error correction on DRAM memory yield and reliability." Thesis, Massachusetts Institute of Technology, 2000. http://hdl.handle.net/1721.1/32094.

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Thesis (M.Eng.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2000.
This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Includes bibliographical references (leaf 57).
Manufacturing a DRAM module that is error free is a very difficult process. This process is becoming more difficult when only utilizing the current methods for producing an error free DRAM. Error correction codes (ECCs) and cell replacement are two methods currently used in isolation of each other in order to solve two of the problems with this manufacturing process: increasing reliability and increasing yield, respectively. Possible solutions to this problem are proposed and evaluated qualitatively in discussion. Also, a simulation model is produced in order to simulate the impacts of various strategies in order to evaluate their effectiveness.
by Joseph Adam Croswell.
M.Eng.

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27

Holm, Hanna. "Housing Investment in Germany : an Empirical Test." Thesis, Uppsala University, Department of Economics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-7048.

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In this thesis I study the German housing market and specifically the level of housing investment. First, a theoretical background to housing market dynamics is presented and then I test whether there is a relationship between housing investments and GDP, the size of the population, Tobin’s Q and construction costs. An Error Correction Model is estimated and the result is that the equilibrium level of housing investment is restored after less then two quarters after a change in one of the explainable variables. The estimation indicates that GDP, the size of the population and construction costs affect the level of construction in the short run. However, in the long run the only significant effect is changes in construction cost.

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Sperling, Richard. "Estimating Oligopsony Power in the United States Market for Slaughter Hogs: An Error Correction Approach." Columbus, Ohio : Ohio State University, 2002. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1024511205.

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Thesis (Ph. D.)--Ohio State University, 2002.
Title from first page of PDF file. Document formatted into pages; contains x, 94 p.; also includes graphics. Includes abstract and vita. Advisor: Ian M. Sheldon, Dept. of Agricultural, Environmental, and Development Economics. Includes bibliographical pdnerences (p. 83-94).

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Nüß, Patrick. "An empirical analysis of the Phillips Curve : A time series exploration of Germany." Thesis, Linnéuniversitetet, Institutionen för nationalekonomi och statistik (NS), 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-27177.

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The purpose of the paper is to explore the relationship between inflation and unemployment in Germany during the period from 1970 to 2012. Through the methods of cointegration, dynamic OLS and an error correction model, this paper highlights that there is no short run negative relationship between inflation and unemployment, and consequently the short run Phillips curve is an unsuitable instrument for making political decisions. Furthermore, there is a long run relationship between inflation and unemployment, which can be explained with asymmetric nominal wage rigidities and resulting frictional growth. Resulting policy implications reflect the advantage of a permanent higher inflation target for Germany. Since the beginning of the European Monetary Union, Germany has been on average 0.5% under the permanent inflation target of the central bank. Therefore, by using fiscal policy, Germany can reduce permanent unemployment without missing the inflation target of the central bank. Finally, despite of variety of intensive changes in the macroeconomic situation and particularly through the establishment of the European Monetary Union, the CUSUM and CUSUMsq test reveal that the estimate holds validity over the entire observation period and has not changed since the beginning of the European Monetary Union.

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Hlongwane, Tshembhani Mackson. "The effect of South African public debt on economic growth: An ARDL cointegration approach from 1961-2017." University of Western Cape, 2019. http://hdl.handle.net/11394/7927.

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Magister Commercii - MCom
This study investigates the effect of public debt on economic growth in South Africa since 1961-2017. Public debt stock is disaggregated into external debt and domestic debt in order to determine the effect of each on economic growth independently. The study employed the ARDL bound test to estimate the long and short run relationship among several macroeconomic variables - real economic growth, domestic debt, external debt, budget deficit, inflation rate and investment. An error correction model was used to analyses the short-run disequilibrium. The results show that there is a short and long run equilibrium relationship between foreign debt, domestic debt, budget deficit, inflation rate and economic growth. The empirical results indicate that external debt negatively affects the real GDP growth in South Africa, both in the short and long-run. Several policy implications emerged from the empirical results. To keep public debt more manageable, South Africa should improve its debt management. Furthermore, the country can make use of debt to equity swaps by privatizing underperforming parastatals. This would make them competitive and efficient.

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Calson-Öhman, Frida. "The effect of increased e-commerce on inflation." Thesis, Södertörns högskola, Nationalekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-35495.

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The purpose of this essay is to answer the following questions: Has the increased e-commerce had a negative impact on the inflation, and is the effect decreasing? and: Is there a long term and/or short term effect by the increased e-commerce on the inflation? To answer the first question a fixed effects regression model is applied, based on panel data for 28 European countries for the time period 2006-2017. The regression obtains results that support the hypothesis that the increased e-commerce has had a negative effect on inflation. Furthermore, the result indicates that the effect is decreasing. The second question is answered with the help of an Error Correction Model and time series data for Sweden during the period 2006-2017. The result shows that there is an error correction towards a long run equilibrium and the short term estimates indicate that there is a negative short term effect of the increased e-commerce on inflation. These results are in line with the hypothesis of this essay as well as previous studies that have examined similar questions.

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Meki, Brian. "Examining long-run relationships of the BRICS stock market indices to identify opportunities for implementation of statistical arbitrage strategies." Thesis, University of the Western Cape, 2012. http://hdl.handle.net/11394/4348.

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>Magister Scientiae - MSc
Purpose:This research investigates the existence of long-term equilibrium relationships among the stock market indices of Brazil, Russia, India, China and South Africa (BRICS). It further investigates cointegrated stock pairs for possible implementation of statistical arbitrage trading techniques.Design:We utilize standard multivariate time series analysis procedures to inspect unit roots to assess stationarity of the series. Thereafter, cointegration is tested by the Johansen and Juselius (1990) procedure and the variables are interpreted by a Vector Error Correction Model (VECM). Statistical arbitrage is investigated through the pairs trading technique.Findings:The five stock indices are found to be cointegrated. Analysis shows that the cointegration rank among the variables is significantly influenced by structural breaks. Two pairs of stock variables are also found to be cointegrated. This guaranteed the mean reversion property necessary for the successful execution of the pairs trading technique. Determining the optimal spread threshold also proved to be highly significant with respect to the success of this trading technique.Value:This research seeks to expand on the literature covering long-run co-movements of the volatile emerging market indices. Based on the cointegration relation shared by the BRICS, the research also seeks to encourage risk taking when investing. We achieve this by showing the potential rewards that can be realized through employing appropriate statistical arbitrage trading techniques in these markets.

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Binase, Uviwe. "Socioeconomic determinants of life expectancy in post-apartheid South Africa." University of the Western Cape, 2018. http://hdl.handle.net/11394/6790.

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Magister Philosophiae - MPhil
Life expectancy in South African has been fluctuating following the global trends that affects both developed and developing countries. In South Africa the average life expectancy from 1994 to 1996 was higher with an average of 61,3 years. As from 1997 to 1999 it declined to an average of 58,4 years. The difference in years between 1994-1996 and 1997- 1999 was 2,9 years. From 2000-2002, life expectancy continued to decline to an average of 54,6 years. Life expectancy declined in a constant proportion from 2003-2005 and 2006-2008. In 2003-2005 it slightly declined to 52 years and in 2004-2007 it declined to 42,0 years. Life expectancy escalated after the mentioned years to 54,4 years between 2009-2011 and from 2012-2013 life expectancy was 54,0 years on average. This study examined factors or variables that verify the socioeconomic determinants of life expectancy in post-apartheid South Africa. Understanding the relationship between life expectancy and the socioeconomic variables was based on three objectives. The main objective for this study was to determine the impact of socioeconomic variables and health policy efforts on life expectancy, seeking an in-depth understanding by investigating the causality relationship between life expectancy and socioeconomic variables thus later investigating the difference between male and female’s life expectancy. This study was motivated by the fluctuating life expectancy in South Africa. The fluctuation in life expectancy were thus studied in relation to socioeconomic determinants which are government health expenditure, government education expenditure, GDP per capita, total fertility rate, urban population, access to sustainable drinking water and undernourishment. The mentioned variables were used as socioeconomic determinants of life expectancy during post-apartheid South Africa.

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Krýslová, Petra. "Analýza vývoje dluhu v České republice." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359247.

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The aim of this diploma thesis is to analyze the development of the total volume of debt in the Czech Republic and the analysis separately for the household sector and non-financial corporations. From economic theoretical assumptions it can be concluded that there is a correlation between the amount of loans and GDP development or between credit and economic cycle. The thesis is divided into three parts. The first part made up of chapters 1 to 4, describes the theory used further in the text. The second part, Chapter 5, describes the specific time series used in the thesis, i.e. The time series of the volume of debt for the Czech Republic, GDP and interest rates. Interest rates and the volume of debt are further broken down by maturity and also by two selected sectors. The last part, Chapter 6, focusing on co-integration analysis, ADL and error correction models, attempts to capture short-term and long-term relationships between the time series.

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Demeš, Jiří. "Ekonometrická analýza vývoje inflace v ČR." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-4847.

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The degree work is focused on analysis of inflation with help of suitable econometric models. Inflation with it's forms and possibilities of measuring is described at the beginning of the paper. There is mentioned an importance of monitoring and analysing inflation in view of Czech national bank. Consequently there are described characteristics of time series, which are important from viewpoint of construction of econometric models. Next part of this paper is focused on characterization of econometrics models. At first there is vector autoregression model, in this connection there is discussed the essence of Granger causality and impulse reaction. There are also noticed both error correction model and vector error correction model. The empirical part of degree work involves the use of these models on selected macroeconomic time series of the Czech republic. The objective is to analyze the relationship between inflation and other individual macroeconomic quantities. There is established the optimal vector autoregressive model and the results of Granger causality and impulse reaction are interpretated. Both error correction model and vector error correction model examining cointegration are also applied.

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Frei, Lukas. "The Markov-switching vector error correction model: dynamics, bayesian inference, and application to the spot and forward Swiss Franc, US Dollar exchange rates." Berlin dissertation.de, 2007. http://d-nb.info/989281892/04.

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Frei, Lukas. "The Markov-switching vector error correction model : dynamics, Bayesian inference, and application to the spot and forward Swiss franc/US dollar exchange rates /." Berlin : dissertation.de, 2008. http://www.dissertation.de/buch.php3?buch=5540.

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38

Hillefors, Hanna, and Nathalie Isaksson. "De svenska hushållens sparande : Vilka faktorer påverkar sparkvoten? En reflektion under den rådande Corona-pandemin." Thesis, Högskolan Väst, Avd för juridik, ekonomi, statistik och politik, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:hv:diva-17329.

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The savings ratio for Swedish households is record-breaking and Sweden, together with the rest of the world, is currently in the middle of a pandemic. What drives individuals to save is based on a number of different factors that previous research has concluded. The purpose of this study is to, with previous research as a basis, investigate which factors affect the savings ratio for Swedish households. Quarterly data for the years 1982–2020 is analyzed in a time series by first processing for unit roots and then cointegration. The data is then estimated in a multiple linear regression in the form of an “Error Correction Model”, with the intention of investigating both the short-term and long-term relationship. The results of the study indicate that the variables that have a significant impact on the change in the household savings ratio are GDP per capita, inflation, unemployment and consumption, while public savings and the development of the stock market have a significant but less considerable effekt. The economic theories that the study findssupport for are the theory of precautionary savings as well as the standard buffer-stock model.
Sparkvoten hos svenska hushåll är rekordhög och Sverige, tillsammans med resten av världen, befinner sig för närvarande mitt i en pandemi. Vad som driver individer till att spara grundar sig i en rad olika faktorer som tidigare forskning kommit fram till. Syftet med denna studie är att, med tidigare forskning som grund, undersöka vilka faktorer som påverkar sparkvoten för svenska hushåll. Kvartalsdata för åren 1982–2020 analyseras i en tidsserie genom att först behandlas för enhetsrötter och sedan kointegration. Därefter skattas de i en multipel linjär regressionsanalys i form av en ”Error Correction Model”, med avsikt att utreda både det kortsiktiga- och långsiktiga sambandet. Resultatet av studien indikerar att de variabler som har en signifikant betydande påverkan på förändringen i hushållens sparkvot är BNP per capita, inflation, arbetslöshet samt konsumtion, medan offentligt sparande och utveckling av aktiemarknaden har en signifikant men mindre betydande effekt. De ekonomiska teorier som studien finner stöd i är teorin om försiktighetssparandet samt standard buffertlager-modellen.

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39

Malmström, Anna. "The alleged negative consequence of higher productivity : An empirical analysis on the effect of relative productivity on terms of trade." Thesis, Uppsala University, Department of Economics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-7655.

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The relationship between increased productivity and improved standard of living is not a questioned statement on the global level, but does productivity growth necessarily lead to higher standard of living on the national level? Supported by empirical results it is suggested that a high relative productivity growth should not always be worth striving for, since it translates into decreased welfare, in terms of deteriorated terms of trade. This study attempts to examine the impact of relative productivity on the terms of trade in the OECD-countries and in Sweden, with an error-correction model. Further is an extension of the purpose made in order to estimate the impact of increased relative productivity growth on the welfare. The results suggest that the method for measuring productivity has a great impact on the findings, but concludes that a 1% higher relative labour productivity growth is associated with a 0.23% decline in the terms of trade.

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Bazarcheh, Shabestari Negin. "Energy Consumption, CO2 Emissions and Economic Growth : Sweden's case." Thesis, Södertörns högskola, Nationalekonomi, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-35502.

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The main purpose of this study is to examine the causal relations between energy use, CO2 emissions and economic growth for Sweden. Vector Error Correction model with annual data from 1970 to 2016 has been used in order to determine potential causality between the variables. The empirical findings indicate that in the long-run, causality relationship between energy consumption, CO2 emissions and economic growth cannot be rejected and it is bidirectional. This means that energy is a determining factor for economic growth in Sweden and that applying policies in order to reduce the CO2 emissions has slowed down economic growth in Sweden. This finding is consistent with the Feedback Hypothesis. But in the short-run no causality was found between energy and economic growth. According to Granger causality test results, bidirectional causality between CO2 emissions and energy consumption cannot be rejected in the short-run. Variables’ trends show that in the period under study, energy consumption and economic growth have moved in the same direction; meaning that higher energy consumption has led to higher economic growth. At the same time, lower CO2 emissions have been accompanied by higher economic growth. There is also short-run causality running from capital to economic growth according to VECM results. It can be suggested to the policy makers that in order to maintain economic growth and reduce environmental degradation, energy consumption should be shifted gradually from nonrenewable sources to renewable ones so to avoid decrease in economic growth and ensure lower levels of CO2 emissions in the long-run.

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Rafalimanana, Aina Malala. "Determinants of Inflation in Madagascar." OpenSIUC, 2012. https://opensiuc.lib.siu.edu/theses/809.

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This paper examines the main determinants of inflation in Madagascar during the period 1984-2011, using cointegration approach. The empirical results highlight the existence of a stable money demand relationship that dictates the movement of prices in the long run, as well as a long run equilibrium involving domestic prices, exchange rate and foreign prices. Also, we found two long term relationships involving money, aggregate price, oil price, as well rice price. In the short run, inflation adjusts to deviation from the long run equilibrium in the monetary market, money growth have a positive impact on inflation while an appreciation of the exchange rates causes inflation to decelerate. We also find that inflation has a considerable inertia, movements in the prices of oil and rice affect the inflation rate in the short term, and the influence of external shocks are quite important. Variance decomposition and impulse response allow to examine the responses of the variables to various shocks.

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Tasnim, Sumaya. "Renewable Energy Consumption and Foreign Direct Investment : Bangladesh's Case." Thesis, Södertörns högskola, Nationalekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-43739.

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FDI investment is a vital factor for the developing countries economic growth. Apart from working as a catalyst of increasing total output level, FDI is a source of clean energy, technology transfer and energy efficiency. There have been very limited studies on the impact of FDI on renewable energy consumption in the context of Bangladesh. In fact, to my best knowledge there hasn’t been any studies on Bangladesh regarding this relationship with recent data available. Therefore, the aim of this paper is to reveal the relationship between FDI and renewable energy consumption in Bangladesh with annual Data spanning from 1980 to 2016. Johansen’s cointegration test showed that variables are cointegrated in the long run. Through Vector Error Correction Model (VECM), the paper shows there is short run and long run causality between FDI and Renewable Energy Consumption and the causality is negative. Granger causality test reveals that the direction of causality is running from FDI to Renewable Energy Consumption. Policies regarding attracting more sectoral FDI should be considered to improve investment scenario in Renewable energy sector.

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Hansson, Olof, and Isak Aggeborn. "Pairs Trading: an Extension to the CointegrationApproach : Can a cointegration approach based on low frequency data trading still beatthe market in contemporary years?" Thesis, Uppsala universitet, Statistiska institutionen, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-324593.

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This paper examines the (in contemporary literature inconclusive) usefulness ofcointegration between stock prices as basis for a trading strategy. The primary contributionto previously used frameworks of the paper is the implementation and use of error correctionmodels for selection of stocks to trade on. Evaluation is done through simulated resultsrunning the algorithm on the sectors of the Standard and Poor’s 500 index in the years 2005through 2014. Results indicate that trading strategies of this nature may be very successfuleven in recent years given that the universe of tradeable stocks within a sector is sufficientlylarge. The application of error correction models improve average returns, though in a waynot originally anticipated.

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Schaefer, Martina Christina Marion. "The interaction between speech perception and speech production: implications for speakers with dysarthria." Thesis, University of Canterbury. Communication Disorders, 2013. http://hdl.handle.net/10092/8610.

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The purpose of the research presented here was to systematically investigate the role of speech perception on speech production in speakers of different ages and those with PD and hypokinetic dysarthria. For this, the experimental designs of auditory perturbation and mimicry were chosen. The initial research phase established that the magnitude of compensation to auditory vowel perturbation was reduced in 54 speakers of New Zealand English (NZE) when compared to previous studies conducted with speakers of American (AE) and Canadian English (CE). A number of factors were studied to determine possible predictors of compensation and distinguish between potential changes associated with ageing. However, no predictors of compensation were found for the overall group. Post-hoc analyses established an increased variability in response patterns in NZE when compared to previous studies of AE and CE. Subsequent follow-up analyses focused on the response-dependent categories of (1) big compensators, (2) compensators, (3) big followers, and (4) followers. Linear mixed-effect modelling revealed that in big compensators, the magnitude of compensation was greater in speakers who exhibited larger F1 baseline standard deviation and greater F1 vowel distances of HEAD relative to HEED and HAD. F1 baseline standard deviation was found to have a similar predictive value for the group of compensators. No predictors of compensation were found for the other two subgroups. Phase two was set up as a continuation of phase one and examined whether a subset of 16 speakers classified as big compensators adapted to auditory vowel perturbation. Linear mixed-effect modelling revealed that in the absence of auditory feedback alterations, big compensators maintained their revised speech motor commands for a short period of time until a process of de-adaptation was initiated. No predictors of adaptation were found for the group. Due to the unexpected results from the first two research phases indicating a dominant weighting of somatosensory feedback in NZE compared to auditory-perceptual influences, a different experimental paradigm was selected for phase three - mimicry. The purpose of this study was to determine whether eight speakers with PD and dysarthria and eight age-matched healthy controls (HC) are able to effectively integrate speech perception and speech production when attempting to match an acoustic target. Results revealed that all speakers were able to modify their speech production to approximate the model speaker but the acoustic dimensions of their speech did not move significantly closer to the target over the three mimicry attempts. Although speakers with moderate levels of dysarthria exhibited greater acoustic distances (except for the dimension of pitch variation), neither the perceptual nor the acoustic analyses found significant differences in mimicry behaviour across the two groups. Overall, these findings were considered preliminary evidence that speech perception and speech production can at least to some extent be effectively integrated to induce error-correction mechanisms and subsequent speech motor learning in these speakers with PD and dysarthria.

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Li, Xiaoying. "The impact of wind power generation on the wholesale electricity price : Evidence from the Swedish electricity market." Thesis, Umeå universitet, Nationalekonomi, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-137184.

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Wind energy has been growing rapidly during recent years. This paper aims to estimate the impact of wind power generation on the Swedish wholesale electricity price, using monthly time series data over the periods 2000-2016. The error-correction model is used to measure the price effect by including other factors that influence the electricity supply and demand. Thefindings suggest that the impact of changes in wind power production on the wholesale priceof electricity is negative in the short-term. When the wind power production increases by 1%, the wholesale electricity price decreases with 0.08%. Furthermore, the magnitude of the coefficient increases to 0.10% in the long-term.

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Ng, Philip Chooi Wan. "Design of Model-based Controller for Model-based Optical Proximity Correction with Optimal Resist Threshold Determination and Effective Error Definition for Improving Correction Convergence." 2007. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-1907200715000200.

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Mahembe, Edmore. "Foreign direct investment inflows and economic growth in SADC countries : a panel data approach." Diss., 2014. http://hdl.handle.net/10500/14232.

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This dissertation examines the causal relationship between inward foreign direct investment (FDI) and economic growth (GDP) in SADC countries. The study investigates, within a panel data context, whether causation is short-term, long-term or both; and explores whether the causal relationship between the two variables differs according to income level. The study covered a panel of 15 SADC countries over the period 1980-2012. In order to assess whether the causal relationship between FDI inflows and economic growth is dependent on the level of income, the study divided the SADC countries into two groups, namely, the low-income and the middleincome countries. The study used the recently developed panel data analysis methods to examine this causal relationship. It adopted a three stage approach, which consists of panel unit root, panel cointegration and Granger causality to examine the dynamic causal relationship between the two variables. Panel unit root results show that both variables in the two SADC country groups were integrated of order one. Panel cointegration tests showed that the variables for low-income country group were not cointegrated, while the variables for the middle-income countries were cointegrated. Since the low-income country group panels were not cointegrated, Grangercausality tests were conducted within a VAR framework, while causality tests for the middleincome country group were conducted within an ECM framework. Panel Granger causality results for the low-income countries showed no evidence of causality in either direction. However, for the middle-income countries’ panel, there was evidence of a unidirectional causal flow from GDP to FDI in both the long- and short- run. The study concludes that the FDI-led growth hypothesis does not apply to SADC countries. The results imply that the recent high economic growth rates recorded in the SADC region, especially middle-income countries, have been attracting FDI. In other words, it is economic growth that drives FDI inflows into the SADC region, and not vice versa. These findings have profound policy implications for the SADC region at large and individual countries.
Economics
MCOM (Economics)

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48

Tsai, Yu-Jung, and 蔡育蓉. "Nonlinear Smooth Transition Error Correction Model in Exchange Rates." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/66272674641321577010.

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碩士
淡江大學
財務金融學系碩士班
95
Recent research has increasingly suggested that exchange rates may be characterized by non-linear behaviors. The purpose of this paper is to investigate the exchange rates in Taiwan. The exchange rates include spot and forward exchange rates, and furthermore the forward rates include 10-days、30-days、60-days、90-days、180-days. We examined whether a series of spot and forward exchange rates exhibit non-linear smooth transition error correcting dynamic behaviors. The results show that all series of spot and forward exchange rates except 180-days have cointegrating relationship which is predicted by the Expectation Hypothesis. We consider error-correction term as a transition variable for non-linear error correction models. This paper finds that the smooth transition error correction model (STECM) may be appropriate to analyzing the series of spot and forward exchange rates. The evidence propose that the LSTECM model is the best for all series of spot and forward exchange rates, which means the adjustment behaviors from lower regime to upper regime is smooth not jump.

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49

Hung, Te-Wang, and 洪德旺. "Taiwan Money Demand Function in Smooth Transition Error Correction Model." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/34749653163796570561.

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碩士
淡江大學
財務金融學系碩士班
97
Most models of the past research on macroeconomic variables are linear ones. However, since Granger and Teräsvirta proposed the smooth transition regression (STR) methodology, discussing macroeconomic variables by applying nonlinear models are going to be the mainstream. The purpose of this paper is to test and diagnose if the money demand of Taiwan exists any nonlinear forms . Empirical results indicate that real M2,real GDP, real exchange rate and saving deposit rate have a long term relationship under some specific threshold value. On the selection of choosing models, it is more suitable to select the LSTECM model which has better capacity than other linear models to explain macroeconomic meanings.

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50

蔡蓓婷. "Taiwan Money Demand Function in Smooth Transition Error Correction Model." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/87420003218534739742.

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碩士
淡江大學
財務金融學系
92
The article applied nonlinear model to build up the Taiwan money demand function in smooth transition error correction model. The main purpose is to analyze the short-run dynamic adjustment to long-run equilibrium in money demand function. Take Taiwan as a small open economy system, the exchange rate, income and interest rates are the endogeneous variables in money demand function, then estimate the money demand function. About econometric method, the article applied maximum likelihood test to get a long-run cointegration relation, then build up the linear error correction model. But after error and model test, the linear error correction model isn''t suitable for analyze Taiwan money demand function’s short-run dynamic adjustment behavior. Therefore applied the LM-type test on the linearity. We reconfirm nonlinear logistic smooth transition error correction model for the money demand function in Taiwan. Then through the serial correlation test, the normality test, the conditional heteroscedasticity for error, and the Ramsey’s model specification test, we find that use logistic smooth transition error correction model to analyze the adjustment behavior of money demand function in Taiwan than linear error correction model, and short-run dynamic adjustment have asymmetric smooth transition process.

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Dissertations / Theses on the topic 'Error Correction Model (ECM)'

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