Relevant bibliographies by topics / Error correction vector model

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Academic literature on the topic 'Error correction vector model'

Author: Grafiati
Published: 4 June 2021
Last updated: 17 February 2022

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Journal articles on the topic "Error correction vector model"

1

Abusharbeh, Mohammed. "Determinants of Islamic bank financing in the Middle East: Vector Error Correction Model (VECM)." Investment Management and Financial Innovations 17, no. 4 (2020): 285–98. http://dx.doi.org/10.21511/imfi.17(4).2020.25.

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As the world has been struck with a global financial crisis, Middle Eastern countries have been affected as well. Thus, Islamic banks have expanded, and the competitive advantage has become intensive with the increased number of conventional banks in the global banking system. This manuscript is aimed to examine the impact of macroeconomic and bank-specific factors on Islamic bank financing in the Middle Eastern countries. Therefore, the Vector Error Correction Model and the Granger causality test were run from 2009 to 2018 to detect the long- and short-run relationship between the explanatory
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2

Gonzalo, Jesùs, and Jean-Yves Pitarakis. "Specification via model selection in vector error correction models." Economics Letters 60, no. 3 (1998): 321–28. http://dx.doi.org/10.1016/s0165-1765(98)00129-3.

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3

Liao, Zhipeng, and Peter C. B. Phillips. "AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS." Econometric Theory 31, no. 3 (2015): 581–646. http://dx.doi.org/10.1017/s026646661500002x.

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Model selection and associated issues of post-model selection inference present well known challenges in empirical econometric research. These modeling issues are manifest in all applied work but they are particularly acute in multivariate time series settings such as cointegrated systems where multiple interconnected decisions can materially affect the form of the model and its interpretation. In cointegrated system modeling, empirical estimation typically proceeds in a stepwise manner that involves the determination of cointegrating rank and autoregressive lag order in a reduced rank vector
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Wong, James M. W., Albert P. C. Chan, and Y. H. Chiang. "Forecasting construction manpower demand: A vector error correction model." Building and Environment 42, no. 8 (2007): 3030–41. http://dx.doi.org/10.1016/j.buildenv.2006.07.024.

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5

Faghih, Sayed Amir Mohsen, and Hamed Kashani. "Forecasting Construction Material Prices Using Vector Error Correction Model." Journal of Construction Engineering and Management 144, no. 8 (2018): 04018075. http://dx.doi.org/10.1061/(asce)co.1943-7862.0001528.

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6

Van Gestel, Tony, Marcelo Espinoza, Bart Baesens, Johan A. K. Suykens, Carine Brasseur, and Bart De Moor. "A Bayesian nonlinear support vector machine error correction model." Journal of Forecasting 25, no. 2 (2006): 77–100. http://dx.doi.org/10.1002/for.975.

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7

Jiang, Yixiao, George K. Zestos, and Zachary Timmerman. "A Vector Error Correction Model for Japanese Real Exports." Atlantic Economic Journal 48, no. 3 (2020): 297–311. http://dx.doi.org/10.1007/s11293-020-09675-1.

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8

Sung, Joo-han. "A Study on the Apartment Sale Price Decision Model Using Vector Error Correction Model (VECM): Focusing on the Housing Market in Changwon City." Housing Finance Research 5, no. 1 (2021): 27–49. http://dx.doi.org/10.52344/hfr.2021.5.1.27.

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9

Khera, Aastha, and Neelam Dhanda. "Empirical Relationship between Macroeconomic Variables and Stock Prices of Indian Banking Sector: A Vector Error Correction Model Approach." Review of Finance and Banking 12, no. 2 (2020): 189–98. http://dx.doi.org/10.24818/rfb.20.12.02.06.

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This existing study aims to investigate the relationship between Indian Bankingstock market prices and macroeconomic variables. The proxy for the Indian Banking stockmarket is Nifty Bank while Foreign Reserve, Exchange Rate (Indian vs US Dollar), Interestrate, and CPI are proxies of macroeconomic variables. Johansen Cointegration and VectorError Correction Model (VECM) on monthly data from January 2013 to July 2020 have beenapplied. Considering the results of cointegration, it is found that there is a long-run asso-ciation between the Indian Banking stock market and constituent macroeconomic v
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10

Seong, Byeongchan, and Hyosang Jung. "Structural Vector Error Correction Model for Korean Labor Market Data." Korean Journal of Applied Statistics 26, no. 6 (2013): 1043–51. http://dx.doi.org/10.5351/kjas.2013.26.6.1043.

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