This paper develops a Bayesian Vector Error Correction Model (BVECM) for forecasting inventory investment in South Africa. The model is estimated using quarterly data on actual sales, production, unfilled orders, price levels and interest rates, for the period of 1978 to 2000. The out-of-sample-forecast accuracy obtained from the BVECM, over the forecasting horizon of 2001:1 to 2003:4, is compa...

This study considers the forecasting of mortality rates in multiple populations. We propose a model that combines mortality forecasting and functional data analysis (FDA). Under the FDA framework, the mortality curve of each year is assumed to be a smooth function of age. As with most of the functional time series forecasting models, we rely on functional principal component analysis (FPCA) for...

A second-moment regime-switching regression, which considers not only a switching intercept and a switching slope, but a switching error variance is applied to investigate the impacts of the exchange rate uncertainty (ERU) on the corporate values (CVs) for the industries concerned in Taiwan. Two different regimes of a strong-impact and a weak-impact are identified. However, the dominant power v...

Economists are often tasked with estimating the benefits or costs associated with livestock production losses; however, lack of available data or absence of consistent reporting can reduce the accuracy of these valuations. This work looks at three potential estimation techniques for determining the value for replacement beef cows with varying types of market data to proxy constrained data avail...

In the presence of generalized conditional heteroscedasticity (GARCH) in the residuals of a vector error correction model (VECM), maximum likelihood (ML) estimation of the cointegration parameters has been shown to be efficient. On the other hand, full ML estimation of VECMs with GARCH residuals is computationally difficult and may not be feasible for larger models. Moreover, ML estimation of V...

In this paper, for the first time, we investigate relationship between infrastructure and sectoral distribution of FDI inflow in China. We use Estimating Autoregressive Distributed Lag (ARDL) bound testing Vector Error Correction Model (VECM) procedures estimation. To unmask shortcomings previous literature, a composite index with more than 30 indicators. The results show that there is long-run...

We re-examine Sephton and Larsen's (1991) conclusion that cointegration-based tests for market efficiency suffer from temporal instability. We improve upon their research by i) including a drift term in the vector error correction model (VECM) in the Johansen procedure, ii) correcting the likelihood ratio test statistic for finitesample bias, and iii) fitting the model over longer data sets. We...

This paper investigates the relationship between natural gas consumption, price, crude oil Foreign direct Investment and per capita GDP in Nigeria to ascertain their causal effects dependencies by using time series data from 1990 2020 an econometric platform Vector Error Correction model (VECM). The result of VECM estimate, Granger causality test Variance decomposition all suggest presence a st...