In Cooperation with JSST Japan Society for Simulation Technology ASIASIM Federation of Asia Simulation Societies AIS SIGMAS AIS Special Interest Group on Modeling and Simulation EUROSIM The Federation of European Simulation Societies MIMOS Movimento Italiano Modellazione e Simulazione ACM SIGSIM ACM Special Interest Group on Simulation and Modeling ECMS European Council for Modeling and Simulation

Estimation of cointegrated systems via autoregressive approximation is considered in the framework developed by Saikkonen (1992). The asymptotic properties of the estimated coeecients of the autoregressive ECM (error correction model) and the pure VAR (vector autoregressive) representations are derived under the assumption that the autoregressive order goes to innnity with the sample size. Thes...

We implement several Bayesian and classical models to forecast employment for eight sectors of the US economy. In addition to standard vector-autoregressive and Bayesian vector autoregressive models, we also include the information content of 143 additional monthly series in some models. Several approaches exist for incorporating information from a large number of series. We consider two approa...

This study estimates an econometric model that incorporates the linkages among agriculture, manufacturing, service and trade sectors using a vector error correction model for Poland and Romania. Three cointegrating vectors for Poland and one for Romania confirm that the different sectors in the Poland and Romania moved together over the sample period, and for this reason, their growth rates are...

Recent developments in the Bulgarian economy bring into question the validity of the twin deficit hypothesis. This paper analyses the theoretical foundations of and alternative explanations for this hypothesis and uses different econometric approaches to test its validity on a sample of the Bulgarian data. A Granger causality test suggests the existence of dual causality between the fiscal and ...

The Vector Autoregressive (VAR) model, the Error Correction Model (ECM), and the Kalman Filter Model (KFM) are used to forecast UK stock prices. The forecasting performance of the three models is compared using out of sample forecasting. The results show that the forecasting performance of the ECM is better than that of the VAR and the KFM, and that the VAR performs a forecasting better than th...

Threshold models have gained much recent attention in applied economics for modeling nonlinear behavior. The appeal for these models is in part due to the observable pattern that many economic variables follow, such as asymmetric adjustment towards equilibrium. Recent developments in model specification derive error-correction models as a specific type of threshold models. This paper summarizes...