in this paper, we have studied the effect of population on iranian economic growth by using optimal growth theory. optimal growth theory is a nonlinear dynamic planning. classical approaches in mathematics are used for solving these nonlinear systems. but, in this study, we have used genetic algorithm (ga) method. as results show, it seems that population growth in previous years (1350- 1386), ...

A panel of ex-ante forecasts of a single time series is modeled as a dynamic factor model, where the conditional expectation is the single unobserved factor. When applied to out-of-sample forecasting, this leads to combination forecasts that are based on methods other than OLS. These methods perform well in a Monte Carlo experiment. These methods are evaluated empirically in a panel of simulate...

This paper is concerned with the role of the output-capital ratio in growth models. In the first part we highlight the behaviour of the output-capital ratio along the balanced growth path in the models of Solow (1956) and Romer (1986). In the second part we assess the stability of the ratio for some industrial countries. JEL classification: O40, N10

We study the effects of government spending by using a structural, large dimensional, dynamic factor model. We find that the government spending shock is non-fundamental for the variables commonly used in the structural VAR literature, so that its impulse response functions cannot be consistently estimated by means of a VAR. Government spending raises both consumption and investment, with no ev...

Included here are two appendices. Appendix A has information on model priors, selected material on the data, and some details on computation. Appendix B contains an extended treatment of alternative measures of stress, and alternative measures of real activity, including how these measures compare to the base case model in terms of picking up the same state probabilities and, in some cases, qua...

In this paper we propose a new set of multivariate stochastic models that capture time varying seasonality within the vector innovations structural time series (VISTS) framework. These models encapsulate exponential smoothing methods in a multivariate setting. The models considered are the local level, local trend and damped trend VISTS models with an additive multivariate seasonal component. W...

This paper proposes a reduced rank regression framework for constructing coincident and leading indexes. Based on a formal definition that requires that the first differences of the leading index are the best linear predictor of the first differences of the coincident index, it is shown that the notion of polynomial serial correlation common features can be used to build these composite variabl...

This paper assesses the day of the week effect of the daily depreciation of the Turkish lira (TL) against the US dollar (USD) and its volatility. The empirical evidence from Turkey presented here suggests that Thursdays are associated with higher and Mondays with lower depreciation rates compared to those of Wednesdays. Moreover, Mondays and Tuesdays are associated with higher volatility than W...

This paper uses Granger non–causality tests to analyze if channel competition exists between the companion websites of 93 German newspapers observed between I/1998 and II/2005. It provides econometric evidence for significant negative effects of companion website traffic on the print circulation of national newspapers and for significantly positive effects on local newspapers, at least for the ...

The standard approaches to estimating minimum variance hedge ratios (MVHRs) are mis-specified when futures prices are subject to price limits. This paper proposes a bivariate tobit-FIGARCH model with maturity effects to estimate dynamic MVHRs using single and multiple period approaches. Simulations and an application to a commodity futures hedge support the proposed approach and highlight the i...