Browsing by Author/Contributor "Miller, J. Isaac"
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Cointegrating Regressions with Messy Regressors: Missingness, Mixed Frequency, and Measurement Error
Miller, J. Isaac (Department of Economics, 2009)We consider a cointegrating regression in which the integrated regressors are messy in the sense that they contain data that may be mismeasured, missing, observed at mixed frequencies, or have other irregularities that ... -
Crude Oil and Stock Markets: Stability, Instability, and Bubbles
Miller, J. Isaac; Ratti, Ronald A. (Department of Economics, 2008)We analyze the long-run relationship between the world price of crude oil and international stock markets over 1971:1-2008:3 using a cointegrated vector error correction model with additional regressors. Allowing for ... -
Essays on climate econometrics
Nam, Kyungsik (University of Missouri--Columbia, 2018)This paper proposes a nonlinear cointegrating regression model based on the well-known energy balance climate model. Specifcally, I investigate the nonlinear cointegrating regression of mean of temperature anomaly distributions ... -
Essays on fluctuations of the crude oil price and the economy
Zeng, Junchuan Jesse, 1983- (University of Missouri--Columbia, 2013)This dissertation studies two major topics related to the crude oil price and the economy. The first topic studied is about the relationship between speculation and the crude oil price and the related implications on the ... -
Estimation of spatial autoregressive models with dyadic observations and limited dependent variables
Luo, Shali (University of Missouri--Columbia, 2012)Spatial correlation, like temporal correlation, often leads to inconsistent estimates if not properly handled. This dissertation addresses spatial correlation in flow data that are recorded as binary or censored values. ... -
Extracting a Common Stochastic Trend: Theory with Some Applications
Chang, Yoosoon; Miller, J. Isaac; Park, Joon Y. (Department of Economics, 2008)This paper investigates the statistical properties of estimators of the parameters and unobserved series for state space models with integrated time series. In particular, we derive the full asymptotic results for maximum ... -
Long-Term Oil Price Forecasts: A New Perspective on Oil and the Macroeconomy
Miller, J. Isaac; Ni, Shawn, 1962- (Department of Economics, 2010)We examine how future real GDP growth relates to changes in the forecasted longterm average of discounted real oil prices and to changes in unanticipated fluctuations of real oil prices around the forecasts. Forecasts are ... -
A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels
Miller, J. Isaac (Berkeley Electronic Press, 2010)A test for the rank of a vector error correction model (VECM) or panel VECM based on the well-known trace test is proposed. The proposed test employs instrumental variables (IV's)generated by a class of nonlinear functions ... -
Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory
Miller, J. Isaac (Department of Economics, 2008)We consider nonlinear transformations of random walks driven by thick-tailed innovations that may have infinite means or variances. These three nonstandard characteristics: nonlinearity, nonstationarity, and thick tails ... -
Testing the Bounds: Empirical Behavior of Target Zone Fundamentals
Miller, J. Isaac (Department of Economics, 2009)Standard target zone exchange rate models are based on nonlinear functions of an unobserved economic fundamental, which is assumed to be bounded, similarly to the target zone exchange rates themselves. A violation of this ...