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Autoregressive Coefficient

The Experts below are selected from a list of 114 Experts worldwide ranked by ideXlab platform

Pedro Garcia Duarte – 1st expert on this subject based on the ideXlab platform

  • Inércia de Juros e Regras de Taylor: explorando as Funções de Resposta a Impulso em Um Modelo de Equilíbrio Geral Com Parâmetros Estilizados para o Brasil
    , 2020
    Co-Authors: Dionísio Dias Carneiro, Pedro Garcia Duarte

    Abstract:

    The fit of empirical Taylor Rules to Brazilian data improves if we consider the hypothesis of interest rate inertia. Inertia seems to be part of monetary policy of several countries and reflects the action of Central Banks of not adjusting once-for-all to changing conditions. This article extends the concept of inertia considered by Duarte (2001) in the general intertemporal equilibrium model developed by Woodford (2000(b)), which corresponds to the monetary shock first-order Autoregressive Coefficient. We explore here the concept of inertia related to the presence of first lag of interest rate in the three Taylor rules examined in characterization of impulse response functions of variables to a monetary shock. The short run response of variables and the time it takes for their return to equilibrium depend more on the Autoregressive Coefficient of the shock than on the interest rate inertia. But this inertia is important when the Taylor Rule includes lagged inflation and output, because in this case, a smaller oscillation of the response of variables to shocks is obtained. It is also important in the case of forward looking Taylor Rule.(This abstract was borrowed from another version of this item.)

  • Inércia de juros e regras de Taylor: Explorando as funções de resposta a impulso em um modelo de equilíbrio geral com parâmetros estilizados para o Brazil
    , 2001
    Co-Authors: Dionísio Dias Carneiro, Pedro Garcia Duarte

    Abstract:

    The fit of empirical Taylor Rules to Brazilian data improves if we consider the hypothesis of interest rate inertia. Inertia seems to be part of monetary policy of several countries and reflects the action of Central Banks of not adjusting once-for-all to changing conditions. This article extends the concept of inertia considered by Duarte (2001) in the general intertemporal equilibrium model developed by Woodford (2000(b)), which corresponds to the monetary shock first-order Autoregressive Coefficient. We explore here the concept of inertia related to the presence of first lag of interest rate in the three Taylor rules examined in characterization of impulse response functions of variables to a monetary shock. The short run response of variables and the time it takes for their return to equilibrium depend more on the Autoregressive Coefficient of the shock than on the interest rate inertia. But this inertia is important when the Taylor Rule includes lagged inflation and output, because in this case, a smaller oscillation of the response of variables to shocks is obtained. It is also important in the case of forward looking Taylor Rule.

K. Drouiche – 2nd expert on this subject based on the ideXlab platform

  • Testing proportionality for Autoregressive processes
    IEEE Transactions on Information Theory, 2003
    Co-Authors: K. Drouiche

    Abstract:

    We introduce a new hypothesis test to determine wether or not two Autoregressive spectral densities are proportional. A test for Autoregressive Coefficient nullity or randomness is deduced. We also derive the exact asymptotic behavior for these tests under parametric alternatives and show that, given a significance level, our tests are the most powerful (MP) tests among all tests.

  • A test of homogeneity for Autoregressive processes
    International Journal of Adaptive Control and Signal Processing, 2002
    Co-Authors: Rafael Martínez Pedro Gómez, K. Drouiche

    Abstract:

    In this paper, we introduce a new hypothesis test to determine whether or not two spectral densities are proportional. We deliberately limit our study to Autoregressive processes and derive the asymptotic behaviour of the test. A test for Autoregressive Coefficient nullity or randomness is deduced. We derive asymptotic behaviour for these tests and show the usefulness of our test to detect speech in a noisy environment. Copyright © 2002 John Wiley & Sons, Ltd.

Dionísio Dias Carneiro – 3rd expert on this subject based on the ideXlab platform

  • Inércia de Juros e Regras de Taylor: explorando as Funções de Resposta a Impulso em Um Modelo de Equilíbrio Geral Com Parâmetros Estilizados para o Brasil
    , 2020
    Co-Authors: Dionísio Dias Carneiro, Pedro Garcia Duarte

    Abstract:

    The fit of empirical Taylor Rules to Brazilian data improves if we consider the hypothesis of interest rate inertia. Inertia seems to be part of monetary policy of several countries and reflects the action of Central Banks of not adjusting once-for-all to changing conditions. This article extends the concept of inertia considered by Duarte (2001) in the general intertemporal equilibrium model developed by Woodford (2000(b)), which corresponds to the monetary shock first-order Autoregressive Coefficient. We explore here the concept of inertia related to the presence of first lag of interest rate in the three Taylor rules examined in characterization of impulse response functions of variables to a monetary shock. The short run response of variables and the time it takes for their return to equilibrium depend more on the Autoregressive Coefficient of the shock than on the interest rate inertia. But this inertia is important when the Taylor Rule includes lagged inflation and output, because in this case, a smaller oscillation of the response of variables to shocks is obtained. It is also important in the case of forward looking Taylor Rule.(This abstract was borrowed from another version of this item.)

  • Inércia de juros e regras de Taylor: Explorando as funções de resposta a impulso em um modelo de equilíbrio geral com parâmetros estilizados para o Brazil
    , 2001
    Co-Authors: Dionísio Dias Carneiro, Pedro Garcia Duarte

    Abstract:

    The fit of empirical Taylor Rules to Brazilian data improves if we consider the hypothesis of interest rate inertia. Inertia seems to be part of monetary policy of several countries and reflects the action of Central Banks of not adjusting once-for-all to changing conditions. This article extends the concept of inertia considered by Duarte (2001) in the general intertemporal equilibrium model developed by Woodford (2000(b)), which corresponds to the monetary shock first-order Autoregressive Coefficient. We explore here the concept of inertia related to the presence of first lag of interest rate in the three Taylor rules examined in characterization of impulse response functions of variables to a monetary shock. The short run response of variables and the time it takes for their return to equilibrium depend more on the Autoregressive Coefficient of the shock than on the interest rate inertia. But this inertia is important when the Taylor Rule includes lagged inflation and output, because in this case, a smaller oscillation of the response of variables to shocks is obtained. It is also important in the case of forward looking Taylor Rule.