Showing 6 results for Autoregressive Model
Volume 9, Issue 3 (10-2009)
Abstract
The world is changing at a rapid pace and our viewpoint too. Moreover, the impact of government policy on social and economic growth is changing at the same pace. Many researchers have attempted to estimate the impact of government expenditures on economic growth. In this regard, they have used either a particular statistical model or Ram’s model (1986) employing a production function which criticized because of statistical limitations.
The purpose of this article is to introduce an alternative theoretical framework based on the conventional demand theory applied by Bairam (1990). The annual time series data from 1974 to 2005 is employed to examine the effect of government size on economic growth in Iran.
The empirical findings indicate that the government expenditures have a positive effect on economic growth which is consistent with the theory used in this paper and also it is in harmony with the empirical results of the similar studies.
Volume 11, Issue 2 (8-2011)
Abstract
The goal of this paper is investigating the relationship between unemployment rate and government size in Iran. For that, we have used some VAR models, which include the following variables: government size which is measured by total government outlays as a percentage of GDP, unemployment rate, real GDP growth rate, inflation rate, and minimum wage. The results reveal that a large government sector would raise unemployment, and an increase in GDP growth rate, inflation rate and minimum wages are likely to decrease unemployment rate.
Volume 12, Issue 1 (5-2012)
Abstract
The purpose of this paper is to examine the relationship between bank loan rate and housing prices in Iran. For this purpose, some VAR models have been applied, using the following variables: real loan rate, money supply (including the high powered money and the liquidity), GDP, housing services index, and the number of licenses for new houses. The results show that a reduction in the loan interest rate will increase the demand for housing sector because of reduction in cost of borrowing from banking system in order to invest in this sector. In other word, the research findings have implied a negative relationship between bank loan interest rates and housing prices. The results have also revealed that financial repression in the form of bank loan rates control policy induces more investment in housing sector and results into resource depletion of banking system.
Seyyed Ali Hosseini Korkhili, Hossein Mohammad Navazi, Seyyed Hassan Momeni Massouleh,
Volume 16, Issue 12 (2-2017)
Abstract
The empirical mode decomposition method is a new technique to obtain constitutive components of a signal. Applicability to all kinds of signals including non-stationary and nonlinear is a main feature of this method. So far, many researches have been done in the literature to eliminate or reduce effects of multiple sources of errors such as stop criteria, end effects and interpolation function. This article focuses on end effects error which many of previous solutions have been proposed based on symmetry or similar methods to decline it. The proposed combined method using auto-regressive (AR) models for short sections of signal edges, forecasts tails of maximum and minimum envelops. Some of first intrinsic mode functions are initially calculated as a result of AR model application. The methods based on symmetry are then used to continue sifting algorithm for remaining signal that has no enough extremums to employ AR model. Finally, by executing some examples, more accurate results obtained from proposed method are compared with those achieved from the mirror method. Noise is also added to signal time history in the last example, to simulate a more realistic situation.
Volume 18, Issue 4 (7-2016)
Abstract
Organic agriculture in the Czech Republic is taking on a greater importance: the number of the organic farms is increasing and the availability of bio products is rising too. The aim of this study was to evaluate and compare the economic situation of organic, biodynamic, and conventional farms by using financial analysis indicators, performance indicators, economic efficiency indicator, and multidimensional intercompany comparison methods. Furthermore, the subsidies impact on farms’ profits, sales, and return on assets indicators by a linear regression model with AR (AutoRegressive 1) process was analyzed. A total of 389 Czech farms receiving subsidies from 2007 to 2012 were selected. From these, 273 farms were conventional, 112 organic, and 4 biodynamic. Organic farms were the most profitable and got the best results on the economic efficiency indicator and took the first place in the intercompany comparison. Subsidies worsen the organic farms’ economic situation, however, without statistical significance. Biodynamic farms received the highest amount of subsidies. In some years, these farms did not gain profit. Despite the worst results of economic efficiency indicator, biodynamic farms were placed as second in the intercompany comparison. Subsidies improved the biodynamic farms’ economic situation (statistically insignificant) and could play a role as a motivating factor. Conventional farms had the highest values of input and output indicators (except profit) and they received the lowest amount of subsidies. Subsidies had a statistically significantly positive effect on the profitability of these farms, though with a negative effect on sales.
Volume 23, Issue 1 (3-2023)
Abstract
Aim and Introduction
In recent decades, governments have taken an important step towards an information society, better service delivery, and improving the welfare of their society by developing e-government. The development of communication technology and e-government is considered an effective factor in economic growth and development and high labor productivity. The aim of this research is to investigate the role of e-government development on labor productivity in developing countries including Iran using the vector autoregression approach with panel data (P-VAR) over the period 2003-2020.
Methodology
Sims(1986) first used a vector autoregressive (VAR) model to analyze the dynamic relationships among multiple variables The model assumes that all variables are endogenous. This model uses the lags of all endogenous variables to test the dynamic relationships among all variables. Holtz-Eakin et al.(1998) extended the vector autoregressive model to make a perfect combination of panel data and time series models, making it a powerful analytical tool for macro-dynamics research. To examine renewable energy consumption, population aging, and agricultural green total factor productivity in the same framework, this paper constructs a PVAR model based on the traditional vector autoregressive model. A Panel vector autoregressive model(PVAR) includes the analysis of the Forecast Error Variance Decomposition– FEVD and the analysis of the Orthogonal Impulse Response Function – OIRF. Parameter estimation in the PVAR model is performed using the Generalized Method of Moments. For the stability of the regression equations, a polynomial matrix is used and a partial unit root test is performed for all variables based on the augmented Dickey-Fuller test.
Findings
The results of the study show that due to a positive shock in the development of e-government, labor productivity reacts strongly and positively, which indicates that the development of e-government, in the long run, can lead to increased labor productivity in developing countries. The results also show that in developing countries, the impact of health shock is greater than the impact of other variables such as physical capital formation shock and education variables.
Discussion and Conclusion
Today, the importance and impact of the development of new technologies such as artificial intelligence, the internet of things, and big data in different sectors are so great that this period is referred to as the age of communication. Entering this era and the development of electronic tools has changed the needs of people and societies. The aim of this research was to investigate the role of e-government development on labor productivity in developing countries. The results of the modeling show that the variables of health, physical capital, education, and e-government development are the main factors affecting labor productivity, respectively.
Also, the results of the research show that the response of labor productivity to the shocks of labor productivity itself was positive in the long term. This effect gradually decreases. Specifically, when a positive shock occurs in labor productivity, this situation is considered a signal for the labor force to continuously seek to improve its productivity. According to findings, the reaction of labor productivity to the positive shocks caused by the development of e-government has also been positive, which indicates that the development of e-government has a long-term effect on labor productivity and can lead to an increase in labor productivity in the long run.
According to findings, in developing countries at the end of the 10th period, about ten percent of labor productivity changes are explained by e-government development shocksLabor productivity. As expected, the impact of the health shock on labor productivity is positive. Quantitatively, the effect of this shock is greater than the shock caused by education and physical capital, which shows the significant impact of health on labor productivity in developing countries. The reaction of labor productivity to the shocks of education is consistent with theoretical expectations. Also, according to expectations, physical capital has a significant effect on labor productivity in developing countries.
In general, it can be seen that in developing countries, any positive change in the development of e-government has an impact on labor productivity (based on the decomposition of impulse-response functions and the analysis of the variance of the forecast error). Also, the response of labor productivity to the changes in the field of health has been greater. Therefore, the authorities of developing countries should improve the productivity of the workforce, pay attention to the development of human capital and physical capital indicators, and implement and develop the e-government as best as possible.