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Walter C. Labys

Bio: Walter C. Labys is an academic researcher from West Virginia University. The author has contributed to research in topics: Commodity (Marxism) & Commodity. The author has an hindex of 26, co-authored 90 publications receiving 2024 citations.


Papers
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Journal ArticleDOI
TL;DR: In this article, the authors identify the nature of the dependence or causal relationship that exists between US inflation and commodity prices using recent methods of linear cointegration, and non-linear Granger causality.

179 citations

Book ChapterDOI
01 Jan 1994

109 citations

Journal ArticleDOI
TL;DR: In this paper, the authors provide an estimate of the common factor in metal prices and to relate this factor to important macroeconomic influences, including industrial production, consumer prices, interest rates, stock prices, and exchange rates.

94 citations


Cited by
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Posted Content
TL;DR: A theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification.
Abstract: Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern theory and nonlinear techniques of estimation. One theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. Explaining how estimates can be obtained and tests can be carried out, the authors go beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. Covering an unprecedented range of problems with a consistent emphasis on those that arise in applied work, this accessible and coherent guide to the most vital topics in econometrics today is indispensable for advanced students of econometrics and students of statistics interested in regression and related topics. It will also suit practising econometricians who want to update their skills. Flexibly designed to accommodate a variety of course levels, it offers both complete coverage of the basic material and separate chapters on areas of specialized interest.

4,284 citations

Posted Content
TL;DR: In this paper, the authors provide a unified and comprehensive theory of structural time series models, including a detailed treatment of the Kalman filter for modeling economic and social time series, and address the special problems which the treatment of such series poses.
Abstract: In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.

4,252 citations

Journal ArticleDOI
TL;DR: The Environmental Kuznets Curve (EKC) hypothesis as discussed by the authors proposes an inverted-U-shaped relationship between different pollutants and per capita income, i.e., environmental pressure increases up to a certain level as income goes up; after that, it decreases.

2,882 citations

Journal ArticleDOI
TL;DR: This paper investigates the predictability of financial movement direction with SVM by forecasting the weekly movement direction of NIKKEI 225 index and proposes a combining model by integrating SVM with the other classification methods.

984 citations