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Implementation Plan in Response to the Board-Endorsed Recommendations for the IEO Report 'Behind the Scenes with Data at the IMF

Implementation Plan in Response to the Board-Endorsed Recommendations for the IEO Report 'Behind the Scenes with Data at the IMF »

Source: Implementation Plan in Response to the Board-Endorsed Recommendations for the IEO Report 'Behind the Scenes with Data at the IMF : An IEO Evaluation'

Volume/Issue: 2016/063

Series: Policy Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 October 2016

ISBN: 9781498345125

Keywords: Financial statistics, Data collection, Statistics, Development, Time series, STA, capacity development, IEO, long-term strategy, data management

This paper sets out Management's response to the Independent Evaluation Office's (IEO) report entitled Behind the Scenes with Data at the IMF: An IEO Evaluation. The implementation plan proposes specific actions...

Avoid Filling Swiss Cheese with Whipped Cream

Avoid Filling Swiss Cheese with Whipped Cream »

Source: Avoid Filling Swiss Cheese with Whipped Cream : Imputation Techniques and Evaluation Procedures for Cross-Country Time Series

Volume/Issue: 2011/151

Series: IMF Working Papers

Author(s): Michael Weber , and Michaela Denk

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2011

ISBN: 9781455270507

Keywords: Missing or incomplete data, imputation quality, statistical matching, time series, missing data, algorithms, statistical methods, cluster analysis, Estimation, Model Evaluation and Selection

International organizations collect data from national authorities to create multivariate cross-sectional time series for their analyses. As data from countries with not yet well-established statistical systems may...

Income and Democracy

Income and Democracy »

Source: Income and Democracy : Lipset's Law Revisited

Volume/Issue: 2012/295

Series: IMF Working Papers

Author(s): Anke Hoeffler , Robert H. Bates , and Ghada Fayad

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 December 2012

ISBN: 9781475596649

Keywords: democracy, dynamic panel data, parameter heterogeneity, cross-section dependence, time series, democratization, error correction coefficient, econometrics, political institutions, Models with Panel Data

We revisit Lipset‘s law, which posits a positive and significant relationship between income and democracy. Using dynamic and heterogeneous panel data estimation techniques, we find a significant and negative relat...

On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications

On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications »

Source: On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications

Volume/Issue: 2003/73

Series: IMF Working Papers

Author(s): Alessandro Rebucci

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2003

ISBN: 9781451849486

Keywords: Dynamic Panel Data Models, Monte Carlo Simulation, Heterogeneity Bias, VARs, time series, finite sample, sample bias, econometrics, equation, Multiple or Simultaneous Equation Models: Models with Panel Data

This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in the slope parameters of stationary vector autoregressions (VARs). The paper also compares the...

Mongolia

Mongolia »

Source: Mongolia : Measuring the Output Gap

Volume/Issue: 2011/79

Series: IMF Working Papers

Author(s): Julia Bersch , and Tara Sinclair

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455226092

Keywords: Output Gap, Nonmineral GDP, Blanchard-Quah Decomposition, monetary fund, inflation, aggregate demand, inflation data, Multiple or Simultaneous Equation Models: Time-Series Models,

This paper compares the output gap estimates for Mongolia based on a number of different methods. Special attention is paid to the substantial role of mining in the Mongolian economy. We find that a Blanchard and Q...

On the Extrapolation with the Denton Proportional Benchmarking Method

On the Extrapolation with the Denton Proportional Benchmarking Method »

Source: On the Extrapolation with the Denton Proportional Benchmarking Method

Volume/Issue: 2012/169

Series: IMF Working Papers

Author(s): Marco Marini , and Tommaso Di Fonzo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2012

ISBN: 9781475505177

Keywords: extrapolation, growth rates, growth rate, rate of change, time series, Methodology for Collecting, Estimating, and Organizing Macroeconomic Data, Benchmarking, Movement Preservation,

Statistical offices have often recourse to benchmarking methods for compiling quarterly national accounts (QNA). Benchmarking methods employ quarterly indicator series (i) to distribute annual, more reliable series...

Performance of Fiscal Accounts in South Africa in a Cross-Country Setting

Performance of Fiscal Accounts in South Africa in a Cross-Country Setting »

Source: Performance of Fiscal Accounts in South Africa in a Cross-Country Setting

Volume/Issue: 2010/217

Series: IMF Working Papers

Author(s): Burcu Aydin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2010

ISBN: 9781455208821

Keywords: structural balance, panel data, tax revenue, financial crisis, global financial crisis, revenue collection, fiscal accounts, Multiple or Simultaneous Equation Models: Time-Series Models, Econometric Modeling: General,

This paper analyzes the cyclical fluctuations in South Africa in a cross-country context, and studies the impact of the output gap by controlling for export intensity, the debt burden, asset prices, and banking cri...

Flying to Paradise

Flying to Paradise »

Source: Flying to Paradise

Volume/Issue: 2016/33

Series: IMF Working Papers

Author(s): Sebastian Acevedo Mejia , Lu Han , Marie Kim , and Nicole Laframboise

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 February 2016

ISBN: 9781498375108

Keywords: airlift supply factors, tourist, tourist arrivals, airlines, tourists, Time-Series Models, Models with Panel Data,, Aviation, Caribbean, United States

This paper studies the role of airlift supply on the tourism sector in the Caribbean. The paper examines the relative importance of U.S.-Caribbean airlift supply factors such as the number of flights, seats, airlin...

Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period - a Fortune or Misfortune?1

Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period - a Fortune or Misfortune?1 »

Source: Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period - a Fortune or Misfortune?

Volume/Issue: 2014/29

Series: IMF Working Papers

Author(s): Christian Ebeke , and Yinqiu Lu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 February 2014

ISBN: 9781484302859

Keywords: Foreign Holdings, Domestic Bonds, Yields, Volatility, bond, bond yields, bonds, government bond, bond yield, Time-Series Models

The paper shows that foreign holdings of local currency government bonds in emerging market countries (EMs) have reduced bond yields but have somewhat increased yield volatility in the post-Lehman period. Econometr...

Modeling Stochastic Volatility with Application to Stock Returns

Modeling Stochastic Volatility with Application to Stock Returns »

Source: Modeling Stochastic Volatility with Application to Stock Returns

Volume/Issue: 2003/125

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

ISBN: 9781451854848

Keywords: data augmentation, diagnostics, integration sampler, Kalman filter, Markov chain Monte Carlo, particle filtering, stochastic volatility, time series, sampling, equation

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian paramet...