Essays on Regional Recessions, Spatial Interactions and Forecasting
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Authors
Shibaev, Sergei
Date
Type
thesis
Language
eng
Keyword
Econometrics , Bayesian Statistics , Business Cycles , Endogenous Clustering , Clustering , Bayesian , Regime-switching , Regional economic analysis , Spatial Econometrics , Spatial , Time Series Econometrics , Forecasting , Fractional cointegration , Fractional integration , Opinion poll data , Political Opinion , Vector Autoregressive Model , Cointegration , Spatial Interactions , Spatial Effects , Economic Policy , Elections , Markov-switching , Multivariate Econometrics , FCVAR , CVAR , ARIMA , ARFIMA , Spatial Autoregressive Models , Regime-switching models
Alternative Title
Abstract
This thesis contains three essays spanning the fields of econometrics and empirical
macroeconomics. The first essay develops an econometric procedure that enables
applied researchers to quantify spatial interactions from panel data where variables
exhibit recurrent abrupt shifts in behavior. In empirical macroeconomics, omitting
spatial effects is restrictive in many contexts because the units of analysis are regions,
the characteristics of which are rarely independent. The second essay employs
this methodology to investigate how recessions propagated through small regional
economies in the United States from 1990 to 2015. The empirical results identify
regions that are potentially at risk of collective economic distress, which is useful
for national and regional policy makers. The analysis shows the importance of the
spatial (or geographical) dimension in explaining how regional shocks amplify in the
economy. The third essay, co-authored with Morten Ø. Nielsen, investigates a unique
data set of daily political opinion polls in the United Kingdom from 2010 to 2015.
This work explores the forecasting capabilities of the recently developed fractionally
cointegrated vector auto-regressive (FCVAR) model. The results show that the
FCVAR model delivers superior forecast accuracy relative to a portfolio of existing
alternatives. Furthermore, the forecasts generated by the FCVAR model leading into
the UK 2015 general election provide a more informative assessment of the current
state of public opinion than that suggested by opinion polls.
Description
Citation
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License
Queen's University's Thesis/Dissertation Non-Exclusive License for Deposit to QSpace and Library and Archives Canada
ProQuest PhD and Master's Theses International Dissemination Agreement
Intellectual Property Guidelines at Queen's University
Copying and Preserving Your Thesis
This publication is made available by the authority of the copyright owner solely for the purpose of private study and research and may not be copied or reproduced except as permitted by the copyright laws without written authority from the copyright owner.
ProQuest PhD and Master's Theses International Dissemination Agreement
Intellectual Property Guidelines at Queen's University
Copying and Preserving Your Thesis
This publication is made available by the authority of the copyright owner solely for the purpose of private study and research and may not be copied or reproduced except as permitted by the copyright laws without written authority from the copyright owner.