Journal of Quantitative Economics
Year:2014 | Volume:10 | Issue:4 (39)|Papers Count:7

This study seeks to analyze the effectiveness of outliers types, shocks, innovational (IO), additive (AO), level shift (LS), temporary change (TC) in model assignment and multivariate time series, MTS, parameters. Repetitious approach given by Tessy (2000) is considered for detecting different types of outliers, AO, IO, LS, TC in multivariate time series model. The performance of the proposed method has been shown in comparing with classical one-variable approach suggested by Chen and Liu. Price of the golden coin can be a good example for the time series data subjected to the outliers. First, there is a highly dependence between the variations of price of the golden coin and the global price of the gold. Second, as the golden coin has been used as a gift in fiestas and national ceremonies, its price can be varied with different sorts of seasonal patterns. These and some other reasons lead us to possibly detect different shocks in the price of the, quarter, half and full, golden coin in Iran. The data were taken from the Bank of Markazi of Iran and includes 117 observations from Farvardin 1378 to Azar 1387. The data have been analyzed to detect outliers and compared with results obtained from the classical approach. The numerical results showed that the this approach is more sensitive than one-variable approach to detect outliers.

This paper studies the relationship between economic growth and government size of Iran using ARDL and Bounds Test Approach during 1967-2013. Opposite to other studies which concentrate on accepting or rejecting the Army Curve (an inverted U shape or quadratic curve that relates government expenditures and GDP growth) in Iran, the results of this paper show that GDP growth and government expenditures have cubic relationship. This functional form, which has been introduced by Anaman (2004) for the first time, shows that the relation between economic growth and government size are negative for low and high level of government size both in the short-run and long-run while the relationship between economic growth and government size are positive for medium level of government expenditures both in the short-run and long-run.

Tourism has high potential to create foreign exchange and to increase employment and, thus, can play a crucial role in economic growth of all countries. In this paper, thus, it is tried to examine the relationship between tourism and economic growth of Iran and countries in the MENA region. Considering the very specific natural, historical, religious and cultural attractions of Iran and countries in the MENA, the main objective of this study is to examine the causal relationship between tourism and economic growth of Iran and MENA during the period of 1995-2012. For this purpose, The VAR method in the context of panel data and the Dumitrescu-Hurlin causality test are used. The results show that there is a positive and significant relationship between economic growth and tourism activities in Iran and the MENA region. Thus, it is suggested that Iran and MENA countries provide the necessary conditions for economic growth by investing in leading industries and infrastructure to improve tourism industry.

issue The main purpose of this study is to evaluate the impact of privatization on competition degree of Iranian manufacturing industry for the period of 1990-2013. During this period, 1522011 billion Rials are allocated to the private sector of which 1439542 billion Rials are related to the time after issuing the policy of performing article 44 of Iran’s Constitution. To evaluate the effect of privatization on competition degree of manufacturing industry, panel data model is applied. The findings indicate that privatization in Iran does not have positive effect on the competition. Thus, it seems that the competition-based privatization pattern might be a more reliable policy than alternative models.

This study is aimed at estimating the size of underground economy of Iran. Furthermore, the factors causing underground economy and its consequences are studied. To do that, Multiple Indicators–Multiple Causes approach and annual time series data for the period of from1963/64 (1342) to 2010/11 (1389) is employed. The results indicate that the mean size of the underground economy during this period was 18.20 per cent. The underground economy is significantly and positively affected by variables such as unemployment and inflation, but is negatively affected by the index of economic openness.

The importance of oil revenue in Iran's economy and its effect on business cycles is an undeniable issue. Oil revenue is a critical factor in Iran's economy and affects GDP to a great extent. Oil and Gas sector is not only an influential economic activity per se, but also an important source of financing other sectors in Iran' s economy. In this paper, we try to examine asymmetrical effects of oil shocks on business cycles. Whether an equal increase and decrease in oil revenues have neutral effect on business cycles, is the main question to be addressed here. To undertake this research, annual data of 1959-2007 time periods has been used. The findings display that the business cycles response to oil shocks is asymmetric, meaning that negative shocks dominate positive shocks.