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The euro's trade effect under cross-sectional heterogeneity and stochastic resistance
Herwartz, Helmut; Weber, Henning - 2010
This paper investigates if the euro's effect on euro-area trade differs across trade sectors and across country pairs …, and to what degree heterogeneity matters for estimating the aggregate euro effect. Time-varying latent variables, which …, aggregate exports within the euro area increase between 2000 and 2002 by 15 to 25 percent compared with aggregate exports …
Persistent link: https://www.econbiz.de/10010270031
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Testing for Causality in Variance using Multivariate GARCH Models
Hafner, Christian M.; Herwartz, Helmut - 2004
Tests of causality in variance in multiple time series have been proposed recently, based on residuals of estimated univariate models. Although such tests are applied frequently little is known about their power properties. In this paper we show that a convenient alternative to residual based...
Persistent link: https://www.econbiz.de/10010296228
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A robust bootstrap approach to the Hausman test in stationary panel data models
Herwartz, Helmut; Neumann, Michael H. - 2007
In panel data econometrics the Hausman test is of central importance to select an e?cient estimator of the models' slope parameters. When testing the null hypothesis of no correlation between unobserved heterogeneity and observable explanatory variables by means of the Hausman test model...
Persistent link: https://www.econbiz.de/10010296293
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Exact inference in diagnosing value-at-risk estimates: A Monte Carlo device
Herwartz, Helmut - 2008
In this note a Monte Carlo approach is suggested to determine critical values for diagnostic tests of Value-at-Risk models that rely on binary random variables. Monte Carlo testing offers exact significance levels in finite samples. Conditional on exact critical values the dynamic quantile test...
Persistent link: https://www.econbiz.de/10010298764
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Testing directional forecast value in the presence of serial correlation
Blaskowitz, Oliver J.; Herwartz, Helmut - 2008
Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....
Persistent link: https://www.econbiz.de/10010271838
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When, how fast and by how much do trade costs change in the euro area?
Herwartz, Helmut; Weber, Henning - 2008
Microfoundations of the euro's effect on euro area trade hinge on the timing, the speed and the size of adjustment in … at the sector level. We find that, due to falling trade costs, trade within the euro area increases between the years … 2000 and 2003 by 10 to 20 percent compared with trade between European countries that are not members of the euro area …
Persistent link: https://www.econbiz.de/10010298765
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When, how fast and by how much do trade costs change in the euro area?
Weber, Henning; Herwartz, Helmut - 2008
Microfoundations of the euro's effect on euro area trade hinge on the timing, the speed and the size of adjustment in … at the sector level. We find that, due to falling trade costs, trade within the euro area increases between the years … 2000 and 2003 by 10 to 20 percent compared with trade between European countries that are not members of the euro area …
Persistent link: https://www.econbiz.de/10010299149
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When, how fast and by how much do trade costs change in the Euro area?
Herwartz, Helmut; Weber, Henning - 2008
Microfoundations of the euro's effect on euro area trade hinge on the timing, the speed and the size of adjustment in … at the sector level. We find that, due to falling trade costs, trade within the euro area increases between the years … 2000 and 2003 by 10 to 20 percent compared with trade between European countries that are not members of the euro area …
Persistent link: https://www.econbiz.de/10010331062
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Lingering illness or sudden death? Pre-exit employment developments in German establishments
Fackler, Daniel; Schnabel, Claus; Wagner, Joachim - 2012
Using a large administrative dataset for Germany, this paper compares employment developments in exiting and surviving establishments. For both West and East Germany we find a clear shadow of death effect reflecting lingering illness: establishments shrink dramatically already several years...
Persistent link: https://www.econbiz.de/10010294474
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Long-Run Links Among Money, Prices, and Output: World-Wide Evidence
Reimers, Hans-Eggert; Herwartz, Helmut - 2001
Regarding inflation as being a monetary phenomenon in the long-run is a widely-held view in modern macro economics. We analyse this topic by means of a P-star model. Based on the quantity theory of money, this approach explains inflation via a supposed equilibrium price level (P-star), which...
Persistent link: https://www.econbiz.de/10010295711