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Reconsidering the welfare cost of inflation in the US: a nonparametric estimation of the nonlinear long-run money-demand equation using projection pursuit regressions

Gupta, Rangan; Majumdar, Anandamayee - In: Empirical Economics 46 (2014) 4, pp. 1221-1240

the behavior US money demand over the period of 1980:Q1–2010:Q4, using the standard linear cointegration procedures found …

Persistent link: https://www.econbiz.de/10010994365

Residual-based tests for cointegration with three-regime TAR adjustment

Maki, Daiki; Kitasaka, Shin-ichi - In: Empirical Economics 48 (2015) 3, pp. 1013-1054

This paper proposes residual-based tests for cointegration with three-regime threshold autoregressive (TAR) adjustment …>-type tests that have the null hypothesis of linear no cointegration and the alternative of cointegration with three-regime TAR … the Engle–Granger cointegration test and the cointegration test in a two-regime TAR model introduced by Enders and Siklos …

Persistent link: https://www.econbiz.de/10011240930

Testing of unit roots and other fractionally integrated hypotheses in the presence of structural breaks

Gil-Alana, Luis A. - In: Empirical Economics 28 (2003) 1, pp. 101-113

Tests of unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article to the Nelson and Plosser's (1982) series. The tests can be expressed in a way allowing for structural breaks under both the null and the alternative hypotheses. When applying...

Persistent link: https://www.econbiz.de/10005382147

Unit roots, postwar slowdowns and long-run growth: Evidence from two structural breaks

Ben-David, Dan; Lumsdaine, Robin L.; Papell, David H. - In: Empirical Economics 28 (2003) 2, pp. 303-319

This paper provides evidence on the unit root hypothesis and long-term growth by allowing for two structural breaks. We reject the unit root hypothesis for three-quarters of the countries – approximately 50% more rejections than in models that allow for only one break. While about half of the...

Persistent link: https://www.econbiz.de/10005612956

Testing for hysteresis: Unemployment persistence and wage adjustment

Fève, P.; Hénin, P. Y.; Jolivaldt, P. - In: Empirical Economics 28 (2003) 3, pp. 535-552

This paper proposes a new testing strategy for unemployment hysteresis as the joint restriction of a unit-root in the unemployment rate and no feedback effect of unemployment in the Phillips wage equation. The associated test statistics are derived when this joint restriction is imposed and when...

Persistent link: https://www.econbiz.de/10005758343

Bank lending channel in India: evidence from state-level analysis

Bhatt, Vipul; Kishor, N. - In: Empirical Economics 45 (2013) 3, pp. 1307-1331

This paper seeks to answer two questions: first, do monetary policy shocks affect the size of bank loans, and second, do bank loans affect real economic activity? Using annual panel data on the Indian states from 1996 to 2008, we find that money demand shocks have large and statistically...

Persistent link: https://www.econbiz.de/10010994395

M1 demand and volatility

Schmidt, Martin - In: Empirical Economics 32 (2007) 1, pp. 85-104

Persistent link: https://www.econbiz.de/10005382404

The information content of the divisia monetary aggregates in forecasting inflation in the euro area

Mäki-Fränti, Petri - In: Empirical Economics 33 (2007) 1, pp. 151-176

Persistent link: https://www.econbiz.de/10005612889

Long-run money demand in OECD countries: what role do common factors play?

Dobnik, Frauke - In: Empirical Economics 45 (2013) 1, pp. 89-113

detection of cross-member cointegration and the determination as to whether national or international sources are responsible … idiosyncratic components are I(0) indicates that cross-member cointegration may exist and non-stationarity in the variables is …

Persistent link: https://www.econbiz.de/10010681316

Wealth effects on money demand in the euro area

Boone, Laurence; Noord, Paul - In: Empirical Economics 34 (2008) 3, pp. 525-536

Persistent link: https://www.econbiz.de/10005759494