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Energy and Climate Change in China
Carraro, Carlo; Massetti, Emanuele - C.E.P.R. Discussion Papers - 2012
This paper examines future energy and emissions scenarios in China generated by the Integrated Assessment Model WITCH …
Persistent link: https://www.econbiz.de/10011084331
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Modelling Energy Demand and Household Welfare Using Micro-Data
Baker, Paul; Blundell, Richard William; Micklewright, John - C.E.P.R. Discussion Papers - 1987
The paper is concerned with the empirical modelling of domestic demand for energy in the United Kingdom at the level of …-stage budgeting model of the household's demand for energy conditional on its ownership of durables. Preferences at both stages of the … data has not been fully exploited in the analysis of energy demand to date. Unrestricted reduced-form estimates are …
Persistent link: https://www.econbiz.de/10005497752
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Galton's Fallacy and Tests of the Convergence Hypothesis
Quah, Danny - C.E.P.R. Discussion Papers - 1993
Recent tests for the convergence hypothesis derive from regressing average growth rates on initial levels: a negative initial level coefficient is interpreted as convergence. These tests turn out to be plagued by Francis Galton's classical fallacy of regression towards the mean. Using a dynamic...
Persistent link: https://www.econbiz.de/10005791236
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Structural FECM: Cointegration in large-scale structural FAVAR models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2014
Starting from the dynamic factor model for non-stationary data we derive the factor-augmented error correction model (FECM) and, by generalizing the Granger representation theorem, its moving-average representation. The latter is used for the identification of structural shocks and their...
Persistent link: https://www.econbiz.de/10011083358
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Forecasting with Factor-augmented Error Correction Models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2010
As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction Model (FECM). The FECM combines error-correction, cointegration and dynamic factor models, and has several conceptual...
Persistent link: https://www.econbiz.de/10008468646
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Factor-augmented Error Correction Models
Banerjee, Anindya; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2008
This paper brings together several important strands of the econometrics literature: error-correction, cointegration and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the factors estimated from a large set of variables in levels are jointly...
Persistent link: https://www.econbiz.de/10005136642
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On the Distribution of Exchange Rate Regime Treatment Effects on International Trade
Dorn, Sabrina; Egger, Peter - C.E.P.R. Discussion Papers - 2011
This paper provides evidence of heterogeneous treatment effects on trade from switching among three types of de-facto exchange rate regimes: freely floating, currency bands, and pegs or currency unions. A cottage literature at the interface of macroeconomics and international economics focuses...
Persistent link: https://www.econbiz.de/10009365643
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Residual-based Rank Specification Tests for AR-GARCH type models
Andreou, Elena; Werker, Bas J M - C.E.P.R. Discussion Papers - 2013
This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR-GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. For...
Persistent link: https://www.econbiz.de/10011084012
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Nonparametric Predictive Regression
Andreou, Elena; Kasparis, Ioannis; Phillips, Peter C. B. - C.E.P.R. Discussion Papers - 2013
A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The test statistics are related to those of Kasparis and Phillips...
Persistent link: https://www.econbiz.de/10011084643
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Exchange Rate Pass-through and Monetary Policy in South Africa
Aron, Janine; Farrell, Greg; Muellbauer, John; … - C.E.P.R. Discussion Papers - 2010
Understanding how import prices adjust to exchange rates helps anticipate inflation effects and monetary policy responses. This paper examines exchange rate passthrough to the monthly import price index in South Africa during 1980-2009. A methodological innovation allows various short-run...
Persistent link: https://www.econbiz.de/10008784768