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Kirchgässner, Gebhard; Prohl, Silika - CESifo - 2006

and cointegration tests for federal revenues and expenditures, taking into account a structural shift in the budgetary … process related to World War II. We find sustainability over the entire period. However, splitting the sample into two sub …-samples before and after World War II, the results do much less support sustainability. Finally, applying the tax smoothing model of …

Persistent link: https://www.econbiz.de/10005766311

Sustainability of Austrian Public Debt: A Political Economy Perspective

Haber, Gottfried; Neck, Reinhard - CESifo - 2006

Sustainablity of Austrian public debt is investigated in the context of political objectives such as stabilizing the business cycle, increasing chances for being re-elected and implementing the ideologies of political parties. Several tests indicate that Austrian fiscal policies were sustainable...

Persistent link: https://www.econbiz.de/10005094401

A Fiscal Rule that has Teeth: A Suggestion for a ‘Fiscal Sustainability Council’ underpinned by the Financial Markets

Hedbávný, Petr; Schneider, Ondrej; Zápal, Jan - CESifo - 2005

Sustainability Council––that would actively bring financial markets into the fiscal-policy process, and we explain the technique …

Persistent link: https://www.econbiz.de/10005406098

Modelling Structural Breaks in the US, UK and Japanese Unemployment Rates

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - CESifo - 2006

In this paper we use a general procedure to detect structural breaks at unknown points in time which allows for different orders of integration and deterministic components in each subsample (see Gil-Alana, 2006). First, we extend it to the non-linear case, and show by means of Monte Carlo...

Persistent link: https://www.econbiz.de/10005013068

Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - CESifo - 2013

This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...

Persistent link: https://www.econbiz.de/10010643340

Learning, Structural Instability and Present Value Calculations

Pesaran, M. Hashem; Pettenuzzo, Davide; Timmermann, Allan - CESifo - 2006

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...

Persistent link: https://www.econbiz.de/10005765885

Forecasting Time Series Subject to Multiple Structural Breaks

Pesaran, M. Hashem; Pettenuzzo, Davide; Timmermann, Allan - CESifo - 2004

This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a Bayesian estimation and prediction procedure that allows for the possibility of new breaks over the forecast horizon, taking account of the size and duration of past breaks (if...

Persistent link: https://www.econbiz.de/10005766178

How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?

Timmermann, Allan; Pesaran, M. Hashem - CESifo - 2003

Empirical evidence suggests that many macroeconomic and financial time series are subject to occasional structural breaks. In this paper we present analytical results quantifying the effects of such breaks on the correlation between the forecast and the realization and on the ability to forecast...

Persistent link: https://www.econbiz.de/10005766245

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem; Pick, Andreas - CESifo - 2008

This paper considers forecast averaging when the same model is used but estimation is carried out over different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks. It is shown that compared to...

Persistent link: https://www.econbiz.de/10005094212

Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks

Timmermann, Allan; Pesaran, M. Hashem - CESifo - 2003

Autoregressive models are used routinely in forecasting and often lead to better performance than more complicated models. However, empirical evidence is also suggesting that the autoregressive representations of many macroeconomic and financial time series are likely to be subject to structural...

Persistent link: https://www.econbiz.de/10005181639

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