Aggregated times series variables can be forecasted in different ways. For example, they may be forecasted on the basis of the aggregate series or forecasts of disaggregated variables may be obtained first and then these forecasts may be aggregated. A number of forecasts are presented and...

In this paper we study the issue of economic integration in Poland between 1924 and 1937 by means of a threshold cointegration analysis of the law of one price. We find that the interwar economy can be regarded as integrated but with obvious restrictions which refer to the existence of relevant...

A fresh interpretaion is provided of the influential finding that the markup of prices over marginal costs is counter-cyclical. Using Rotemberg and Woodford's data set we argue that the markup is best modelled as a variable that is integrated of order one. A consequence of this finding is that...

Modern theories of inflation incorporate a vertical long-run Phillips curve and are usually estimated using techniques that ignore the non-stationary behaviour of inflation. Consequently, the estimates obtained are imprecise and are unable to distinguish between competing models of inflation and...

An I(2) analysis of inflation and the markup is undertaken for the G7 economies and Australia. We find that the levels of prices and costs are best described as I(2) processes and that except for Japan a linear combination of the log levels or prices and costs cointegrate to the markup that is...

This paper considers whether the Euro-area economies have become more competitive since the introduction of the Euro and the implementation of the Lisbon strategy. Using a measure of the markup as a proxy for competition we show that while the markup has varied considerably over the past 25...

Fractionally integrated ARMA (ARFIMA) models are investigated in an Extended version of Nelson and Plosser's (1982) data set.

There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war US employment and output data. We use a cointegrated vector autoregressive...

We propose a simple intertemporal model of output and current account dynamics that we estimate using a cointegrated VAR approach. We suggest a method for identifying global and country-specific shocks from the VAR and test it, using cross-country evidence.

This paper deals with the existence of a common European growth cycle and its identification. Based on the analysis of some descriptive statistics in the time and frequency domain there is clear evidence of comovement in output growth among European countries.