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Gateway Cities and Urbanisation in Southeast Asia Before World War II

Huff, Gregg - Department of Economics, Oxford University - 2012

Between the 1870s and World War II, falls in world shipping costs and Western industrialisation gave rise to export-led Southeast Asian growth and specialization in a narrow range of primary commodity exports. A linked development was the emergence of a few dominant Southeast Asian urban...

Persistent link: https://www.econbiz.de/10011004241

A wavelet approach to multiple cointegration testing

Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013

This paper introduces a class of cointegration tests based on estimated low-pass and high-pass regression coefficients … cointegration in a n + k multivariate system with n cointegrating relationships without the need of either detrending nor … cointegration under the null without the need of special tables. Small sample quantiles for these wavelet statistics are obtained …

Persistent link: https://www.econbiz.de/10011004134

A Test for the Null of Multiple Cointegrating Vectors

Fernandez-Macho, Javier - Department of Economics, Oxford University - 2013

This paper examines a test for the null of cointegration in a multivariate system based on the discrepancy between the … offering a simple way of testing for cointegration under the null without the need of special tables. Small sample critical … perform quite reasonably when compared to other tests of the null of cointegration. …

Persistent link: https://www.econbiz.de/10011004208

The role of income in money demand during hyper-inflation: the case of Yugoslavia

Nielsen, Bent; Mladenovic, Zorica - Department of Economics, Oxford University - 2009

During extreme hyper-inflations productivity tends to fall dramatically. Yet, in models of money demand in hyper-inflation variables such as real income has been given a somewhat passive role, either assuming it exogenous or to have a negligible role. In this paper we use an empirical...

Persistent link: https://www.econbiz.de/10011004302

Identification and forecasting in the Lee-Carter model

Nielsen, Bent; Nielsen, J.P. - Department of Economics, Oxford University - 2010

We consider the identification problem for the model of Lee and Carter (1992). The parameters of this model are known only to be identified up to certain transformations. Forecasts from the model may therefore depend on the arbitrarily chosen identification scheme. A condition for...

Persistent link: https://www.econbiz.de/10011004332

Testing for rational bubbles in a co-explosive vector autoregression

Nielsen, Bent; Engsted, Tom - Department of Economics, Oxford University - 2010

We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable,...

Persistent link: https://www.econbiz.de/10011004458

A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market

Krolzig, Hans-Martin; Marcellino, Massimiliano - Department of Economics, Oxford University - 2000

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 UK labour market. We use a cointegrated vector autoregressive Markov-switching model where...

Persistent link: https://www.econbiz.de/10011277856

Autoregressive conditional root model

Shephard, Neil; Rahbek, Anders - Department of Economics, Oxford University - 2002

In this paper we develop a time series model which allows long-term disequilibriums to have epochs of non-stationarity, giving the impression that long term relationships between economic variables have temporarily broken down, before they endogenously collapse back towards their long term...

Persistent link: https://www.econbiz.de/10010604833

Analysis of co-explosive processes

Nielsen, Bent - Department of Economics, Oxford University - 2005

A vector autoregressive model allowing for unit roots as well as explosive characteristic roots is developed. The Granger-Johansen representation shows that this results in processes with two common features: a random walk and an explosively growing process. Co-integrating and co-explosive...

Persistent link: https://www.econbiz.de/10010604868

Testing for a time-varying price-cost markup in the Euro area inflation process

Bowdler, Christopher; Jansen, Eilev S. - Department of Economics, Oxford University - 2004

Empirical models of inflation often incorporate equilibrium correction effects based upon levels of prices and input costs. Such models assume that the steady-state price-cost markup is constant, but recent research suggests that this may not be true for the Euro area economy, which has...

Persistent link: https://www.econbiz.de/10010604884