After a dramatic slowdown of the 1970s, productivity growth in UK manufacturing in the 1980s returned to something like its pre-slowdown trend. This paper constructs a quarterly dynamic model of TFP growth in UK manufacturing using cointegration techniques, correcting for a variety of...

This paper introduces a class of cointegration tests based on estimated low-pass and high-pass regression coefficients from the same wavelet transform of the original time series data.  The procedure can be applied to test the null of cointegration in a n + k multivariate system with n...

High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps.  One of the key techniques developed in the literature in recent years has been bipower variation and its multipower extension, which estimates time-varying volatility robustly to...

This paper makes a contribution to the study of economic growth in developing countries by analysing the six largest Latin American Economies over 105 years within a two-equation framework. Confirming previous findings, physical and human capital prove to be key determinants of GDP per capita...

Despite the emerging consensus on the validity of purchasing power parity (PPP) between trading countries in the long run, empirical evidence in favour of the PPP theory is scarce in data predominantly exposed to real shocks. This paper tests for PPP between Norway and its trading partners using...

Despite the emerging consensus on the validity of purchasing power parity (PPP) between trading countries in the long run, empirical evidence in favour of the PPP theory is scarce in data predominantly exposed to real shocks. This paper tests for PPP between Norway and its trading partners using...

Using a new database for the whole 1900-2000 period, this paper estimates the relative contribution of endogenous and exogenous factors in GDP and productivity growth in each of the six larger Latin American economies with multivariate annual models, and complements these with a single aggregate...

The paper measures productivity growth in seventeen countries in the nineteenth and twentieth centuries.  GDP per worker and capital per worker in 1985 US dollars were estimated for 1820, 1850, 1880, 1913, 1939 by using historical national accounts to back cast Penn World Table data for 1965...