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Understanding Brazilian Unemployment Structure: A Mixed Autoregressive Approach
Silva, Ricardo Gonçalves; Andrade, Marinho Gomes; … - EconWPA - 2004
The aims of this paper are estimate and forecast the Non-Accelerating Inflation Rate of Unemployment, or NAIRU, for …
Persistent link: https://www.econbiz.de/10005407874
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ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")
JONDEAU, Eric; BIHAN, Hervé LE - EconWPA - 2003
Many macroeconomic models (including the NKPC - "New Keynesian" Phillips Curve) involve hybrid equations, in which some variables depend on both their lags and leads. Hybrid models have produced conflicting empirical results: GMM (respectively ML) estimation find the forward- looking component...
Persistent link: https://www.econbiz.de/10005062538
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A cross-country investigation of macroeconomic asymmetries
Verbrugge, Randal J. - EconWPA - 1998
Using a recently introduced nonparametric test, I investigate two important and distinct asymmetries in cross-country quarterly macroeconomic time series. Asymmetries are suggested by many theories (old and new), and those discovered aid in the selection of the appropriate nonlinear time series...
Persistent link: https://www.econbiz.de/10005412800
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ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the "New Phillips Curve")
JONDEAU, Eric; BIHAN, Herve LE - EconWPA - 2003
Many macroeconomic models (including the NKPC - "New Keynesian" Phillips Curve) involve hybrid equations, in which some variables depend on both their lags and leads. Hybrid models have produced conflicting empirical results: GMM (respectively ML) estimation find the forward- looking component...
Persistent link: https://www.econbiz.de/10005119217
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The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified.
Zivot, Eric - EconWPA - 1996
's (1992) conditional ECM- based t-test for no-cointegration with a single prespecified cointegrating vector. This alternative …-test with a prespecified cointegrating vector can have much higher power than single equation tests for cointegration based on …
Persistent link: https://www.econbiz.de/10005407947
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New Hope for the Fisher Effect? A Re-Examination Using Threshold Cointegration
Weidmann, Jens - EconWPA - 1997
This paper reassesses the long-run relation between nominal interest rates and inflation using German data. It shows … adjusting to changes in inflation, can be attributed to the particular time series behavior of inflation and interest rates … bivariate system of inflation and interest rates depends on the level of the variables and should be modeled as a thresh …
Persistent link: https://www.econbiz.de/10005126206
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MODEL OF INFLATION PROCESSES IN THE REPUBLIC OF BELARUS
Chernookiy, Valery - EconWPA - 2005
This paper discusses the econometric model of inflation processes in the Republic of Belarus which makes it possible to … econometrics: cointegration analysis and error-correction models. The model has good statistical properties, it demonstrates …
Persistent link: https://www.econbiz.de/10005561160
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"PPP tests in cointegrated panels: Evidence from Asian developing countries".
Basher, Syed A.; Mohsin, Mohammed - EconWPA - 2003
using panel cointegration framework. We employ 'between-dimension' dynamic OLS estimator as proposed by Pedroni (2001b). The …
Persistent link: https://www.econbiz.de/10005076786
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"PPP tests in cointegrated panels: Evidence from Asian developing countries".
Basher, Syed A.; Mohsin, Mohammed - EconWPA - 2003
using panel cointegration framework. We employ 'between-dimension' dynamic OLS estimator as proposed by Pedroni (2001b). The …
Persistent link: https://www.econbiz.de/10005126247
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Bayesian Analysis of Long Memory and Persistence using ARFIMA Models
Koop, Gary; Ley, Eduardo; Osiewalski, Jacek; Steel, … - EconWPA - 1995
This paper provides a Bayesian analysis of Autoregressive Fractionally Integrated Moving Average (ARFIMA) models. We discuss in detail inference on impulse responses, and show how Bayesian methods can be used to (i) test ARFIMA models against ARIMA alternatives, and (ii) take model uncertainty...
Persistent link: https://www.econbiz.de/10005062558