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How Does the Monetary Model of Exchange Rate Determination Look When It Really Works?
Garces-Diaz, Daniel - Econometric Society - 2004
This paper shows that the Mexican experience from 1945 to 2002 is, like the German hyperinflation period, a unique monetary ``natural experiment,'' where fundamental relationships, like money demand, PPP and the monetary model of exchange rate determination can be analyzed with unparalleled...
Persistent link: https://www.econbiz.de/10005328935
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Currency Substitution, Portfolio Diversification and Money Demand
Freitas, Miguel Lebre de - Econometric Society - 2004
The paper explores the implications of means of payment substitutability and capital mobility on the properties of the money demand, using the Thomas (1985) stochastic dynamic optimising model, where the specific role of money is explicitly accounted for. Extending the model to a case in which...
Persistent link: https://www.econbiz.de/10005328925
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Dead Man Walking: An Empirical Reassessment of the Deterrent Effect of Capital Punishment Using the Bounds Testing Approach to Cointegration
Smyth, Russell; Narayan, Paresh Kumar - Econometric Society - 2004
cointegration and error correction framework. Our findings suggest that any support for the deterrence hypothesis is sensitive to …
Persistent link: https://www.econbiz.de/10005342164
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Testing Weak Exogeneity in Cointegrated System
Chiying, Hsiao; Pu, Chen - Econometric Society - 2004
This paper develops a limiting theory for Wald tests of weak exogeneity in error correction models (ECMs). It is well known that Wald statistics on cointegrated systems may involve nonstandard distribution and nuisance parameters, if $I(1)$ variables are not negligible in the statistics. To...
Persistent link: https://www.econbiz.de/10005086413
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Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE
SIN, Chor-yiu - Econometric Society - 2004
Macroeconomic or financial data are often modelled with cointegration and GARCH. Noticeable examples include those …
Persistent link: https://www.econbiz.de/10005063680
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The Value of Structural Information in the VAR Model
Strachan, Rodney W.; Dijk, Herman K. van - Econometric Society - 2004
features of a model, such as cointegration, can improve policy analysis as it can improve estimation, inference and forecast … features of the VAR model. The features considered are cointegration, exogeneity, deterministic processes and …
Persistent link: https://www.econbiz.de/10005063701
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Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE
SIN, Chor-yiu - Econometric Society - 2004
Macroeconomic or financial data are often modelled with cointegration and GARCH. Noticeable examples include those …
Persistent link: https://www.econbiz.de/10005063718
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Structural Error Correction Model: A Bayesian Perspective
Chua, Chew Lian; Summers, Peter - Econometric Society - 2004
parameters and analysis of cointegration. We amalgamate the Bayesian methods of Kleibergen and Paap (2002) for analysis of … cointegration in the ECM, and the Bayesian methods of Waggoner and Zha (2003) for estimating the structural parameters in BSVAR into …
Persistent link: https://www.econbiz.de/10005063745
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Nonlinear estimators with integrated regressors but without exogeneity
Jong, Robert de - Econometric Society - 2004
This paper analyzes nonlinear cointegrating regressions as have been recently analyzed in a paper by Park and Phillips in Econometrica. I analyze the consequences of removing Park and Phillips' exogeneity assumption, which for the special case of a linear model would imply the asymptotic...
Persistent link: https://www.econbiz.de/10005699677
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Fixed Bandwidth Asymptotics in Single Equation Models of Cointegration with an Application to Money Demand
Bunzel, Helle - Econometric Society - 2004
This paper provides a new approach to testing cointegration parameters in a single-equation cointegration environment … errors using fixed bandwidth (fixed-b) asymptotic theory and adapting it to the cointegration environment. It is shown that … bandwidth or kernel used, even if the regressors in the cointegration relationship are endogenous. Using asymptotic power and …
Persistent link: https://www.econbiz.de/10005342277