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Small sample confidence intervals for multivariate impulse response functions at long horizons

Rossi, Barbara; Pesavento, Elena - Econometric Society - 2004

Existing methods for constructing confidence bands for multivariate impulse response functions depend on auxiliary assumptions on the order of integration of the variables. Thus, they may have poor coverage at long lead times when variables are highly persistent. Solutions that have been...

Persistent link: https://www.econbiz.de/10005329012

Do Technology Shocks Drive Hours Up or Down?

Rossi, Barbara; Pesavento, Elena - Econometric Society - 2004

This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We rely on an agnostic procedure in which the researcher does not have to...

Persistent link: https://www.econbiz.de/10005342192

Adaptive Learning and Inflation Dynamics in a Flexible Price Model

Santoro, Sergio - Econometric Society - 2004

In most of the recent macroeconomics literature, the sticky reaction of prices in response to changes in aggregate conditions has been modelled following the highly influential contribution of Calvo (1983). However, this approach has difficulties in accounting for some well-established stylized...

Persistent link: https://www.econbiz.de/10005342220

Persistence in Monetary Policy Models: Indexation, Habits and Learning with Long-Horizon Expectations

Milani, Fabio - Econometric Society - 2004

What brings persistence into the macroeconomy? This is one of the big unresolved issues in current macroeconomic theory …. Economic models, in fact, typically struggle to imply levels of persistence comparable to those observed in the data. Most of … the persistence is therefore introduced by highly autocorrelated exogenous stochastic shocks. Other solutions consist of …

Persistent link: https://www.econbiz.de/10005342244

Indirect Estimation of Long Memory Volatility Models

Wilkins, Nigel - Econometric Society - 2004

An indirect estimator is proposed for two long memory volatility models; the fractionally integrated generalised autoregressive conditional heteroskedasticity (FIGARCH) model and the long memory stochastic volatility (LMSV) model. The small sample properties of the indirect estimator are...

Persistent link: https://www.econbiz.de/10005086438

How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations

Hwang, Soosung; Satchell, Steve E.; Pereira, Pedro L. Valls - Econometric Society - 2004

volatility, high persistence and smoothness. With the quasi-ML approach proposed in our study, we showed that volatility is far …

Persistent link: https://www.econbiz.de/10005129787

Threshold Integrated Moving Average Models (Does Size Matter? Maybe So)

Martin, Oscar; Gonzalo, Jesus - Econometric Society - 2004

The aim of this paper is to identify permanent and transitory shocks. This identification is done according to the size of the shocks or the size of some other important economic variable. In order to be able to carry this identification scheme on, we introduce a new class of threshold models:...

Persistent link: https://www.econbiz.de/10005699673