Similar Search Results

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

On weak exogeneity of the student's t and elliptical linear regression models

Hodoshima, Jiro - Econometric Society - 2004

This paper studies weak exogeneity of conditioning variables for the inference of a subset of parameters of the conditional student's t and elliptical linear regression models considered by Spanos (1994). Weak exogeneity of the conditioning variables is shown to hold for the inference of...

Persistent link: https://www.econbiz.de/10005702716

A VECM Model of Stockmarket Returns

Sreedharan, Nagaratnam J - Econometric Society - 2004

correction (VECM) model. The results of the empirical models using daily DJI index data for a 11 year period (1990-2000) indicate …

Persistent link: https://www.econbiz.de/10005702551

Testing for Nonlinear Adjustment in Smooth Transition Vector Error Correction Models

Seo, Byeongseon - Econometric Society - 2004

The smooth transition autoregressive (STAR) model was proposed by Chan and Tong (1986) as a generalization of the threshold autoregressive (TAR) model, and since then it has attracted wide attention in the recent literature on the business cycles and the equilibrium parity relationships of...

Persistent link: https://www.econbiz.de/10005702758

COINTEGRATION AND WAVELETS: AN EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN MONEY AND OUTPUT IN PERU

Lahura, Erick - Econometric Society - 2004

application of wavelet filtering to analyze cointegrating relationships. No evidence of cointegration between money, real output … and prices is found. However, there is evidence of cointegration between non-stationary components of the series that …

Persistent link: https://www.econbiz.de/10005328904

An Alternative Estimation of Spurious Regression Model

Rahman, Shahidur - Econometric Society - 2004

the cointegration regression estimation by Engle and Granger (1987). In recent years applied econometricians are debating …

Persistent link: https://www.econbiz.de/10005342144

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

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

Subsampling Hypothesis Tests for Nonstationary Panels with Applications to the PPP Hypothesis

Choi, In; Chue, Timothy - Econometric Society - 2004

-sectionally correlated and cross-sectionally cointegrated. The tests include panel unit root and cointegration tests as special cases. The …

Persistent link: https://www.econbiz.de/10005342342

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