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Testing for a unit-root with a nonlinear Fourier function
Lee, Junsoo; Enders, Walter - Econometric Society - 2004
The paper develops a unit-root test that allows for an unknown number of structural breaks with unknown functional forms. The test is based on the fact that the behavior of such series can often be captured using a single frequency component of a Fourier approximation. Hence, instead of...
Persistent link: https://www.econbiz.de/10005063755
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Realized Variance and IID Market Microstructure Noise
Lunde, Asger; Hansen, Peter Reinhard - Econometric Society - 2004
We analyze the properties of a bias-corrected realized variance (RV) in the presence of iid market microstructure noise. The bias correction is based on the first-order autocorrelation of intraday returns and we derive the optimal sampling frequency as defined by the mean squared error (MSE)...
Persistent link: https://www.econbiz.de/10005342264
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Productivity of Nations: a stochastic frontier approach to TFP decomposition
Garcia, Fernando; Pires, Jorge Oliveira - Econometric Society - 2004
This paper tackles the problem of aggregate TFP measurement using stochastic frontier analysis (SFA). Data from Penn World Table 6.1 are used to estimate a world production frontier for a sample of 75 countries over a long period (1950-2000) taking advantage of the model offered by Battese &...
Persistent link: https://www.econbiz.de/10005699603
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The Impact of Structural Funds Policy on European Regions Growth. A Theoretical and Empirical Approach
Mari-Carmen Puigcerver-Pe\UNICODE{0xf1}alver - Econometric Society - 2004
between the two Programming periods appears on the estimated rates of beta -convergence and the catching-effect …
Persistent link: https://www.econbiz.de/10005699620
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Subsampling Hypothesis Tests for Nonstationary Panels with Applications to the PPP Hypothesis
Chu, Timothy; Choi, In - Econometric Society - 2004
limiting distributions. For the non-centered subsampling, the result is shown in the mode of almost sure convergence and … discontinuous limiting distributions are allowed. For the centered subsampling, the uniform convergence result is obtained in the … mode of convergence in probability and only for continuous limiting distributions. Test consistency using the critical …
Persistent link: https://www.econbiz.de/10005328871
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GMM with Many Moment Conditions
Phillips, Peter C. B.; Han, Chirok - Econometric Society - 2004
themselves and from the variability across moment conditions. When the moment conditions are weak, convergence holds because … variation across the moment conditions produces a signal that is sufficient in itself to achieve convergence. However, this …
Persistent link: https://www.econbiz.de/10005342348
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The Japanese Economic Model: JEM
Teranishi, Yuki; Fujiwara, Ippei; Hara, Naoko - Econometric Society - 2004
In this paper, we set out the JEM (Japanese Economic Model), a large macroeconomic model of the Japanese Economy. Although the JEM is a theoretical model designed with a view to overcoming the Lucas (1976) critique of traditional large macroeconomic models, it can also be used for both...
Persistent link: https://www.econbiz.de/10005702717
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The Intertemporal Relationship between Money and Prices: Evidence for Argentina
Gabrielli, Florencia; McCandless, George - Econometric Society - 2004
In this paper, we study the statistical relationship between money and prices in Argentina during the last quarter of the 20th century. We first look at the unit root characteristics of the series which suggest dividing the whole sample into two sub-samples: 1976 to 1989 and 1991 to 2001, as...
Persistent link: https://www.econbiz.de/10005328862
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Stopping Tests in the Sequential Estimation for Multiple Structural Breaks
Urga, Giovanni; Peretti, Christian de - Econometric Society - 2004
In this paper, we propose the use of bootstrapping methods to obtain correct critical values for dating breaks. Following the procedure proposed in Banerjee, Lazarova and Urga (1998), we consider the case of estimating a system with two or more marginal processes and a conditional process....
Persistent link: https://www.econbiz.de/10005328868
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Identification of sensitivity to variation in endogenous variables
Chesher, Andrew - Econometric Society - 2004
This lecture explores conditions under which there is identification of the impact on an outcome of exogenous variation in a variable which is endogenous when data are gathered. The starting point is the Cowles Commission linear simultaneous equations model. The parametric and additive error...
Persistent link: https://www.econbiz.de/10005342177