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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
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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
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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
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Nonstationary Nonlinear Heteroskedasticity in Regression
Park, Joon Y.; Chung, Heetaik - Econometric Society - 2004
This paper considers the regression with errors having nonstationary nonlinear heteroskedasticity. For both the usual stationary regression and the nonstationary cointegrating regression, we develop the asymptotic theories for the least squares methods in the presence of conditional...
Persistent link: https://www.econbiz.de/10005086429
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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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Temporal aggregation, causality distortions and a sign rule
Abeysinghe, Tilak; Rajaguru, Gulasekaran - Econometric Society - 2004
in many situations. Since cointegration is invariant to temporal aggregation and implies Granger causality this paper …
Persistent link: https://www.econbiz.de/10005702583
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Does Consumption Respond More to Housing Wealth Than to Financial Market Wealth?
Kishor, N. Kundan - Econometric Society - 2004
The strong consumption growth in a period of falling stock market and a moderate recession in the U.S. has sparked off a debate about the role of housing wealth as one of the determinants of consumption. The literature is divided over the issue whether the effect of change in the financial...
Persistent link: https://www.econbiz.de/10005702625
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Further results on weak-exogeneity in vector error correction models
Rault, Christophe - Econometric Society - 2004
This paper provides a necessary and sufficient condition for weak exogeneity in vector error correction models. An interesting property is that the statistics involved in the sequential procedure for testing this condition are distributed as ?ariables and can therefore easily be calculated with...
Persistent link: https://www.econbiz.de/10005702765
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Financial intermediaries, markets, and growth
Fecht, Falko; Huang, Kevin - Econometric Society - 2004
This paper contributes to the literature comparing the relative performance of financial intermediaries and markets by studying an environment in which a trade-off between risk sharing and growth arises endogenously. Financial intermediaries provide insurance to households against a liquidity...
Persistent link: https://www.econbiz.de/10005130194
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Oil crisis, Energy Saving Technological Change, and the Stock Market Collapse of 1974
Peralta-Alva, Adrian; Alpanda, Sami - Econometric Society - 2004
The market value of U.S. corporations, relative to the replacement cost of their tangible assets, declined by about 50% in 1973-74, and stagnated at that level for the following decade. This collapse in market valuations exactly coincides with the Oil Crisis of October 1973. Over the 1973-78...
Persistent link: https://www.econbiz.de/10005170252