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Single Source of Error State Space Approach to the Beveridge Nelson Decomposition

Low, Chin Nam; Anderson, Heather; Snyder, Ralph - Econometric Society - 2004

The use of the Beveridge Nelson decomposition in macroeconomic analysis involves the truncation and estimation of infinite weighted sums of random variables, whereas the single source of error (SSE) state space approach provides a simple and effective framework that leads to exactly the same...

Persistent link: https://www.econbiz.de/10005342170

The impact of monetary policy on New Zealand business cycles and inflation variability

McLellan, Nathan; Buckle, Robert A; Kim, Kunhong - Econometric Society - 2004

This paper uses the open economy structural VAR model developed in Buckle, Kim, Kirkham, McLellan and Sharma (2002) to evaluate the impact of monetary policy on New Zealand business cycles and inflation variability and the output/inflation variability trade-off. The model includes a...

Persistent link: https://www.econbiz.de/10005130253

El ciclo económico en Uruguay - Un modelo de Switching Regimes

Sanchez, Alejandro R. Pena - Econometric Society - 2004

This paper presents an empirical characterization of Uruguayanâ€™s Business Cycle applying the Switching Regime methodology; three scenarios were considered: recession, moderate growth and boom. The relation between regional and Uruguayanâ€™s business cycle is analyzed through the same...

Persistent link: https://www.econbiz.de/10005170251

Some Methods for Assessing the Need for Non-linear Models in Business Cycle Analysis and Forecasting

Pagan, A.; Engel, J.; Haugh, D. - Econometric Society - 2004

There is a long tradition in business cycle analysis of arguing that non-linear models are needed to explain the business cycle. In recent years many non-linear models have been fitted to data on GDP for many countries, but particularly for the U.S. In this paper we set our criteria to evaluate...

Persistent link: https://www.econbiz.de/10005170368

Co-movement of Australian State Business Cycles

Walker, Thomas; Norman, David - Econometric Society - 2004

We use a variety of techniques to examine the nature and degree of co-movement among Australian state business cycles. Our results indicate that these cycles move closely together, with particularly strong links between the cycles of the larger states. This finding is robust to a range of...

Persistent link: https://www.econbiz.de/10005170370

Chain Reactions, Trade Credit and the Business Cycle

Cardoso-Lecourtois, Miguel - Econometric Society - 2004

Firms in poor countries often tend to rely on alternative sources of financing different than banks. We show that borrowing constraints lead to financial arrangements between firms that can amplify the effect of liquidity or productivity shocks in the economy. In particular, we focus on the...

Persistent link: https://www.econbiz.de/10005702640

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

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

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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