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The Consequences of Systematic Sampling on Granger Causality
Abeysinghe, Tilak; Rajaguru, Gulasekaran - Econometric Society - 2004
In applied econometric literature, the causal inferences are often made based on highly temporally aggregated or systematically sampled data. A number of theoretical studies have pointed out that temporal aggregation has distorting effects on causal inference and systematic sampling preserves...
Persistent link: https://www.econbiz.de/10005063635
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Generalized Two-Step Maximum Likelihood Estimation of Structural Vector Autoregressive Models partially identified with Short-Run Restrictions
Jang, Kyungho - Econometric Society - 2004
This paper presents a generalized two-step maximum likelihood estimation method for partially identified vector autoregressive models. We suggest a likelihood ratio test for over-identification in a sub-system and derive the asymptotics for impulse responses and forecast-error variance...
Persistent link: https://www.econbiz.de/10005702745
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Language and Labour in South Africa. A New Approach for a New South Africa
Cornwell, Katy - Econometric Society - 2004
This paper considers the role of language in labour earnings in South Africa over the period 1996 to 1998. Our pooled cross-section comprises of over 180,000 working age adults, and the analysis considers the decision to participate in the labour force, employment prospects and labour earnings....
Persistent link: https://www.econbiz.de/10005063653
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Parametric and Semi-parametric Estimations of the Return to Schooling in South Africa
Bhalotra, Sonia; Sanhueza, Claudia - Econometric Society - 2004
This paper estimates return to schooling for african and coloured women in South Africa. It compares parametric and semiparametric estimates of the sample selection model for the case of return to schooling. The parametric estimator is the one proposed by Heckman (1979) and the semiparametric...
Persistent link: https://www.econbiz.de/10005699575
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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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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
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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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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
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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