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Purchasing Power Parity for Traded and Non-traded Goods: A Structural Error Correction Model Approach
Ogaki, Masao; Kim, Jaebeom - Econometric Society - 2004
purchasing power parity (PPP) deviations is found among studies using long-horizon data. However, a recent study by Murray and … determined by PPP. Kim, Ogaki, and Yang’s (2001) system method combines the single equation IV method with Hansen and Sargentâ …
Persistent link: https://www.econbiz.de/10005086417
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Purchasing Power Parity: the Choice of Price Index
Terra, Maria Cristina T.; Abreu, Ana Lucia Vahia de - Econometric Society - 2004
Looking closely at the PPP argument, it states that the currencies purchasing power should not change when comparing … the same basket goods across countries, and these goods should all be tradable. Hence, if PPP is valid at all, it should … price indices available from the IMF database to see which one would yield higher PPP evidence, and, therefore, better fit …
Persistent link: https://www.econbiz.de/10005699577
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STRUCTURAL CHANGE IN THE BRAZILIAN DEMAND FOR IMPORTS: A regime switching approach
Portugal, M.; Morais, I.A. de - Econometric Society - 2004
The aim of the present paper is to apply a Markov Switching model to check the characteristics of the Brazilian demand for imports equation based on annual data from 1947 to 2002 and on quarterly data from 1978:I to 2002:II. The results show that this model satisfactorily describes the...
Persistent link: https://www.econbiz.de/10005129776
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Using additional information in estimating output gap in Peru: a multivariate unobserved component approach
Llosa, Gonzalo; Miller, Shirley - Econometric Society - 2004
One of the key inputs for inflation targeting regime is the right identification of inflationary or disinflationary pressures. These pressures are usually approximated by the output gap. In this paper we provide an estimation of the Peruvian output gap using a multivariate unobserved component...
Persistent link: https://www.econbiz.de/10005699611
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Monetary Magic? How the Fed Improved the Supply Side of the Economy
Sgherri, Silvia; Bayoumi, Tamim - Econometric Society - 2004
Extending recent theoretical contributions on sources of inflation inertia, we argue that monetary uncertainty accounts for sluggish expectations adjustment to nominal disturbances. Estimating a model in which rational individuals learn over time about shifts in U.S. monetary policy and the...
Persistent link: https://www.econbiz.de/10005702768
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An Alternative Estimation of Spurious Regression Model
Rahman, Shahidur - Econometric Society - 2004
In examining the likely consequences of nonsense relationship, Granger and Newbold (1974) made it clear that the differencing is not the universal sure solution to the problem of spurious regression models. This has prompted the discovery of the cointegration regression estimation by Engle and...
Persistent link: https://www.econbiz.de/10005342144
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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
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A component-driven model for regime switching and its empirical evidence
Kuan, Chung-Ming; Huang, Yu-Lieh - Econometric Society - 2004
In this paper we propose a general component-driven model to analyze economic data with different characteristics (or regimes) in different time periods. Motivated by empirical data characteristics, our discussion focuses on a simple model driven by a random walk component and a stationary ARMA...
Persistent link: https://www.econbiz.de/10005086431
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Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications
Yang, Minxian - Econometric Society - 2004
The properties and applications of the normal log-normal (NLN) mixture are considered. The moment of the NLN mixture is shown to be finite for any positive order. The expectations of exponential functions of a NLN mixture variable are also investigated. The kurtosis and skewness of the NLN...
Persistent link: https://www.econbiz.de/10005063629
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The Effect of Exchange Rate Uncertainty on US Imports from the UK: Consistent OLS Estimation with Volatility Measured by An ARCH-type Model
Podivinsky, Jan M.; Cheong, Chongcheul; Lu, Maozu - Econometric Society - 2004
This paper investigates the effect of exchange rate volatility on US-UK bilateral trade flows. As part of econometric problems arising from a generated variable, we consider a special case when an ARCH type auxiliary model is used to measure uncertainty in the exchange rate and discuss a...
Persistent link: https://www.econbiz.de/10005063661