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Heaney, Richard - Econometric Society - 2004

It is generally argued that there is a link between commodity prices and stock levels and this paper provides a test of two economic models that attempt to explain commodity pricing, the stock-out model with two separate pricing states and the convenience yield model. Global stock levels are...

Persistent link: https://www.econbiz.de/10005702563

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

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

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

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

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

The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty

McCulloch, J. Huston - Econometric Society - 2004

The fact that the expected payoffs on assets and call options are infinite under most log-stable distributions led Paul Samuelson and Robert Merton to conjecture that assets and derivatives could not be reasonably priced under these distributions, despite their many other attractive features....

Persistent link: https://www.econbiz.de/10005328962

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