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International Business Cycles: Evidence from Capital Coefficient Based Measures of Capacity Utilisation

Graff, Michael - Econometric Society - 2004

identify the following country clusters: a European group comprising France, Spain and Sweden; a group of German speaking … Economy. The identification of these clusters is suggested as a starting point for further explorations into the regularities …

Persistent link: https://www.econbiz.de/10005342165

A Dynamic Factor Approach to Nonlinear Stability Analysis

Shintani, Mototsugu - Econometric Society - 2004

A method of principal components is employed to investigate nonlinear dynamic factor structure using a large panel data. The evidence suggests the possibility of nonlinearity in the U.S. while it excludes the class of nonlinearity that can generate endogenous fluctuation or chaos

Persistent link: https://www.econbiz.de/10005130249

Dynamics of Interest Rate Curve by Functional Auto-regression

Onatski, Alexei; Kargin, Slava - Econometric Society - 2004

The paper applies methods of functional data analysis â€“ functional auto-regression, principal components and canonical correlations â€“ to the study of the dynamics of interest rate curve. In addition, it introduces a novel statistical tool based on the singular value decomposition...

Persistent link: https://www.econbiz.de/10005342237

Structural changes, common stochastic trends and unit roots in panel data

Bai, Jushan; Carrion-i-Silvestre, Josep Lluís - Econometric Society - 2004

In this paper we propose a new test statistic that considers multiple structural breaks to analyse the non-stationarity of a panel data set. The methodology is based on the common factor analysis in an attempt to allow for some sort of dependence across the individuals. Thus allowing for...

Persistent link: https://www.econbiz.de/10005342256

Macroeconomic Forecasting with Independent Component Analysis

Yau, Ruey - Econometric Society - 2004

This paper considers a factor model in which independent component analysis (ICA) is employed to construct common factors out of a large number of macroeconomic time series. The ICA has been regarded as a better method to separate unobserved sources that are statistically independent to each...

Persistent link: https://www.econbiz.de/10005702764

Can Business and Social Networks Explain the Border Effect Puzzle?

Mayer, Thierry; Combes, Pierre-Philippe; Lafourcade, Miren - Econometric Society - 2004

business and social networks can play in shaping trade patterns and explaining the border effect puzzle. Using a structural … place (social networks) and by inter-plants connections (business networks). In addition, controlling for these network … effects reduces the impact of transport cost on trade flows by a comparable factor. Thus, business and social networks that …

Persistent link: https://www.econbiz.de/10005129811

Networks of Relations

Spagnolo, Giancarlo; Lippert, Steffen - Econometric Society - 2004

In this paper, we model networks of relational contracts. We explore sanctioning power within these networks under … other network members. We identify conditions for stability of such networks, conditions for transmission of information …

Persistent link: https://www.econbiz.de/10005329020

Structural Break or Asymmetry? An Empirical Study of the Stock Wealth Effect on Consumption

Leung, Charles Ka Yui; Chen, Nan-Kuang; Hsu, Chih-Chiang - Econometric Society - 2004

The purpose of this paper is to examine whether the stock wealth effect of consumption exhibits structural change(s) or behaves asymmetrically over business cycles. We first perform a general test of linearity for the behavior of aggregate consumption in response to changes in stock wealth based...

Persistent link: https://www.econbiz.de/10005342325

Testing for structural change in regression with long memory processes

Lazarova, Stepana - Econometric Society - 2004

The paper considers tests for structural change in time series regression models where both regressors and residuals may exhibit long range dependence. The limiting distribution of the test statistic depends on unknown parameters and is approximated by a bootstrap procedure. The asymptotic...

Persistent link: https://www.econbiz.de/10005063603

LM-Type tests for a Unit Root Allowing for a Break in Trend

Nunes, Luis C. - Econometric Society - 2004

We consider LM-type tests for a unit root allowing for a break in trend at an unknown date. In addition to the minimum LM test statistic, we propose new LM-type tests based on the least squares estimator of the break date under the null. We examine asymptotic behavior under the null hypothesis...

Persistent link: https://www.econbiz.de/10005063667