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In this paper we derive a parameter constancy test of a stationary vector autoregressive model against the hypothesis that the parameters of the model change smoothly over time. A single structural break is contained in this alternative hypothesis as a special case. The test is a generalization...
Persistent link: https://www.econbiz.de/10001693105
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This paper proposes a simple explanation for the frequent appearance of a price puzzle in VARs designed for monetary policy analysis. It suggests that the best method of solving the puzzle implies a close connection between theory and empirics rather than the introduction of a commodity price....
Persistent link: https://www.econbiz.de/10001600038
Few propositions in macroeconomics are less controversial than long-run money neutrality, yet clear and robust empirical support has not been found in time series studies. Bernanke and Mihov (1998) are comparatively successful in this hunt, but their output response to monetary policy shocks...
Persistent link: https://www.econbiz.de/10001600067
modeller to estimate an implicit target zone if it exists. A modelling cycle consisting of specification, estimation, and …
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Guided by a simple theory of task assignment and time allocation, we investigate the long run response to national differences in tax rates on labor income, payrolls and consumption. The theory implies that higher tax rates reduce work time in the market sector, increase the size of the shadow...
Persistent link: https://www.econbiz.de/10002099742