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Inflation dynamics in the US - a nonlinear perspective
Nobay, A. Robert; Paya, Ivan; Peel, David A. - London School of Economics (LSE) - 2007
A stylized fact of US inflation dynamics is one of extreme persistence and possible unit root behavior. If so, the implications for macroeconomics and monetary policy are somewhat unpalatable. Our econometric analysis proposes a parsimonious representation of the inflation process, the nonlinear...
Persistent link: https://www.econbiz.de/10010745447
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Productivity growth, knowledge flows and spillovers
Crespi, Gustavo; Criscuolo, Chiara; Haskel, Jonathan E.; … - London School of Economics (LSE) - 2007
three questions (a) What is the source of knowledge flows? (b) To what extent do such flows contribute to productivity …
Persistent link: https://www.econbiz.de/10011071306
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Productivity and ICT: a review of the evidence
Draca, Mirko; Sadun, Raffaella; Van Reenen, John - London School of Economics (LSE) - 2006
productivity. The “Solow Paradox” of the absence of an impact of ICT on productivity no longer holds, if it ever did. Both growth … accounting and econometric evidence suggest an important role for ICTs in accounting for productivity. In fact, the empirical … estimates suggest a much larger impact of ICT on productivity than would be expected from the standard neoclassical model that …
Persistent link: https://www.econbiz.de/10011071487
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How to measure living standards and productivity
Oulton, Nicholas - London School of Economics (LSE) - 2009
This paper sets out a general algorithm for calculating true cost-of-living indices or true producer price indices when demand is not homothetic, i.e. when not all expenditure elasticities are equal to one. In principle, economic theory tells us how we should calculate a true cost-of-living...
Persistent link: https://www.econbiz.de/10011071515
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Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap
Seo, Myung Hwan - London School of Economics (LSE) - 2005
There is a growing literature on unit root testing in threshold autoregressive models. This paper makes two contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold autoregression, in which the errors are allowed to be dependent and...
Persistent link: https://www.econbiz.de/10010928673
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Estimating the rational expectations model of speculative storage : a Monte Carlo comparison of three simulation estimators
Michaelides, Alexander; Ng, Serena - London School of Economics (LSE) - 2000
The non-negativity constraint on inventories imposed on the rational expectations theory of speculative storage implies that the conditional mean and variance of commodity prices are non-linear in lagged prices and have a kink at a threshold point. In this paper, the structural parameters of...
Persistent link: https://www.econbiz.de/10010928703
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Semi-parametric indirect inference
Dridi, Ramdan; Renault, Eric - London School of Economics (LSE) - 2000
We develop in this paper a generalization of the Indirect Inference (II) to semi-parametric settings and termed Semi-parametric Indirect Inference (SII). We introduce a new notion of Partial Encompassing which lays the emphasis on Pseudo True Values of Interest. The main difference with the...
Persistent link: https://www.econbiz.de/10010928755
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Simulated asymptotic least squares theory
Dridi, Ramdan - London School of Economics (LSE) - 2000
We develop in this paper a general econometric methodology referred to as the Simulated Asymptotic Least Squares (SALS). It is shown that this approach provides a unifying theory for 'approximation-based' or simulation-based inference methods and nests the Simulated Nonlinear Least Squares...
Persistent link: https://www.econbiz.de/10010744799
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Limit theorems for estimating the parameters of differentiated product demand systems
Berry, Steve; Linton, Oliver; Pakes, Ariel - London School of Economics (LSE) - 2000
We provide an asymptotic distribution theory for a class of Generalized Method of Moments estimators that arise in the study of differentiated product markets when the number of observations is associated with the number of products within a given market. We allow for three sources of error: the...
Persistent link: https://www.econbiz.de/10010745114
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Loan securitisation: default term structure and asset pricing based on loss prioritisation
Jobst, Andreas A. - London School of Economics (LSE) - 2002
Ambivalence in the regulatory definition of capital adequacy for credit risk has recently stirred the financial services industry to collateral loan obligations (CLOs) as an important balance sheet management tool. CLOs represent a specialised form of Asset-Backed Securitisation (ABS), with...
Persistent link: https://www.econbiz.de/10010745131