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Nonparametric test for causality with long-range dependence
Hidalgo, Javier - London School of Economics (LSE) - 2000
This paper introduces a nonparametric Granger-causality test for covariance stationary linear processes under, possibly, the presence of long-range dependence. We show that the test is consistent and has power against contiguous alternatives converging to the parametric rate T-½. Since the test...
Persistent link: https://www.econbiz.de/10011071140
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Regional influences on U.S. monetary policy: some implications for Europe
Meade, Ellen E.; Sheets, D. Nathan - London School of Economics (LSE) - 2002
This paper looks at the monetary policy decisions of the U.S. Federal Reserve and asks whether those decisions have been influenced solely by national concerns, or whether regional factors have played a role. All of the Federal Reserve''s policymakers have some regional identity, i.e., either...
Persistent link: https://www.econbiz.de/10010884746
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The Euro crisis: a historical perspective
Mourlon-Druol, Emmanuel - London School of Economics (LSE) - 2011
In this research report IDEAS explores the current euro crisis by looking at the debates preceding the conception of … the euro. How can the early days of EU monetary cooperation help us understand today's predicament? And what lessons can … we draw from them for the euro? Emmanuel Mourlon-Druol is Pinto Fellow at LSE IDEAS. Today's debates about the viability …
Persistent link: https://www.econbiz.de/10010745583
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On building the American and the European empires
Colomer, Josep M. - London School of Economics (LSE) - 2009
The processes of building the United States of America (USA) during the nineteenth century and the European Union (EU) since mid-twentieth century are among the major claims for the possibility of a vast, ‘imperial’-size political unit based on democratic principles. The crucial period for...
Persistent link: https://www.econbiz.de/10010745910
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Political credit cycles: the case of the Euro zone
Fernández-Villaverde, Jesús; Garicano, Luis; Santos, … - London School of Economics (LSE) - 2013
We study the mechanisms through which the adoption of the Euro delayed, rather than advanced, economic reforms in the … Euro zone periphery and led to the deterioration of important institutions in these countries. We show that the abandonment … process after the creation of the Euro. …
Persistent link: https://www.econbiz.de/10011126656
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The estimated effects of the euro on trade: why are they below historical effects of monetary unions among smaller countries?
Frankel, Jeffrey A. - London School of Economics (LSE) - 2009
others used the gravity model on a much smaller data set to estimate the effects of the euro on trade among its members. The … that were estimated in the euro's first four years hold up in the second four years? The answer is yes. Second, and more … explanations for the gap between 15% and 200%. First, lags. The euro is still very young. Second, size. The European countries are …
Persistent link: https://www.econbiz.de/10011071291
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Semiparametric estimation of a characteristic-based factor model of common stock returns
Connor, Gregory; Linton, Oliver - London School of Economics (LSE) - 2006
We introduce an alternative version of the Fama-French three-factor model of stock returns together with a new estimation methodology. We assume that the factor betas in the model are smooth nonlinear functions of observed security characteristics. We develop an estimation procedure that...
Persistent link: https://www.econbiz.de/10010884698
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A method of moments estimator for semiparametric index models
Donkers, Bas; Schafgans, Marcia M. A. - London School of Economics (LSE) - 2005
We propose an easy to use derivative based two-step estimation procedure for semi-parametric index models. In the first step various functionals involving the derivatives of the unknown function are estimated using nonparametric kernel estimators. The functionals used provide moment conditions...
Persistent link: https://www.econbiz.de/10010884702
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Efficient estimation of the semiparametric spatial autoregressive model
Robinson, Peter M. - London School of Economics (LSE) - 2007
Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, containing nonstochastic explanatory variables and innovations suspected to be non-normal. The main stress is on the case of distribution of unknown, nonparametric, form, where series...
Persistent link: https://www.econbiz.de/10010928599
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Specification testing for regression models with dependent data
Hidalgo, Javier - London School of Economics (LSE) - 2007
We describe and examine a consistent test for the correct specification of a regression function with dependent data. The test is based on the supremum of the difference between the parametric and nonparametric estimates of the regression model. Rather surprisingly, the behaviour of the test...
Persistent link: https://www.econbiz.de/10010928619