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Cointegration and Tests of Present Value Models
Campbell, John Y. - 1986
In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the "spread" S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to induce...
Persistent link: https://www.econbiz.de/10012477190
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Gravity and Extended Gravity : Using Moment Inequalities to Estimate a Model of Export Entry
Morales, Eduardo - 2014
Exporting firms often enter foreign markets that are similar to previous export destinations. We develop a dynamic … model in which a firm's exports in a market may depend on how similar the market is to the firm's home country (gravity) and … to its previous export destinations (extended gravity). Given the large number of export paths from which forward …
Persistent link: https://www.econbiz.de/10012458748
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Measuring TFP : The Role of Profits, Adjustment Costs, and Capacity Utilization
Comin, Diego - 2020
estimation method that accounts for non-zero profits, structurally estimates adjustment costs, and relies on a utilization proxy …
Persistent link: https://www.econbiz.de/10012482228
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Optimal Estimation of Discrete Choice Demand Models with Consumer and Product Data
Grieco, Paul L. E.; Murry, Charles; Pinkse, Joris; … - National Bureau of Economic Research - 2025
We propose a conformant likelihood estimator with exogeneity restrictions (CLEER) for random coefficients discrete choice demand models that is applicable in a broad range of data settings. It combines the likelihoods of two mixed logit estimators--one for consumer level data, and one for...
Persistent link: https://www.econbiz.de/10015195043
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Efficient Estimation of a Dynamic Error-Shock Model
Hsiao, Cheng - 1976
This paper is concerned with the estimation of the parameters in a dynamic simultaneous equation model with stationary …
Persistent link: https://www.econbiz.de/10012478972
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Low-Frequency Econometrics
Müller, Ulrich K. - 2015
Many questions in economics involve long-run or trend variation and covariation in time series. Yet, time series of typical lengths contain only limited information about this long-run variation. This paper suggests that long-run sample information can be isolated using a small number of...
Persistent link: https://www.econbiz.de/10012457105
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Low-Frequency Robust Cointegration Testing
Müller, Ulrich - 2009
Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust...
Persistent link: https://www.econbiz.de/10012463358
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A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems
Stock, James H. - 1989
An MLE of the unknown parameters of co integrating vectors is presented for systems in which some variables exhibit higher orders of integration, in which there might be deterministic components, and in which the co integrating vector itself might involve variables of differing orders of...
Persistent link: https://www.econbiz.de/10012475849
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On Low-Frequency Estimates of "Long-Run" Relationships in Macro- economics
McCallum, Bennett T. - 1983
A number of recent studies have attempted to test propositions concerning "long runt" economic relationships by means of frequency-domain time series techniques that concentrate attention on low frequency co-movements of variables.The present paper emphasizes that many of these propositions...
Persistent link: https://www.econbiz.de/10012477939
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Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions
Andersen, Torben; Varneskov, Rasmus Tangsgaard - National Bureau of Economic Research - 2021
variables may be fractionally integrated and the predictive relation may feature cointegration, we provide sup-Wald break tests … theory for the tests, showing that it coincides with standard testing procedures. As a consequence, existing critical values …
Persistent link: https://www.econbiz.de/10012496124