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Dynamic Seemingly Unrelated Cointegrating Regression

Mark, Nelson C. - 2003

Multiple cointegrating regressions are frequently encountered in empirical work as, for example, in the analysis of panel data. When the equilibrium errors are correlated across equations, the seemingly unrelated regression estimation strategy can be applied to cointegrating regressions to...

Persistent link: https://www.econbiz.de/10012469103

Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand

Mark, Nelson C. - 2002

We study the panel DOLS estimator of a homogeneous cointegration vector for a balanced panel of N individuals observed …

Persistent link: https://www.econbiz.de/10012469343

Comparing Predictive Accuracy

Diebold, Francis X. - 1994

Using research designs patterned after randomized experiments, many recent economic studies examine outcome measures for treatment groups and comparison groups that are not randomly assigned. By using variation in explanatory variables generated by changes in state laws, government draft...

Persistent link: https://www.econbiz.de/10012473994

Evidence on Structural Instability in Macroeconomic Time Series Relations

Stock, James H. - 1994

An experiment is performed to assess the prevalence of instability in univariate and bivariate macroeconomic time series relations and to ascertain whether various adaptive forecasting techniques successfully handle any such instability. Formal tests for instability and out-of-sample forecasts...

Persistent link: https://www.econbiz.de/10012474068

The Predictive Ability of Several Models of Exchange Rate Volatility

West, Kenneth D. - 1994

We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange rates for the dollar, 1973-1989. For a one week horizon, GARCH models tend to make slightly more...

Persistent link: https://www.econbiz.de/10012474328

A, B, C's (and D)'s for Understanding VARs

Fernandez-Villaverde, Jesus - 2005

The dynamics of a linear (or linearized) dynamic stochastic economic model can be expressed in terms of matrices (A,B,C,D) that define a state space system. An associated state space system (A,K,C,Sigma) determines a vector autoregression for observables available to an econometrician. We review...

Persistent link: https://www.econbiz.de/10012467294

An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy : Expanded Version

Rotemberg, Julio J. - 1998

This paper considers a simple quantitative model of output, interest rate and inflation determination in the United … disturbances, can account for our data nearly as well as an unrestricted VAR. The monetary policy rule that most reduces inflation … high average inflation rate. But even in the case of a constrained-optimal policy, that takes into account some of the …

Persistent link: https://www.econbiz.de/10012472266

On Inflation and Output with Costly Price Changes : A Simple Unifying Result

Benabou, Roland - 1993

We analyze the effect of inflation on the average output of monopolistic firms facing a small fixed cost of changing …

Persistent link: https://www.econbiz.de/10012474604

Long-memory Inflation Uncertainty : Evidence from the Term Structure of Interest Rates

Backus, David K. - 1993

We use a fractional difference model to reconcile two features of yields on US government bonds with modem asset pricing theory: the persistence of the short rate and variability of the long end of the yield curve. We suggest that this process might arise from the response of the heterogeneous...

Persistent link: https://www.econbiz.de/10012474677

Predictive Regressions

Stambaugh, Robert F. - 1999

When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's finite-sample properties, derived here, can depart substantially from the standard regression setting....

Persistent link: https://www.econbiz.de/10012471691