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Snaith, Stuart; Coakley, Jerry - Society for Computational Economics - SCE - 2004

This paper tests for long run PPP using a nonstationary panel regression framework that can accommodate both permanent and temporary shocks. It also uses the common correlated estimator of Pesaran (2003a) to take account of cross sectional dependence. The PPP null in our framework is a unit...

Persistent link: https://www.econbiz.de/10005132791

Small sample properties of panel time-series estimators with I(1) errors

Jerry Coakley, Ana-Maria Fuertes, Ron Smith - Society for Computational Economics - SCE - 2001

Monte Carlo simulations are used to explore the small-sample properties of a mean group and two pooled panel estimators of a regression coefficient when the regressor is I(1). We compare and contrast the effect of I(0) and I(1) errors and homogeneous and heterogeneous coefficients in a design...

Persistent link: https://www.econbiz.de/10005132876

New Evidence on the Puzzles: Monetary Policy and Exchange Rates

Scholl, Almuth; Uhlig, Harald - Society for Computational Economics - SCE - 2006

Past empirical research on monetary policy in open economies has found the â€œdelayed overshootingâ€, the â€œforward discountâ€ and the â€œexchange rateâ€ puzzles. We revisit the effects of monetary policy on exchange rates by applying Uhlig's (2005) identification procedure...

Persistent link: https://www.econbiz.de/10005342942

Joint Tests for Long Memory and Non-linearity: The Case of Purchasing Power Parity

Smallwood, Aaron - Society for Computational Economics - SCE - 2004

A pervasive finding of unit roots in macroeconomic data often runs counter to intuition regarding the stochastic nature of the process under consideration. Two econometric techniques have been utilized in an attempt to resolve the finding of unit roots, namely long memory and models that depart...

Persistent link: https://www.econbiz.de/10005537639

ML Estimators for SEM-GARCH Models: Relative Performance of Different Computational Algorithms

Kabili, Andi; Krishnakumar, Jaya - Society for Computational Economics - SCE - 2006

Though multivariate GARCH models are widely used in empirical research, their computational aspects still represent a … simultaneous equations model (SEM) with GARCH errors was considered by Engle and Kroner (1995). While there are many applications … GARCH errors to compute the corresponding ML estimators. We compare different gradient algorithms in a simulation framework …

Persistent link: https://www.econbiz.de/10005342868

Sensitivity Analysis of GARCH Models

Ceci, Vladimiro; Manganelli, Simone; Vecchiato, Walter - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005345470

Expectations Driven Distortions in the Foreign Exchange Market

Westerhoff, Frank H. - Society for Computational Economics - SCE - 2001

This paper explores the phenomenon of lasting deviations of the exchange rate from its fundamental value in the foreign exchange market. Motivated by empirical observations a chartists-fundamentalists model is developed in which boundedly rational agents repeatedly choose between technical and...

Persistent link: https://www.econbiz.de/10005132889

Heterogeneous Traders and the Tobin Tax

Westerhoff, Frank - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005345386

Are Capital Markets Efficient? Evidence from the Term Structure of Interest Rates in Europe

Hallett, Andrew Hughes; Richter, Christian R - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005706624

RISK ADJUSTED RETURNS AND TECHNICAL TRADING RULES FROM DATA PROJECTION

Marney J.P.; Fyfe C.; Tarbert H. - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005345402

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