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A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds

Riedel, Frank - 1997

The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage possibilities. Using the framework of Heath, Jarrow and Morton [4] we...

Persistent link: https://www.econbiz.de/10009632605

Fractional integration and the dynamics of UK unemployment

Gil-Alaña, Luis A.; Henry, S. G. B. - 2000

This article is concerned with the dynamic behaviour of UK unemployment. However, instead of using traditional approaches based on I(0) stationary or I(1) (integrated and/or cointegrated) models, we use the fractional integration framework. In doing so, we allow for a more careful study of the...

Persistent link: https://www.econbiz.de/10009582384

Was there a regime change in the German monetary transmission mechanism in 1983?

Candelon, Bertrand; Lütkepohl, Helmut - 2000

Recent investigations of the transmission mechanism of German monetary policy arrive at quite different conclusions regarding its stability during the period of monetary targeting by the Bundesbank. In this study small dynamic models for the monetary sector of the German economy are analyzed in...

Persistent link: https://www.econbiz.de/10009583433

Lag selection in subset VAR models with an application to a US monetary system

Brüggemann, Ralf; Lütkepohl, Helmut - 2000

Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...

Persistent link: https://www.econbiz.de/10009583885

Testing stochastic cycles in macroeconomic time series

Gil-Alaña, Luis A. - 2000

proposed in this article. The tests have a standard limit distribution and are easy to implement in raw time series. A Monte …

Persistent link: https://www.econbiz.de/10009611541

A fractionally integrated model with a mean shift for the US and the UK real oil prices

Gil-Alaña, Luis A. - 2000

In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally integrated processes with a mean shift. We use different versions of the tests of Robinson (1994), which have standard null and local limit distributions. The results indicate that if we model the...

Persistent link: https://www.econbiz.de/10009611543

A fractionally integrated exponential model for UK unemployment

Gil-Alaña, Luis A. - 2000

Fractionally integrated models with the disturbances following a Bloomfield (1973) exponential spectral model are proposed in this article for modelling the U.K. unemployment. This enables us a better understanding of the low-frequency dynamics affecting the series, without relying on any...

Persistent link: https://www.econbiz.de/10009611544

On the job search and the wage distribution

Christensen, Bent Jesper; Mortensen, Dale; Neumann, … - 2000

The estimates of the structural parameters of a job separations model derived from the theory of on-the-job search are … dispersion across employers exists in the sense that different employers offer different wages to the same worker, the theory …

Persistent link: https://www.econbiz.de/10009612015

Deterministic seasonality versus seasonal fractional integration

Gil-Alaña, Luis A. - 2000

We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new test statistic is developed to simultaneously test both, the order of integration of the seasonal component and the need of seasonal...

Persistent link: https://www.econbiz.de/10009612017

Cointegrating smooth transition regressions with applications to the Asian currency crisis

Saikkonen, Pentti; Choi, In - 2000

nonlinear least squares estimator is shown to be consistent and its asymptotic distribution is derived. It is found that the … asymptotic distribution involves a bias under the regressor-error dependence, which implies that the non-linear least squares …-and-lags enables the Gauss-Newton estimator to eliminate the bias and have a mixture normal distribution in the limit, which makes it …

Persistent link: https://www.econbiz.de/10009612025