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Fractional cointegration and real exchange rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be...

Persistent link: https://www.econbiz.de/10009611542

Forecasting the real output using fractionally integrated techniques

Gil-Alaña, Luis A. - 2001

The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of …

Persistent link: https://www.econbiz.de/10009613608

Growth regression and counterfactual income dynamics

Desdoigts, Alain - 2000

Persistent link: https://www.econbiz.de/10009611551

Testing for short and long-run causality : the case of the yield spread and economic growth

Breitung, Jörg; Candelon, Bertrand - 2001

To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...

Persistent link: https://www.econbiz.de/10009617950

Cai, Zongwu (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919034

Error reduction in density estimation under shape restrictions

Rychlik, Tomasz - 1999

For the problems of nonparametric estimation of nonincreasing and symmetric unimodal density functions with bounded … density classes satisfying some general moment conditions. The method of projections reduces the estimation errors for all … properties of the parent densities. -- error reduction ; Nonparametric density estimation ; monotone density ; symmetric unimodal …

Persistent link: https://www.econbiz.de/10009579180

Errors in variables models

Liang, Hua - 1999

Persistent link: https://www.econbiz.de/10009581095

Design aspects of calibration studies in nutrition, with analysis of missing data in linear measurement error models

Carroll, Raymond J.; Freedman, Laurence; Pee, David - 1997

Motivated by an example in nutritional epidemiology, we investigate some design and analysis aspects of linear measurement error models with missing surrogate data. The specific problem investigated consists of an initial large sample in which the response (a food frequency questionnaire, FFQ)...

Persistent link: https://www.econbiz.de/10009631748

Nonparametric kernel and regression spline estimation in the presence of measurement error

Maca, J. D.; Carroll, Raymond J.; Ruppert, David - 1997

techniques, regression splines and kernel estimation, of which both can be used in the presence of measurement error. Within the … ; Bandwidth Selection ; Regression Splines ; Sandwich Estimation …

Persistent link: https://www.econbiz.de/10009631749

Polynomial regression and estimation function in the presence of multiplication measurement error, with application to nutrition

Iturria, Stephen J.; Carroll, Raymond J.; Firth, David - 1997

In this paper we consider the polynomial regression model in the presence of multiplicative measurement error in the predictor. Consistent parameter estimates and their associated standard errors are derived. Two general methods are considered, with the methods differing in their assumptions...

Persistent link: https://www.econbiz.de/10009631750

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