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Price variability and price dispersion in a stable monetary environment : evidence from German retail markets
Fengler, Matthias R.; Winter, Joachim - 2000
We investigate the relationship between inflation and price variation using highly disaggregated, weekly price data for consumption goods recorded in Germany during 1995, a low inflation period. We find a significant positive correlation between the rates of price change and price dispersion,...
Persistent link: https://www.econbiz.de/10009612033
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Neoclassical convergence versus technological catch-up : a contribution for reaching a consensus
Desdoigts, Alain - 2000
New macro empirical evidence is provided to assess the relative importance of object and idea gaps in explaining the world income distribution dynamics. Formal statistical hypothesis tests allow us to discriminate between two competing growthmodels: (i) the standard neoclassical growth model...
Persistent link: https://www.econbiz.de/10009583880
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An adaptive, rate-optimal test of a parametric model against a nonparametric alternative
Horowitz, Joel; Spokojnyj, Vladimir G. - 1999
We develop a new test of a parametric model of a conditional mean function against a nonparametric alternative. The test adapts to the unknown smoothness of the alternative model and is uniformly consistent against alternatives whose distance from the parametric model converges to zero at the...
Persistent link: https://www.econbiz.de/10009579179
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Robust estimation in nonlinear regression and limited dependent variable models
Čížek, Pavel - 2001
Classical parametric estimation methods applied to nonlinear regression and limited-dependent-variable models are very … restricted by parametric assumptions, require more data and are less efficient. A third possible estimation approach is based on … ; limited-dependent-variable models ; nonlinear regression ; robust estimation …
Persistent link: https://www.econbiz.de/10009618360
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Non-uniformity of job-matching in a transition economy : a nonparametric analysis for the Czech Republic
Profit, Stefan; Sperlich, Stefan - 1998
explorative study aims to shed some light into the black-box of the matching technology by applying nonparametric estimation …
Persistent link: https://www.econbiz.de/10009574874
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Nonparametric estimation and testing of interaction in additive models
Sperlich, Stefan; Tjostheim, Dag; Yang, Lijian - 1998
Estimation …
Persistent link: https://www.econbiz.de/10009574875
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The monetary model of the exchange rate : a structural interpretation
Moersch, Mathias; Nautz, Dieter - 1998
exchange rate. The separate estimation of long-run money demands leads to a "structural" error correction equation which allows …
Persistent link: https://www.econbiz.de/10009574885
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Semiparametric analysis of German East-West migration intentions : facts and theory
Burda, Michael C.; Härdle, Wolfgang; Müller, Marlene; … - 1997
East-West migration in Germany peaked at the beginning of the 90s although the average wage gap between Eastern and Western Germany continues to average about 25%. We analyze the propensity to migrate using microdata from the German Socioeconomic Panel. Fitting a parametric Generalized Linear...
Persistent link: https://www.econbiz.de/10009574896
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The Beveridge-Nelson decomposition : a different perspective with new results
Gómez, Víctor; Breitung, Jörg - 1998
We show in the paper that the decomposition proposed by Beveridge and Nelson (1981) for models that are integrated of order one can be generalized to seasonal Arima models by means of a partial fraction decomposition. Two equivalent algorithms are proposed to optimally (in the mean squared...
Persistent link: https://www.econbiz.de/10009577456
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A note on stochastic volatility, GARCH models, and hyperbolic distributions
Jaschke, Stefan R. - 1997
We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove...
Persistent link: https://www.econbiz.de/10009577459