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It is commonly found in empirical studies that nominal interest rates contain a unit root, implying that these variables have a permanent memory. One of the characteristics of a nonstationary time series is that it has no tendency to return to its mean values, meaning that the series is trending...
Persistent link: https://www.econbiz.de/10004968217
This paper reassesses the long-run relation between nominal interest rates and inflation using German data. It shows that the empirical rejection of the strict Fisher effect in previous studies, i.e., the finding of interest rates not fully adjusting to changes in inflation, can be attributed to...
Persistent link: https://www.econbiz.de/10004968254
Monetary System (EMS), i.\ e.\ on the asymmetry in the EMS. Applying kernel estimation and bootstrap methods we can corroborate …
Persistent link: https://www.econbiz.de/10004968299
one input and one output, and previous bootstrap methods proposed for inference have not been proven consistent, making … result is then used to prove that two different bootstrap procedures (one based on sub-sampling, the other based on smoothing …) provide consistent inference. The smooth bootstrap requires smoothing the irregularly-bounded density of inputs and outputs as …
Persistent link: https://www.econbiz.de/10004968414
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nonparametric setup. The rates of convergence for the normal limit, its plug in approach and the wild bootstrap are compared … conditionally on the explanatory variable X and also unconditionally. It turns out that the wild bootstrap performs better than the …
Persistent link: https://www.econbiz.de/10005032080
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