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Noting that many economic variables display occasional shifts in their second order moments, we investigate the performance of homogenous panel unit root tests in the presence of permanent volatility shifts. It is shown that in this case, panel unit root tests derived under time invariant...
Persistent link: https://www.econbiz.de/10003887238
We introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic is shown to hold asymptotically. In simulation...
Persistent link: https://www.econbiz.de/10003477963
Persistent link: https://www.econbiz.de/10003624878
are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for …
Persistent link: https://www.econbiz.de/10002734112
Persistent link: https://www.econbiz.de/10003641659
What does the saving-investment (SI) relation really measure and how should the (SI) relation be measured? These are two of the most discussed issues triggered by the so called Feldstein-Horioka puzzle. Based on panel data we introduce a new variant of functional coefficient models that allow to...
Persistent link: https://www.econbiz.de/10003477959
-specific foreign output variable to capture direct inter-country linkages. In accord with the theory all variables are measured as … restrictions implied by the NK theory. The multi-country DSGE NK model is then solved to provide estimates of identified supply …
Persistent link: https://www.econbiz.de/10003974674
Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...
Persistent link: https://www.econbiz.de/10003965868
In this paper we follow an empirical approach to examine the implications of the Fisher hypothesis, namely cointegration linking interest rates and inflation, and stationarity of the real interest rate implying in turn homogeneity of the potential equilibrium relation. The considered sample is...
Persistent link: https://www.econbiz.de/10003296858
This paper argues that skill formation is a life-cycle process and develops the implications of this insight for Scottish social policy. Families are major producers of skills, and a successful policy needs to promote effective families and to supplement failing ones. Targeted early...
Persistent link: https://www.econbiz.de/10002576887