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International migration to Germany : estimation of a time-series model and inference in panel cointegration.

Brücker, Herbert; Siliverstovs, Boriss; Trübswetter, … - 2003

In this paper we study the determinants of international migration to Germany, 1967-2000. The empirical literature on macro-economic migration functions usually explains migration flows by a set of explanatory variables such as the income differential, employment rates, and migrations stocks as...

Persistent link: https://www.econbiz.de/10011439458

The law of one food price

Clements, Kenneth W.; Si, Jiawei; Long Hai Vo - 2019

Persistent link: https://www.econbiz.de/10012207562

A dynamic panel data approach to the forecasting of the GDP of German Länder

Cholodilin, Konstantin Arkadʹevič; Siliverstovs, Boriss; … - 2007 - Corrected version

In this paper, we make multi-step forecasts of the annual growth rates of the real GDP for each of the 16 German Länder (states) simultaneously. Beside the usual panel data models, such as pooled and fixed-effects models, we apply panel models that explicitly account for spatial dependence...

Persistent link: https://www.econbiz.de/10012039490

Noncausality and inflation persistence

Lanne, Markku - 2013

1970:1.2012:2. These nonlinear models capture the autocorrelation structure of the inflation series as accurately as their …

Persistent link: https://www.econbiz.de/10009724820

A noncausal autoregressive model with time-varying parameters : an application to US inflation

Lanne, Markku; Luoto, Jani - 2013

We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The model .fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence has declined in the early 1980.s and slightly...

Persistent link: https://www.econbiz.de/10009724822

Forecasting random walks under drift instability

Pesaran, Mohammad Hashem; Pick, Andreas - 2008

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10010276222

The weekend effect : an exploitable anomaly in the Ukrainian stock market?

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015

This paper provides some new empirical evidence on the weekend effect (one of the best known anomalies in financial markets) in Ukrainian futures prices. The analysis uses various statistical techniques (average analysis, Student's t-test, dummy variables, and fractional integration) to test for...

Persistent link: https://www.econbiz.de/10010488267

Testing for convergence in stock markets : a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

Persistent link: https://www.econbiz.de/10003889148

Flying under the radar : the effects of short-sale disclosure rules on investor behavior and stock prices

Jank, Stephan; Roling, Christoph; Smajlbegovic, Esad - 2016

This paper analyzes how newly introduced transparency requirements for short positions affect investors' behavior and security prices. Employing a unique data set, which contains both public positions above and confidential positions below the regulatory disclosure threshold, we offer several...

Persistent link: https://www.econbiz.de/10011500150

The q theory of investment under unit root tests

De la Croix, David; Licandro, Omar - 1992

Persistent link: https://www.econbiz.de/10000844025

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