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Size distortions of tests of the null hypothesis of stationarity : evidence and implications for the PPP debate

Caner, Mehmet - 2000

Persistent link: https://www.econbiz.de/10013423063

The behaviour of relative prices in the European Union : a sectoral analysis

Chen, Natalie - 2002

Persistent link: https://www.econbiz.de/10013423910

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

Non-synchronous trading and testing for market integration in Central European emerging markets

Schotman, Peter C.; Zalewska-Mitura, Anna - 2005

Persistent link: https://www.econbiz.de/10003226088

Does market organization speed up market stabilization? : first lessons from the Budapest and Warsaw stock exchanges

Zalewska-Mitura, Anna - 1999

Persistent link: https://www.econbiz.de/10013422773

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

Variable selection and inference for multi-period forecasting problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009

Persistent link: https://www.econbiz.de/10003814581

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

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

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