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Is the spurious regression problem spurious?
McCallum, Bennett T. - 2010
accompanied by clear signs of severe autocorrelation in their residuals. A conscientious researcher would therefore not end an … investigation with such a result, but would likely re-estimate with an autocorrelation correction. Simulations show, for several …
Persistent link: https://www.econbiz.de/10003933920
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Cointegration and tests of present value models
Campbell, John Y.; Shiller, Robert J. - 1986
Persistent link: https://www.econbiz.de/10000694815
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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
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Testing deviations from purchasing power parity (PPP)
Aizenman, Joshua - 1984
Persistent link: https://www.econbiz.de/10001817632
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The granular nature of large institutional investors
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih; … - 2016
Persistent link: https://www.econbiz.de/10011490427
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Can the market add and subtract? : Mispricing in tech stock carve-outs
Lamont, Owen A.; Thaler, Richard H. - 2001
Persistent link: https://www.econbiz.de/10001578338
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Efficiency and the bear : short sales and markets around the world
Bris, Arturo; Goetzmann, William N.; Zhu, Ning N. - 2003
Persistent link: https://www.econbiz.de/10001736561
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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
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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
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The dynamics of housing prices
Titman, Sheridan; Wang, Ko; Yang, Jing - 2014
Persistent link: https://www.econbiz.de/10010412751