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Sectoral Okun's Law and Cross-Country Cyclical Differences
Goto, Eiji - 2020
We estimate Okun's law, the negative relationship between output and the unemployment rate, at the sector level for the … coefficients are proportional to the aggregate in all four countries. We also show that the standard deviation of unemployment is …
Persistent link: https://www.econbiz.de/10012841145
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Non-Linearities and Persistence in US Long-Run Interest Rates
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; … - 2021
This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from...
Persistent link: https://www.econbiz.de/10013314848
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US House Prices by Census Division : Persistence, Trends and Structural Breaks
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022
This paper uses fractional integration methods to examine persistence, trends and structural breaks in US house prices, more specifically the monthly Federal Housing Finance Agency (FHFA) House Price Index for Census Divisions, and the US as a whole over the period from January 1991 to August...
Persistent link: https://www.econbiz.de/10014264457
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The Real U.S. Unemployment Rate is Twice the Official Rate, and the Phillips Curve
Komlos, John - 2019
The official unemployment rate has become an inadequate measure of labor market conditions. This poses a major … unemployment rate by weighing part-time workers with 62.5%, the proportion of the time they work relative to full-time workers. We … provide new monthly estimates of the unemployment rate for the period 1994-2019 and find that their average during this 25 …
Persistent link: https://www.econbiz.de/10012861417
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The Actual U.S. Unemployment Rate Was 24.4% in May 2020
Komlos, John - 2020
The official U.S. unemployment rate is an inadequate measure of actual labor market conditions. This poses a major … challenge for researchers and confuses both the public and policy makers. A new definition of unemployment is proposed. It … unemployed. We find that the actual unemployment rate in May 2020 was 24.4% or 183% of the headline rate of 13.3% …
Persistent link: https://www.econbiz.de/10012830104
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Real-Time Forecasting Using Mixed-Frequency Vars with Time-Varying Parameters
Heinrich, Markus - 2020
This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature by evaluating a mixed-frequency time-varying...
Persistent link: https://www.econbiz.de/10012842676
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Exponent of Cross-Sectional Dependence for Residuals
Bailey, Natalia - 2018
In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α; which is based on the number of non-zero pair-wise...
Persistent link: https://www.econbiz.de/10012908680
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Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2021
We have argued that from the standpoint of a policy maker who has access to a number of expert forecasts, the uncertainty of a combined forecast should be interpreted as that of a typical forecaster randomly drawn from the pool. With a standard factor decomposition of a panel of forecasts, we...
Persistent link: https://www.econbiz.de/10013251262
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Modelling Profitability of Private Equity : A Fractional Integration Approach
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; … - 2022
This paper analyses the stochastic behaviour of Private Equity returns (a measure of profitability) applying fractional integration methods to an extensive dataset including quarterly data spanning the last four decades for various geographical areas (US, Europe, Asia/Pacific, the Rest of the...
Persistent link: https://www.econbiz.de/10014080230
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Heterogeneous Autoregressions in Short T Panel Data Models
Pesaran, M. Hashem; Yang, Liying - 2023
This paper considers a first-order autoregressive panel data model with individual-specific effects and a heterogeneous autoregressive coefficient. It proposes estimators for the moments of the cross-sectional distribution of the autoregressive coefficients, with a focus on the first two...
Persistent link: https://www.econbiz.de/10014347822