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Sustainability of German Fiscal Policy and Public Debt : Historical and Time Series Evidence for the Period 1850-2010

Burret, Heiko - 2013

cointegration and the estimation of Vector Autoregression (VAR) and Vector Error Correction Models (VECM). While we cannot reject …

Persistent link: https://www.econbiz.de/10013085753

Testing

Bergbauer, Annika - 2018

School systems regularly use student assessments for accountability purposes. But, as highlighted by our conceptual model, different configurations of assessment usage generate performance-conducive incentives of different strengths for different stakeholders in different school environments. We...

Persistent link: https://www.econbiz.de/10012910939

Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate

Caporale, Guglielmo Maria - 2013

This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...

Persistent link: https://www.econbiz.de/10013082343

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

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/10012756639

Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks

Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2021

This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested...

Persistent link: https://www.econbiz.de/10013317060

A Multivariate Long-Memory Model with Structural Breaks

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2021

This paper introduces a multivariate long-memory model with structural breaks. In the proposed framework, time series exhibit possibly fractional orders of integration which are allowed to be different in each subsample. The break date is endogenously determined using a procedure which minimises...

Persistent link: https://www.econbiz.de/10013317169

International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries : Some Panel Evidence

Caporale, Guglielmo Maria - 2009

The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...

Persistent link: https://www.econbiz.de/10013155428

The Economic Roots of the Rise of Trumpism

Komlos, John - 2018

Donald Trump won the election in 2016 largely because enough voters in three states, all in the Rustbelt, who had voted for Barack Obama in both 2008 and 2012, switched their vote from Democratic to Republican. Economic dislocations played a crucial role in these swing states or democratic...

Persistent link: https://www.econbiz.de/10012924354

Dynamics and Time Scope of Post War Recovery Required for Compensating Civil War Economic Losses

Nam, Chang Woon - 2013

Civil war is often caused by poverty, and further demolishes existing capital. Such a vicious circle is detrimental for economic development of countries experiencing civil war. Civil war may also contribute to creative destructions of traditional economic, social and political system, leading...

Persistent link: https://www.econbiz.de/10013077024

Modelling Structural Breaks in the Us, UK and Japanese Unemployment Rates

Caporale, Guglielmo Maria - 2006

In this paper we use a general procedure to detect structural breaks at unknown points in time which allows for different orders of integration and deterministic components in each subsample (see Gil-Alana, 2006). First, we extend it to the non-linear case, and show by means of Monte Carlo...

Persistent link: https://www.econbiz.de/10012779948

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