, contradicting the historical perception of Germany as the poster child of European public finance. Given these corresponding breaks … cointegration and the estimation of Vector Autoregression (VAR) and Vector Error Correction Models (VECM). While we cannot reject … the hypothesis that fiscal policy was sustainable in the period before the First World War, the tests allow for a …

estimate the purchasing power parity (PPP) bias in Penn World Table incomes and provide corrected incomes. The bias is …Purchasing power adjusted incomes applied in cross-country comparisons are measured with bias. In this paper, we …

more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over … estimation windows leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks …This paper considers forecast averaging when the same model is used but estimation is carried out over different …

fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks …

This paper introduces a multivariate long-memory model with structural breaks. In the proposed framework, time series … method for detecting breaks performs well in large samples. As an illustration, we estimate a trivariate VAR including prices …