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Lind, Jo Thori - 2015

Rainfall is a truly exogeneous variable and hence popular as an instrument for many outcomes. But by its very nature, rainfall in nearby areas tends to be correlated. I show theoretically that if there are also spatial trends in outcomes of interest, this may create spurious correlation. In...

Persistent link: https://www.econbiz.de/10010528337

Big data analytics : a new perspective

Chudik, Alexander; Kapetanios, George; Pesaran, M. Hashem - 2016

Model specification and selection are recurring themes in econometric analysis. Both topics become considerably more complicated in the case of large-dimensional data sets where the set of specification possibilities can become quite large. In the context of linear regression models, penalised...

Persistent link: https://www.econbiz.de/10011444508

Reflections on "testing for unit roots in heterogeneous panels"

Im, KyungSo; Pesaran, M. Hashem; Shin, Yongcheol - 2023

This article is our personal perspective on the IPS test and the subsequent developments of unit root and cointegration …

Persistent link: https://www.econbiz.de/10013494205

Testing for common cyclical features in var models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …

Persistent link: https://www.econbiz.de/10011398127

Did US consumers 'save for a rainy day' before the Great Recession?

Anundsen, André Kallåk; Nymoen, Ragnar - 2015

The 'saving for a rainy day' hypothesis implies that households' saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...

Persistent link: https://www.econbiz.de/10010518800

Estimation and inference in short panel vector autoregressions with unit roots and cointegration

Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - 2000

derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that … estimators making use of variants of homoskedasticity and stationarity restrictions as suggested in the literature in a … hypothesis and cointegration tests based on it perform well in small sample; this is in marked contrast to the small sample …

Persistent link: https://www.econbiz.de/10009786715

A re-examination of the link between real exchange rates and real interest rate differentials

Hoffmann, Mathias; MacDonald, Ronald - 2003

first clarify the logic of applying cointegration methods to the RERI and propose an alternative way of testing the …

Persistent link: https://www.econbiz.de/10011506475

Exchange rate dynamics : where is the saddle path?

Cheung, Yin-Wong; Gardeazabal, Javier; Vázquez, Jesús - 2004

Persistent link: https://www.econbiz.de/10011402689

Separation, weak exogeneity and P-T decomposition in cointegrated VAR systems with common features

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2002

investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely …

Persistent link: https://www.econbiz.de/10011409009

Effects of US inflation on Hong Kong and Singapore

Cheung, Yin-Wong; Yuen, Jude - 2002

Standard economic models predict that the choice of an exchange rate regime has important implications for the interdependency of national monetary policies, which is sometimes measured by the degree of inflation transmission across borders. In this paper, we examine how inflation rates in two...

Persistent link: https://www.econbiz.de/10011409761

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