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Long-run links among money, prices, and output : world-wide evidence

Herwartz, Helmut; Reimers, Hans-Eggert - 2001

analyse this topic by means of a P-star model. Based on the quantity theory of money, this approach explains inflation via a …. Moreover, parameter restrictions for the long-run relationships implied by the monetary theory are tested. Country specific P … Preisniveau und dem realen Output testet. Weiterhin werden die Parameterrestriktionen, die sich durch die monet¨are Theorie …

Persistent link: https://www.econbiz.de/10011419407

A new approach to bootstrap inference in functional coefficient models

Herwartz, Helmut; Xu, Fang - 2007

We introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic is shown to hold asymptotically. In simulation...

Persistent link: https://www.econbiz.de/10010296279

Pooling versus model selection for nowcasting with many predictors : an application to German GDP

Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - 2009

This paper discusses pooling versus model selection for now- and forecasting in the presence of model uncertainty with large, unbalanced datasets. Empirically, unbalanced data is pervasive in economics and typically due to different sampling frequencies and publication delays. Two model classes...

Persistent link: https://www.econbiz.de/10003811129

Empirical simultaneous confidence regions for path-forecasts

Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010

Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. The probabilistic assessment about the set of possible trajectories that...

Persistent link: https://www.econbiz.de/10003962215

U-MIDAS: MIDAS regressions with unrestricted lag polynomials

Foroni, Claudia; Marcellino, Massimiliano; Schumacher, … - 2011

Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by high-frequency variables and their lags. When the difference in sampling frequencies between the regressand and the regressors is large, distributed lag functions are typically...

Persistent link: https://www.econbiz.de/10009490826

MIDAS versus mixed-frequency VAR : nowcasting GDP in the euro area

Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - 2009

This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model speci.cation in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on exponential lag polynomials for the coeØ cients, whereas...

Persistent link: https://www.econbiz.de/10003815492

Modelling the Fisher hypothesis: World wide evidence

Herwartz, Helmut; Reimers, Hans-Eggert - 2006

In this paper we follow an empirical approach to examine the implications of the Fisher hypothesis, namely cointegration linking interest rates and inflation, and stationarity of the real interest rate implying in turn homogeneity of the potential equilibrium relation. The considered sample is...

Persistent link: https://www.econbiz.de/10010296257

A functional coefficient model view of the Feldstein-Horioka puzzle

Herwartz, Helmut; Xu, Fang - 2007

What does the saving-investment (SI) relation really measure and how should the (SI) relation be measured? These are two of the most discussed issues triggered by the so called Feldstein-Horioka puzzle. Based on panel data we introduce a new variant of functional coefficient models that allow to...

Persistent link: https://www.econbiz.de/10010296278

Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance

Herwartz, Helmut; Golosnoy, Vasyl - 2007

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

Persistent link: https://www.econbiz.de/10010296287