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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

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

Instrumental variables in models with multiple outcomes : the general unordered case

Heckman, James J.; Urzua, Sergio; Vytlacil, Edward - 2008

This paper develops the method of local instrumental variables for models with multiple, unordered treatments when treatment choice is determined by a nonparametric version of the multinomial choice model. Responses to interventions are permitted to be heterogeneous in a general way and agents...

Persistent link: https://www.econbiz.de/10003870351

Testing the correlated random coefficient model

Heckman, James J.; Schmierer, Daniel; Urzua, Sergio - 2009

The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...

Persistent link: https://www.econbiz.de/10003899921

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