To investigate the role of intra-regional trade integration on economic growth in Latin America, we develop a … factor for explaining growth, while the importance of domestic spillovers is limited. The growth volatility is substantively …

Time varying patterns in US growth are analyzed using various univariate model structures, starting from a naive model … conditional variance are specified together with their interaction, including survey data on expected growth in order to … forecasting performance of the various model specifications. The extension of a basic growth model with a constant mean to models …

cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization … has for the selection of pairs of cointegrated stock prices and for the estimation and prediction of the spread between … estimation and prediction of the spread - the deviation from the equilibrium relationship - which leads to better results in …

inequality and growth, reports widely divergent (parametric and non-parametric) empirical findings. We explain why lack of …

size distortions in conventional cointegration tests, which may be resolved using the wild bootstrap, as shown by Cavaliere … process is possible, in the sense that nonparametric volatility matrix estimation does not lead to a loss of asymptotic local …

We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a …-r, and on the interval of the orders of fractional cointegration b allowed in the estimation, but not on the order of … levels. The first step consists in estimating the parameters of the model under the null hypothesis of the cointegration rank …

models outperform extant kernel-based approaches in tracking the predictive distribution of GDP growth. …