Similar Search Results

Cointegration in Panel Data with Breaks and Cross-Section Dependence

Banerjee, Anindya; Carrion-i-Silvestre, Josep Lluís - 2021

The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the …

Persistent link: https://www.econbiz.de/10013317662

In-sample or out-of-sample tests of predictability: which one should we use?

Inoue, Atsushi; Kilian, Lutz - 2002

It is widely known that significant in-sample evidence of predictability does not garantuee significant out-of-sample predictability. This is often interpreted as an indiciation that in-sample evidence is likely to be spurious and should be discounted. In this paper we question this conventional...

Persistent link: https://www.econbiz.de/10011604241

Inflation persistence in the European Union, the euro area, and the United States

Gadzinski, Gregory; Orlandi, Fabrice - 2004

In this paper we report results on inflation persistence using 79 inflation series covering the EU countries, the euro area and the US for five different inflation variables. The picture that emerges is one of moderate inflation persistence across the board. In particular we find euro area...

Persistent link: https://www.econbiz.de/10011604460

Break in the mean and persistence of inflation: a sectoral analysis of French CPI

Bilke, Laurent - 2005

This paper uses disaggregated CPI time series to show that a break in the mean of French inflation occurred in the mid-eighties and that the 1983 monetary policy shift mostly accounted for it. CPI average yearly growth declined from nearly 11% before the break date (May 1985) to 2.1% after. No...

Persistent link: https://www.econbiz.de/10011604509

Inflation convergence and divergence within the European Monetary Union

Busetti, Fabio; Forni, Lorenzo; Harvey, Andrew; … - 2006

We study the convergence properties of inflation rates among the countries of the European Monetary Union over the period 1980-2004. Given the Maastricht agreements and the adoption of the single currency, the sample can be naturally split into two parts, before and after the birth of the euro....

Persistent link: https://www.econbiz.de/10011604620

Cointegration in panel data with breaks and cross-section dependence

Banerjee, Anindya; Carrion-i-Silvestre, Josep Lluís - 2006

Persistent link: https://www.econbiz.de/10011604637

Dealing with endogeneity in threshold models using copulas: An illustration to the foreign trade multiplier

Christopulos, Dimitris K.; Tzavalis, Elias; McAdam, Peter - 2018

We suggest a new method dealing with the problem of endogeneity of the threshold variable in single regression threshold models and seemingly unrelated systems of them based on copula theory. This theory enables us to relax the assumption that the threshold variable is normally distributed and...