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Econometric Analysis of Fiscal Policy Budget Constraints in Endogenous Growth Models

Tsukuda, Yoshihiko; Miyakoshi, Tatsuyoshi - In: Economics Bulletin 30 (2010) 4, pp. 2884-2894

Kneller et al. (1999) examined the predictions of the public-policy endogenous growth models of Barro (1990) and others that suggest that unlike distortionary taxation and productive expenditures, nondistortionary taxation and nonproductive expenditures have no direct effect on the rate of...

Persistent link: https://www.econbiz.de/10008692042

Econometric analysis of carbon markets: the european union emissions trading scheme and the clean development mechanism

Chevallier, Julien - In: Economics Bulletin 31 (2011) 4, pp. 53-53

at those with a basic understanding of time series econometrics, this book will be extremely useful for researchers and … especially those in econometrics and carbon finance. The material is also appropriate for students (advanced undergraduates, MSc …, MBA) in the field of econometrics, energy and environmental economics. Readers are supplied with hyperlinks to data and R …

Persistent link: https://www.econbiz.de/10010835907

Non stationarity characteristics of the S\&P500 returns:An approach based on the evolutionary spectral density.

IBRAHIM, AHAMADA - In: Economics Bulletin 3 (2003) 32, pp. 1-7

In this paper we study the characteristics of the non stationarity of the covariance structure of the S\&P 500 returns by analyzing the time spectral density of the data. We show that the S\&P 500 returns has the same characteristics as the modulate white noise process. So, some precautions must...

Persistent link: https://www.econbiz.de/10005110722

The asymptotic global power comparisons of the GMM overidentifying restrictions tests

Chang, Sheng-Kai - In: Economics Bulletin 3 (2007) 44, pp. 1-6

In this paper, the asymptotic power comparisons of two versions of GMM overidentifying restrictions tests are conducted globally through the concept of approximate slopes. It is found that the GMM overidentifying restrictions test with the consistent mean deviation variance-covariance matrix...

Persistent link: https://www.econbiz.de/10005110755

A New Variant of RESET for Distributed Lag Models

Hatzinikolaou, Dimitris; Stavrakoudis, Athanassios - In: Economics Bulletin 3 (2005) 56, pp. 1-4

We propose a new variant of RESET that is appropriate for distributed lag models. Monte Carlo evidence on size and power strongly supports the use of the new variant instead of the traditional RESET.

Persistent link: https://www.econbiz.de/10005110840

Unusual behaviour of Dickey-Fuller tests in the presence of trend misspecification: comment

Siliverstovs, Boriss - In: Economics Bulletin 3 (2003) 30, pp. 1-7

In this paper we present explanation on the phenomenon pointed out in Cook and Manning (2002) on the unusual behaviour of the Dickey-Fuller test in the presence of trend misspecification. It appears that the rejection frequency of the unit root tests in the presence of trend misspecification is...

Persistent link: https://www.econbiz.de/10005181951

The fractional integrated bi- parameter smooth transition autoregressive model

Montasser, Ghassen El; Ajmi, Ahdi Noomen - In: Economics Bulletin 32 (2012) 1, pp. 755-765

This paper introduces the fractionally integrated Bi-parameter smooth transition autoregressive model (FI-BSTAR model) as an extension of BSTAR model proposed by Siliverstovs (2005) and the fractionally integrated STAR model (FI-STAR model) proposed by van Dijk et al. (2002). Our FI-BSTAR model...

Persistent link: https://www.econbiz.de/10009651205

Integrated volatility measuring from unevenly sampled observations

Kanatani, Taro - In: Economics Bulletin 3 (2004) 36, pp. 1-8

This paper derives the linear interpolation bias of realized volatility. To avoid the bias, the Fourier series estimator has been proposed by Malliavin and Mancino (2002). We examine the theoretical relationship between the Fourier estimator and realized volatility and show that the latter is...

Persistent link: https://www.econbiz.de/10005094613

Prior Information: The Mixed Prediction Approach

Haupt, Harry; Oberhofer, Walter - In: Economics Bulletin 28 (2001) 12, pp. 0-0

This paper addresses the combination of incomplete prior and sample information. In difference to the mixed estimation approach developed by H. Theil and A.S. Goldberger, dealing with prior knowledge of regression coefficients, we consider prior information on future observations of the...

Persistent link: https://www.econbiz.de/10008562937

Industry Concentration and Cash Flow at Risk

Chiu, Yen-Chen - In: Economics Bulletin 30 (2010) 1, pp. 405-413

This paper explores the link between industry concentration, which is a feature of the product markets in which firms operate, and the risk of a firm's cash flows, offering the first empirical evidence of the risky cash-flow implications of industry market structure. Our analysis shows that on...

Persistent link: https://www.econbiz.de/10008563103

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