In this study, we determine the reliability and exogeneity of four popular monetary policy shock measures, namely the narrative series of Romer and Romer (2004), the high-frequency series of Barakchian and Crowe (2013), the high-frequency series of Gertler and Karadi (2015), and the hybrid...

I analyze the perfect risk-sharing condition in the time–frequency domain using wavelets. Some countries engage more in risk-sharing at specific frequencies while others at all frequencies, but only for a short period of time. Increasing degree of risk-sharing over time is visible only for the...

We derive a neat and compact representation of the asymptotic Fisher information matrix of a vector ARMA process. Its inverse can be used immediately as the asymptotic covariance matrix of the Gaussian maximum likelihood estimator. We also provide the robust sandwich covariance estimator when...

We consider the use of information criteria (IC) on the basis of a semiparametric seasonal error correction model for selecting seasonal cointegrating ranks. Some limit properties of the IC are considered and, through a small Monte Carlo simulation, we evaluate the performance of the IC.

In this paper, a modified version of the Granger causality test proposed by Toda and Yamamoto is used to investigate causality between GDP and healthcare expenditure in OECD countries. The findings indicate that bidirectional Granger causality is predominant.

A new method of assessing the comparative quality of forecasting models is introduced. This method focuses on the quality of forecasting models over a set of series (cf. the traditionally adopted series-by-series approach)–with a forecasting model that produces good forecasts over a series set...

In this paper, we consider both the partial unit root and the near partial unit root processes in nonlinear transition autoregression models. Our simulations show that when these time series data are used in ordinary least squares regression, spurious regression occurs. However, if we...

This paper introduces nowcasting causality as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in a mixed-frequency VAR and illustrate its impact on the significance of high-frequency variables in mixed-frequency...

This paper considers a multivariate extension of the test for neglected nonlinearity proposed by Tsay (1986) that uses principal components to overcome the problem of dimensionality that is common with tests of this type. Monte Carlo experiments reveal that the modified multivariate test...

This paper studies the linearity test of STAR models with deterministic trends. The results show that when the data generation process includes a deterministic trend, the Wald-type statistic proposed by Teräsvirta (1994) does not follow the standard χ2 distribution, but degenerates at the...