The FEP function package for the gretl program is a collection of functions for computing different types of forecast evaluation statistics as well as tests. For ease of use a common scripting interface framework is provided, which is flexible enough to accommodate future additions. Most of the...

As applied cointegration analysis faces the challenge that (a) potentially relevant variables are unobservable and (b) it is uncertain which covariates are relevant, partial systems are often used and potential (stationary) covariates are ignored. Recently it has been argued that a nominally...

Using detailed establishment-level micro data, this paper analyzes the quantitative implications of the missing-growth hypothesis by Aghion, Bergeaud, Boppart, Klenow, and Li (2019) for Germany. This hypothesis states that actual growth rates of real output are systematically understated by...

The authors analyse the macroeconomic impact of the French work-sharing reform of 2000 (a reduction of standard working hours in combination with wage subsidies). Using a vector error correction model (VECM) for several labour market variables as well as inflation and output the authors produce...

Distortionary effects of inflation on relative prices are the main argument for inflation stabilization in macro models with sticky prices. Under indexation of nonoptimized prices those models imply a nonlinear and dynamic impact of inflation on the cross-sectional price dispersion...

We use frequency-wise Granger-causality tests and error-correction models to investigate the driving forces behind longer-run inflation developments in the euro area. Employing an eclectic approach we consider various relevant theories. With a general-to-specific testing strategy we distill the...

According to the life-cycle theory of consumption and saving, foreseeable retirement events should not reduce consumption. Whereas some consumption expenditures may fall when they are self-produced (given higher leisure after retirement), this argument applies especially to housing consumption...

The topic of this paper is the estimation uncertainty of the Stock-Watsonand Gonzalo-Granger permanent-transitory decompositions in the frameworkof the cointegrated vector-autoregression. Specifically, we suggest an approach to construct the confidence interval of the transitory component in...

We extend the frequency-specific Granger-causality test of Breitung et al. (2006) to a more general null hypothesis that allows causality testing at unknown frequencies within a prespecified range of frequencies. This setup corresponds better to empirical situations encountered in applied...

While recurring and regular variations of weather conditions are implicitly addressed by standard seasonal adjustment procedures of economic time series, extraordinary weather outcomes are not. We analyze their impact on German total industrial and construction-sector production and find modest...