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Low-Frequency Econometrics
Müller, Ulrich K. - 2015
Many questions in economics involve long-run or trend variation and covariation in time series. Yet, time series of typical lengths contain only limited information about this long-run variation. This paper suggests that long-run sample information can be isolated using a small number of...
Persistent link: https://www.econbiz.de/10013015106
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The Time-Varying-Parameter Model as an Alternative to Arch for Modeling Changing Conditional Variance : the Case of Lucas Hypothesis
Nelson, Charles R. - 2010
The main econometric issue in testing the Lucas hypothesis (1973) in a times series context is the estimation of the variance conditional on past information. The ARCH model, proposed by Engle (1982), is one way of specifying the conditional variance. But the assumption underlying the ARCH...
Persistent link: https://www.econbiz.de/10012760032
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On Optimal Instrumental Variables Estimation of Stationary Time Series Models
West, Kenneth D. - 2021
In many time series models, an infinite number of moments can be used for estimation in a large sample. I supply a technically undemanding proof of a condition for optimal instrumental variables use of such moments in a parametric model. I also illustrate application of the condition in...
Persistent link: https://www.econbiz.de/10013243403
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Modeling Model Uncertainty
Onatski, Alexei; Williams, Noah - 2021
Recently there has been a great deal of interest in studying monetary policy under model uncertainty. We point out that different assumptions about the uncertainty may result in drastically different robust' policy recommendations. Therefore, we develop new methods to analyze uncertainty about...
Persistent link: https://www.econbiz.de/10013246256
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Alternative Nonnested Specification Tests of Time Series Investment Models
Bernanke, Ben; Bohn, Henning; Reiss, Peter C. - 2021
This paper develops and compares nonnested hypothesis tests for linear regression models with first-order serially correlated errors. It extends the nonnested testing procedures of Pesaran, Fisher and McAleer, and Davidson and MacKinnon, and compares their performance on four conventional models...
Persistent link: https://www.econbiz.de/10013246404
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Asypmtotic Filtering Theory for Univariate Arch Models
Nelson, Daniel B.; Foster, Dean P. - 2021
This paper builds on this earlier work by deriving the asymptotic distribution of the measurement error. This allows us to approximate the measurement accuracy of ARCH conditional variance estimates and compare the efficiency achieved by different ARCH models. We are also able to characterize...
Persistent link: https://www.econbiz.de/10013229003
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Low-Frequency Robust Cointegration Testing
Müller, Ulrich K. - 2009
Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust...
Persistent link: https://www.econbiz.de/10013156688
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A Simple Mle of Cointegrating Vectors in Higher Order Integrated Systems
Stock, James H.; Watson, Mark W. - 2021
An MLE of the unknown parameters of co integrating vectors is presented for systems in which some variables exhibit higher orders of integration, in which there might be deterministic components, and in which the co integrating vector itself might involve variables of differing orders of...
Persistent link: https://www.econbiz.de/10013237298
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Continuous-Time Linear Models
Cochrane, John H. - 2012
models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction …
Persistent link: https://www.econbiz.de/10013104725
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Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share
Brown, Scott J.; Engle, Robert F.; Coulson, N. Edward - 2021
This paper tests for cointegration between regional output of an industry and national output of the same industry. An … equilibrium economic theory is presented to argue for the plausibility of cointegration, however, regional economic forecasting … using the shift and share framework often acts as if cointegration does not exist. Data analysis on broad industrial sectors …
Persistent link: https://www.econbiz.de/10013221307