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Estimating the Long-Run Relationship between Interest Rates and Inflation : a Response to Mccallum
Summers, Lawrence H. - 2021
This note demonstrates that Bennett McCallum's recent critique of low frequency estimates of macro-economic relationships is of little empirical significance. It also demonstrates that readily available and frequently used techniques can be used to diagnose the problem McCallum raises. Finally,...
Persistent link: https://www.econbiz.de/10013310822
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News Shocks
Barsky, Robert - 2009
innovations, and negatively correlated with inflation innovations. The disinflationary nature of news shocks is consistent with …
Persistent link: https://www.econbiz.de/10013156463
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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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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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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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Cointegration and Tests of Present Value Models
Campbell, John Y. - 2010
In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the quot;spreadquot; S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to...
Persistent link: https://www.econbiz.de/10012763269
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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
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Are Macroeconomic Forecasts Informative? Cointegration Evidence from the Asa-Nber Surveys
Cheung, Yin-Wong; Chinn, Menzie David - 2021
Treasury bill rate, housing starts, industrial production, inflation and their forecasts are trend stationary. The corporate …
Persistent link: https://www.econbiz.de/10013224861
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Dynamic Seemingly Unrelated Cointegrating Regression
Mark, Nelson C.; Ogaki, Masao; Sul, Donggyu - 2021
Multiple cointegrating regressions are frequently encountered in empirical work as, for example, in the analysis of panel data. When the equilibrium errors are correlated across equations, the seemingly unrelated regression estimation strategy can be applied to cointegrating regressions to...
Persistent link: https://www.econbiz.de/10013232465
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Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models
Cheung, Yin-Wong; Chinn, Menzie David - 2021
, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead …
Persistent link: https://www.econbiz.de/10013236694