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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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Unit Root Tests are Useful for Selecting Forecasting Models
Diebold, Francis X.; Kilian, Lutz - 2021
We study the usefulness of root tests as diagnostic tools for selecting forecasting models. Difference stationary and trend stationary models of economic and financial time series often imply very different predictions, so deciding which model to use is tremendously important for applied...
Persistent link: https://www.econbiz.de/10013224678
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Tests for Unit Roots : a Monte Carlo Investigation
Schwert, G. William - 2021
Recent work by Said and Dickey (1984 ,1985) , Phillips (1987), and Phillips and Perron(1988) examines tests for unit roots in the autoregressive part of mixed autoregressive-integrated-moving average (ARIHA) models (tests for stationarity). Monte Carlo experiments show that these unit root tests...
Persistent link: https://www.econbiz.de/10013240352
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Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis : Theory and International Evidence
Banerjee, Anindya; Lumsdaine, Robin L.; Stock, James H. - 2021
This paper investigates the possibility, raised by Perron (1989, 1990a), that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike Perron, we treat the break date as unknown a priori. Asymptotic distributions are developed for recursive,...
Persistent link: https://www.econbiz.de/10013248699
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Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root
Nelson, Charles R. - 2021
Recent research has proposed the state space (88) framework for decomposition of GNP and other economic time series into trend and cycle components, using the Kalman filter. This paper reviews the empirical evidence and suggests that the resulting decomposition may be spurious, just as...
Persistent link: https://www.econbiz.de/10013243662
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Testing
Bergbauer, Annika - 2018
School systems regularly use student assessments for accountability purposes. But, as highlighted by our conceptual model, different configurations of assessment usage generate performance-conducive incentives of different strengths for different stakeholders in different school environments. We...
Persistent link: https://www.econbiz.de/10012914273
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Nonrenewable Resource Prices : Deterministic or Stochastic Trends?
Lee, Junsoo; List, John A.; Strazicich, Mark C. - 2021
In this paper we examine temporal properties of eleven natural resource real price series from 1870-1990 by employing a Lagrangian Multiplier unit root test that allows for two endogenously determined structural breaks with and without a quadratic trend. Contrary to previous research, we find...
Persistent link: https://www.econbiz.de/10013227016
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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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Money and Prices in Colonial America : a New Test of Competing Theories
McCallum, Bennett T. - 2011
A long-standing but unsettled controversy concerning monetary experiences in colonial America has recently been reopened with considerable vigor. Ignoring doctrinal aspects, the main substantive issue concerns the relationship between money holdings and price levels during episodes in which...
Persistent link: https://www.econbiz.de/10013127792
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Return Predictability in the Treasury Market : Real Rates, Inflation, and Liquidity
Pflueger, Carolin E. - 2011
Estimating the liquidity differential between inflation-indexed and nominal bond yields, we separately test for time …-varying real rate risk premia, inflation risk premia, and liquidity premia in U.S. and U.K. bond markets. We find strong, model … independent evidence that real rate risk premia and inflation risk premia contribute to nominal bond excess return predictability …
Persistent link: https://www.econbiz.de/10013128267