Similar Search Results

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

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

Long-Run PPP May Not Hold after All

Engel, Charles - 2010

unit roots in real exchange rates or the null of no cointegration between nominal exchange rates and relative prices … actual price data, unit roots and cointegration tests with a nominal size of five percent have true sizes that range from .90 …

Persistent link: https://www.econbiz.de/10013135309

Seasonal Unit Roots in Aggregate U.S. Data

Beaulieu, J. Joseph; Miron, Jeffrey A. - 2021

In this paper we provide evidence on the presence of seasonal unit roots in aggregate U.S. data. The analysis is conducted using the approach developed by Hyllebcrg, Engle, Granger and Yoo (1990). We first derive the mechanics and asyrnptotics of the HEGY procedure for monthly data and use Monte...

Persistent link: https://www.econbiz.de/10013229151

Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown

Elliott, Graham - 2007

It is well known that the distribution of statistics testing restrictions on the coefficients in time series regressions can depend on the order of integration of the regressors. In practice the order of integration is rarely blown. This paper examines two conventional approaches to this...

Persistent link: https://www.econbiz.de/10012776682

Bootstrap Tests for the Effect of a Treatment on the Distribution of an Outcome Variable

Abadie, Alberto - 2021

bootstrap procedure is proposed to test distributional hypotheses, such as equality of distributions, first-order stochastic …

Persistent link: https://www.econbiz.de/10013238969

A Score Based Approach to Wild Bootstrap Inference

Kline, Patrick - 2010

.js?config=AM_HTMLorMML-full"></script>We propose a generalization of the wild bootstrap of Wu (1986) and Liu (1988) based upon perturbing the scores of M …-estimators. This "score bootstrap" procedure avoids recomputing the estimator in each bootstrap iteration, making it substantially less … costly to compute than the conventional nonparametric bootstrap, particularly in complex nonlinear models. Despite this …

Persistent link: https://www.econbiz.de/10013141854

On the Failure of the Bootstrap for Matching Estimators

Abadie, Alberto - 2010

methods for inference. However, no formal justification for the use of the bootstrap has been provided. Here we show that the … bootstrap is in general not valid, even in the simple case with a single continuous covariate when the estimator is root … neighbor matching, the standard conditions for the bootstrap are not satisfied, leading the bootstrap variance to diverge from …

Persistent link: https://www.econbiz.de/10012761283

Sources of Real Exchange Rate Fluctuations : How Important are Nominal Shocks?

Clarida, Richard H.; Galí, Jordi - 2021

This paper investigates empirically and attempts to identify the sources of real exchange rate fluctuations since the collapse of Bretton Woods. The paper's first two sections survey and extend earlier, non-structural empirical work on this subject by Campbell and Clarida (1987), Meese and...

Persistent link: https://www.econbiz.de/10013237263

Explaining the Effects of Government Spending Shocks on Consumption and the Real Exchange Rate

Ravn, Morten O. - 2007

Using panel structural VAR analysis and quarterly data from four industrialized countries, we document that an increase in government purchases leads to an expansion in output and private consumption, a deterioration in the trade balance, and a depreciation of the real exchange rate (i.e., a...

Persistent link: https://www.econbiz.de/10012776197