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The Seasonality of Consumer Prices
Bryan, Michael F. - 2010
previous research has indicated. That is, seasonal price movements have become more prominent in the relatively stable … in prices differs greatly by item, making it difficult to generalize about seasonal price movements. A casual reading … likelihood of allowing noise in the aggregate CPI at a seasonal frequency. This argues in favor of seasonally adjusting the index …
Persistent link: https://www.econbiz.de/10012763733
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The Price to Consumers of Generic Pharmaceuticals : Beyond the Headlines
Frank, Richard G. - 2019
agencies and private organizations all conducting investigations into the pricing patterns for generic drugs. Price spikes for … selected old, off-patent drugs have also been widely reported in the media. To place these generic price increases into context …, we construct two chained Laspeyres consumer price indexes (CPIs), using the 2007-2016 IBM MarketScan Commercial Claims …
Persistent link: https://www.econbiz.de/10012865747
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Identification Through Heteroskedasticity : Measuring "Contagion: Betweenargentinean and Mexican Sovereign Bonds
Rigobon, Roberto - 2010
In this paper, I develop a new identification method to solve the problem of simultaneous equations, based on heteroskedasticity of the structural shocks. I show that if the heteroskedasticity can be described as a two-regime process, then the system is just identified under relatively weak...
Persistent link: https://www.econbiz.de/10012763760
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Unit Roots, Postwar Slowdowns and Long-Run Growth : Evidence from Two Structural Breaks
Ben-David, Dan; Lumsdaine, Robin L.; Papell, David H. - 2021
This paper provides evidence on the unit root hypothesis and long-term growth by allowing for two structural breaks. We reject the unit root hypothesis for three-quarters of the countries approximately 50% more rejections than in models that allow for only one break. While about half of the...
Persistent link: https://www.econbiz.de/10013222058
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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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Testing for Structural Breaks in the Evaluation of Programs
Piehl, Anne Morrison; Cooper, Suzanne J.; Braga, Anthony A. - 2021
A standard methodology in program evaluation is to use time series variation to compare pre- and post-program outcomes. However, when the timing of a break in a statistical relationship can be determined only by looking at the data, then the usual distribution of the test statistic which assumes...
Persistent link: https://www.econbiz.de/10013210598
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Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
Cheng, Xu - 2014
In high-dimensional factor models, both the factor loadings and the number of factors may change over time. This paper proposes a shrinkage estimator that detects and disentangles these instabilities. The new method simultaneously and consistently estimates the number of pre- and post-break...
Persistent link: https://www.econbiz.de/10013061113
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The Macroeconomic Effects of Oil Shocks : Why are the 2000s so Different from the 1970s?
Blanchard, Olivier J. - 2014
We characterize the macroeconomic performance of a set of industrialized economies in the aftermath of the oil price … for the mild effects on inflation and economic activity of the recent increase in the price of oil: (a) good luck (i …
Persistent link: https://www.econbiz.de/10012751823
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Private Precaution and Public Restrictions : What Drives Social Distancing and Industry Foot Traffic in the Covid-19 Era?
Cronin, Christopher - 2020
We examine the role of state and local policies to encourage social distancing, including stay at home orders, public school closures, and restrictions on restaurants, entertainment, and large social gatherings. Outcomes come from cell phone records and include foot traffic in six industries...
Persistent link: https://www.econbiz.de/10012828463
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Structural Breaks in an Endogenous Growth Model
Cogley, Timothy; Jovanovic, Boyan - 2022
We study the effects of parameter uncertainty prompted by structural breaks. In our model, agents respond differently to uncertainty prompted by regime shifts in shock processes than they react to comparable perceived increases in shock volatility. The magnitude of the response to an increase in...
Persistent link: https://www.econbiz.de/10014091104