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Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models

Cheung, Yin-Wong - 1997

, 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/10012472881

The Long-Run U.S./U.K. Real Exchange Rate

Engel, Charles - 1996

economic theory in which the permanent component represents real influences, while the transitory component represents …

Persistent link: https://www.econbiz.de/10012473057

Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share

Brown, Scott J. - 1990

equilibrium economic theory is presented to argue for the plausibility of cointegration, however, regional economic forecasting …This paper tests for cointegration between regional output of an industry and national output of the same industry. An … 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/10012475744

Cointegration and Tests of Present Value Models

Campbell, John Y. - 1986

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 "spread" 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 induce...

Persistent link: https://www.econbiz.de/10012477190

Estimating the Long-Run Relationship Between Interest Rates and Inflation : A Response to McCallum

Summers, Lawrence H. - 1984

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/10012477640

Understanding Trend and Cycle in Asset Values : Reevaluating the Wealth Effect on Consumption

Lettau, Martin - 2003

Both textbook economics and common sense teach us that the value of household wealth should be related to consumer spending. At the same time, movements in asset values often seem disassociated with important movements in consumer spending, as episodes such as the 1987 stock market crash and the...

Persistent link: https://www.econbiz.de/10012468849

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/10012460479

Quantifying the Benefits of New Products : The Case of the Minivan

Petrin, Amil - 2001

I develop a technique useful for obtaining more precise estimates of demand and supply curves when constrained to market-level data. It augments the estimation routine with data on the average characteristics of consumers that purchase different products. I apply the technique to the automobile...

Persistent link: https://www.econbiz.de/10012470497

Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

Chacko, George - 1999

This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using the Duffie-Epstein (1992) formulation of recursive utility in continuous time, it shows that the optimal portfolio demand for stocks under stochastic volatility varies strongly...

Persistent link: https://www.econbiz.de/10012471407

Less of a Luxury : The Rise of Recreation since 1888

Costa, Dora L. - 1997

I show that recreation has become much more egalitarian over the last hundred years by estimating recreational expenditure elasticities in 1888-1890, 1917-1919, 1935-1936, 1972-1973, and 1991. I find that expenditure elasticities have fallen from around two at the beginning of the century to...

Persistent link: https://www.econbiz.de/10012472760

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