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Operational Time and Seasonality in Distributed Lag Estimation

Clark, Peter K. - 1974

The following paper discusses the analysis of some types of economic time series using an altered time scale, or operational time. It is argued that for some series, observations that are ordinarily thought of as equidistant in time are actually irregularly spaced in a more natural time scale....

Persistent link: https://www.econbiz.de/10012479094

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

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

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

Optimal Monetary Impulse-Response Functions in a Matching Model

Katzman, Brett - 1999

The effects on ex ante optima of a lag in seeing monetary realizations are studied using a matching model of money. The main new ingredient in the model is meetings in which producers have more information than consumers. A consequence is that increases in the amount of money that occur with...

Persistent link: https://www.econbiz.de/10012471356

Patents and R&D : Is There A Lag?

Hall, Bronwyn H. - 1984

This paper extends earlier work on the RID to patents relationship (Pakes-Griliches 1980, and Hausman, Hall, and Griliches,1984) to a larger but shorter panel of firms. The focus of the paper is on solving a number of econometric problems associated with the discreteness of the dependent...

Persistent link: https://www.econbiz.de/10012477634

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