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The Equity Premium and Structural Breaks
Pastor, Lubos - 2000
A long return history is useful in estimating the current equity premium even if the historical distribution has experienced structural breaks. The long series helps not only if the timing of breaks is uncertain but also if one believes that large shifts in the premium are unlikely or that the...
Persistent link: https://www.econbiz.de/10012470972
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Unit Roots in Macroeconomic Time Series : Some Critical Issues
McCallum, Bennett T. - 1993
This paper suggests that the relevant question concerning unit root' in the U.S. real GNP time series pertains to the relative importance of difference-stationary and trend-stationary components. Various analytical approaches indicate than an accurate answer is not obtainable with existing data....
Persistent link: https://www.econbiz.de/10012474588
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Long-term Memory in Stock Market Prices
Lo, Andrew W. - 1989
A test for long-run memory that is robust to short-range dependence is developed. It is a simple extension of Mandelbrot's "range over standard deviation" or R/S statistic, for which the relevant asymptotic sampling theory is derived via functional central limit theory. This test is applied to...
Persistent link: https://www.econbiz.de/10012476064
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Asymmetric Investment Rates
Bai, Hang; Li, Erica X. N.; Xue, Chen; Zhang, Lu - National Bureau of Economic Research - 2022
Integrating national accounting with financial accounting, we provide firm-specific estimates of current-cost capital stocks for the entire Compustat universe, as well as an array of estimates of investment flows, economic depreciation rates, and capital and investment price deflators. The...
Persistent link: https://www.econbiz.de/10013191052
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Existing Estimates, New Estimates, and New Interpretations of World War I and its Aftermath
Romer, Christina D. - 1987
The paper examines the official Commerce Department estimates of gross national product for 1909-1928 and finds that they are far inferior to the less commonly used Kendrick GNP estimates. The paper then derives a revised version of the Kendrick series that alters significantly the...
Persistent link: https://www.econbiz.de/10012476883
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The Estimation of Prewar GNP Volatility, 1869-1938
Balke, Nathan S. - 1986
New evidence is provided to assess the recent controversy regarding the volatility of real economic activity before 1929 relative to the period since World War II. Some recent work claims that the longstanding stylized fact of greater prewar volatility is "spurious". In contrast, this paper...
Persistent link: https://www.econbiz.de/10012477072
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News or Noise? An Analysis of GNP Revisions
Mankiw, N. Gregory - 1986
Persistent link: https://www.econbiz.de/10012477133
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The Proper Measurement of Government Budget Deficits : Comprehensive Wealth Accounting or Permanent Income Accounting for the Public Sector
Buiter, Willem H. - 1982
The paper studies budgetary, financial and monetary policy evaluationand design using a comprehensive wealth or permanent income accounting framework. A set of stylized balance sheets and permanent income accountsis constructed for the public, private and overseas sectors.These are then...
Persistent link: https://www.econbiz.de/10012478092
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A Forensic Examination of China's National Accounts
Chen, Wei - 2019
rewarded for meeting growth and investment targets, they have an incentive to skew local statistics. China's National Bureau of … Statistics (NBS) adjusts the data provided by local governments to calculate GDP at the national level. The adjustments made by … investment. Local statistics increasingly misrepresent the true numbers after 2008, but there was no corresponding change in the …
Persistent link: https://www.econbiz.de/10012479705
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Seasonal Adjustment of NIPA data
Wright, Jonathan H. - 2018
In the 2018 comprehensive update of the national income and product accounts, the Bureau of Economic Analysis released not seasonally adjusted data, and modified its seasonal adjustment procedures. I find some indication of residual seasonality in the seasonally adjusted data as published before...
Persistent link: https://www.econbiz.de/10012480550