Narrow search
Showing 1 - 10 of 326
Cover Image
Are Macroeconomic Forecasts Informative? Cointegration Evidence from the ASA-NBER Surveys
Cheung, Yin-Wong - 1999
We examine the properties of the ASA-NBER forecasts for several US macroeconomic variables, specifically: (i) are the actual and forecast series integrated of the same order; (ii) are they cointegrated, and; (iii) is the cointegrating vector consistent with long run unitary elasticity of...
Persistent link: https://www.econbiz.de/10012471881
Cover Image
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
Cover Image
The Long-Run U.S./U.K. Real Exchange Rate
Engel, Charles - 1996
We investigate the behavior of the long-run U.S./U.K. real exchange rate from 1885 to 1995. Our long-run real exchange rate series is derived from an unobserved components model which divides the real exchange rate into permanent and transitory components. The transitory component is modeled as...
Persistent link: https://www.econbiz.de/10012473057
Cover Image
Estimating Sectoral Cycles Using Cointegration and Common Features
Engle, Robert F. - 1993
output from first principles. Cointegration and common features (cycles) tests are performed and sectoral output data seem to …
Persistent link: https://www.econbiz.de/10012474413
Cover Image
Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share
Brown, Scott J. - 1990
This paper tests for cointegration between regional output of an industry and national output of the same industry. An … equilibrium economic theory is presented to argue for the plausibility of cointegration, however, regional economic forecasting … 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
Cover Image
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
Cover Image
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
Cover Image
Low-Frequency Robust Cointegration Testing
Müller, Ulrich - 2009
Standard inference in cointegrating models is fragile because it relies on an assumption of an I(1) model for the common stochastic trends, which may not accurately describe the data's persistence. This paper discusses efficient low-frequency inference about cointegrating vectors that is robust...
Persistent link: https://www.econbiz.de/10012463358
Cover Image
Identification with Imperfect Instruments
Nevo, Aviv - 2008
Dealing with endogenous regressors is a central challenge of applied research. The standard solution is to use instrumental variables that are assumed to be uncorrelated with unobservables. We instead assume (i) the correlation between the instrument and the error term has the same sign as the...
Persistent link: https://www.econbiz.de/10012464213
Cover Image
Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income
Benzoni, Luca - 2005
, in spite of the large risk premium associated with it. Intuitively, this occurs because the cointegration effect makes … shorter times-to-retirement, the cointegration effect does not have sufficient time to act, and the remaining human capital …
Persistent link: https://www.econbiz.de/10012467438