Narrow search
Showing 1 - 10 of 758
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
Abundance from Abroad : Migrant Income and Long-Run Economic Development
Khanna, Gaurav; Murathanoglu, Emir; Theoharides, Caroline; … - National Bureau of Economic Research - 2022
How does income from international migrant labor affect the long-run development of migrant-origin areas? We leverage the 1997 Asian Financial Crisis to identify exogenous changes in international migrant income across regions of the Philippines, derived from spatial variation in exposure to...
Persistent link: https://www.econbiz.de/10013172161
Cover Image
International Migration, Remittances, and Household Investment : Evidence from Philippine Migrants' Exchange Rate Shocks
Yang, Dean - 2006
peso leads to increases in household remittances received from overseas. The estimated elasticity of Philippine …-peso remittances with respect to the Philippine/foreign exchange rate is 0.60. These positive income shocks lead to enhanced human …
Persistent link: https://www.econbiz.de/10012466340
Cover Image
Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
Andersen, Torben G. - 2000
It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH. We consider two major dollar exchange rates, and we...
Persistent link: https://www.econbiz.de/10012471288
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
Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions
Andersen, Torben; Varneskov, Rasmus Tangsgaard - National Bureau of Economic Research - 2021
variables may be fractionally integrated and the predictive relation may feature cointegration, we provide sup-Wald break tests …
Persistent link: https://www.econbiz.de/10012496124
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
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
Low-Frequency Econometrics
Müller, Ulrich K. - 2015
Many questions in economics involve long-run or trend variation and covariation in time series. Yet, time series of typical lengths contain only limited information about this long-run variation. This paper suggests that long-run sample information can be isolated using a small number of...
Persistent link: https://www.econbiz.de/10012457105