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Searching For a Break in GNP
Christiano, Lawrence J. - 1988
It has been suggested that existing estimates of the long-run impact of a surprise move in income may have a substantial upward bias due to the presence of a trend break in post war U.S. GNP data. This paper shows that the statistical evidence does not warrant abandoning the no trend null...
Persistent link: https://www.econbiz.de/10012476369
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Impulse Response Functions for Self-Exciting Nonlinear Models
Francis, Neville; Owyang, Michael T.; Soques, Daniel F. - National Bureau of Economic Research - 2023
We calculate impulse response functions from regime-switching models where the driving variable can respond to the shock. Two methods used to estimate the impulse responses in these models are generalized impulse response functions and local projections. Local projections depend on the observed...
Persistent link: https://www.econbiz.de/10014372466
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Regression Discontinuity in Time : Considerations for Empirical Applications
Hausman, Catherine - 2017
Recent empirical work in several economic fields, particularly environmental and energy economics, has adapted the regression discontinuity (RD) framework to applications where time is the running variable and treatment begins at a particular threshold in time. In this guide for practitioners,...
Persistent link: https://www.econbiz.de/10012455080
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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 … theory for the tests, showing that it coincides with standard testing procedures. As a consequence, existing critical values …
Persistent link: https://www.econbiz.de/10012496124
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Dynamic Corrective Taxes with Time-Varying Salience
Gilbert, Ben - 2018
electricity consumption …
Persistent link: https://www.econbiz.de/10012480667
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Household Electricity Demand, Revisited
Reiss, Peter C. - 2001
Recent efforts to restructure and partially deregulate electricity markets have renewed interest in understanding how … household electricity demand that addresses these difficulties. We estimate the model using data for a representative sample of … California households, and summarize how electricity demand elasticities vary in that state. We then use the model to analyze the …
Persistent link: https://www.econbiz.de/10012470028
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Electricity Consumption and Durable Housing : Understanding Cohort Effects
Costa, Dora L. - 2011
We find that households living in California homes built in the 1960s and 1970s had high electricity consumption in … 2000 relative to houses of more recent vintages because the price of electricity at the time of home construction was low …. Homes built in the early 1990s had lower electricity consumption than homes of earlier vintages because the price of …
Persistent link: https://www.econbiz.de/10012461926
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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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Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis : Theory and International Evidence
Banerjee, Anindya - 1990
This paper investigates the possibility, raised by Perron (1989, 1990a), that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike Perron, we treat the break date as unknown a priori. Asymptotic distributions are developed for recursive,...
Persistent link: https://www.econbiz.de/10012475507
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Nonrenewable Resource Prices : Deterministic or Stochastic Trends?
Lee, Junsoo - 2005
In this paper we examine temporal properties of eleven natural resource real price series from 1870-1990 by employing a Lagrangian Multiplier unit root test that allows for two endogenously determined structural breaks with and without a quadratic trend. Contrary to previous research, we find...
Persistent link: https://www.econbiz.de/10012467192