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Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
Bos, C.S.; Koopman, S.J.; Ooms, M. - 2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...
Persistent link: https://www.econbiz.de/10010325333
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Regional Price Adjustment in a Monetary Union
Berk, Jan Marc; Swank, Job - 2002
Using a New-Keynesian framework, we investigate how far the inflationary processes in member states of EMU cause regional price levels to converge. We fail to produce hard evidence of the present existence of such an adjustment mechanism, notwithstanding that inflation in some countries tends to...
Persistent link: https://www.econbiz.de/10010324791
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The Political Economy of a Diverse Monetary Union
Perotti, Enrico; Soons, Oscar - 2020
We analyze the political economy of monetary unification among countries with different quality of institutions. Countries with stronger institutions have lower public spending and better productive incentives, even under a stronger currency. Governments under weaker institutions spend more and...
Persistent link: https://www.econbiz.de/10012427145
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Weighted Temporal Utility
Gerber, Anke; Rohde, Kirsten I.M. - 2013
We propose a novel utility representation for preferences over risky timed outcomes. The weighted temporal utility model generalizes many well known utility functions for intertemporal decision making under risk. A decision maker with a weighted temporal utility function can have time consistent...
Persistent link: https://www.econbiz.de/10010326412
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A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models
Blasques, Francisco; Nientker, Marc - 2017
Persistent link: https://www.econbiz.de/10011819465
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Stationarity and Invertibility of a Dynamic Correlation Matrix
mcAleer, Michael - 2017
the stationarity and invertibility conditions of the DCC model. The derivation of DCC from a vector random coefficient … than the returns shocks. The derivation of the regularity conditions, especially stationarity and invertibility, should … than returns shocks, as well as the associated stationarity and invertibility conditions. …
Persistent link: https://www.econbiz.de/10011819475
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Consumption and wealth in the long run: an integrated unobserved component approach
Gardberg, Malin; Pozzi, Lorenzo - 2018
The ratio of consumption to total household wealth (i.e., tangible assets plus unobserved human wealth) is commonly calculated from the estimation of a log-linear version of the household intertemporal budget constraint as a cointegrating relationship between consumption, assets and earnings...
Persistent link: https://www.econbiz.de/10011932317
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Dynamic Partial Correlation Models
D'Innocenzo, Enzo; Lucas, André - 2022
recurrence equations, we establish stationarity, ergodicity, and filter invertibility in the multivariate setting using …
Persistent link: https://www.econbiz.de/10013427597
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Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - 2014
We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series models driven by the score function of the predictive likelihood. This class of nonlinear dynamic models includes both new and existing observation driven time series models....
Persistent link: https://www.econbiz.de/10010377233
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Maximum Likelihood Estimation for Correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, and André - 2014
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models usually requires the study of the model both as a filter for the time-varying parameter and as a data generating process (DGP) for observed data. The probabilistic properties of the...
Persistent link: https://www.econbiz.de/10010491303