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Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach
Haldrup, Niels; Jansson, Michael - Tinbergen Institute - 1999
on this representation, a notion of near cointegration is proposed and three separate applications of the model of near … cointegration are provided. As a first application, we give analytical corroboration of the conjecture that the finite sample … coefficient. Hence, the notion of near cointegration helps to bridge the gap between the polar cases of spurious regression and …
Persistent link: https://www.econbiz.de/10005137044
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Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach
Haldrup, Niels; Jansson, Michael - Tinbergen Instituut - 1999
cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …
Persistent link: https://www.econbiz.de/10011257374
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Optimal Hedging with the Vector Autoregressive Model
Gatarek, Lukasz; Johansen, Søren - Tinbergen Instituut - 2014
with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite …
Persistent link: https://www.econbiz.de/10011257633
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When a Price is Enough: Implementation in Optimal Tax Design
Renes, Sander; Zoutman, Floris T. - Tinbergen Instituut - 2014
This paper studies the design of tax systems that implement a planner's second-best allocation in a market economy. An example shows that the widely used Mirrleesian (1976) tax system cannot implement all incentive-compatible allocations. Hammond's (1979) "principle of taxation" proves that any...
Persistent link: https://www.econbiz.de/10011272586
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Who is at the Top? Wealth Mobility over the Life Cycle
Hochguertel, Stefan; Ohlsson, Henry - Tinbergen Instituut - 2012
Who is wealthy? This paper presents empirical estimates of household movements into and out of the top percents of the wealth distribution over individual life cycles. There are life-cycle motives and precautionary motives for wealth accumulation. The opportunities to accumulate wealth create...
Persistent link: https://www.econbiz.de/10011255999
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Start-up Costs, Taxes and Innovative Entrepreneurship
Darnihamedani, Pourya; Block, Joern Hendrich; Hessels, … - Tinbergen Instituut - 2015
Prior research suggests that start-up costs and taxes negatively influence entry into entrepreneurship. Yet, no distinction is made regarding the type of entrepreneurship, particularly innovative versus non-innovative entrepreneurship. Start-up costs, being one-off costs, may reduce the entry of...
Persistent link: https://www.econbiz.de/10011256086
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Welfare Effects of Distortionary Tax Incentives under Preference Heterogeneity: An Application to Employer-provided Electric Cars
Dimitropoulos, Alexandros; Ommeren, Jos N. van; Koster, Paul - Tinbergen Instituut - 2014
This paper presents an approach for the estimation of welfare effects of tax policy changes under heterogeneity in consumer preferences. The approach is applied to evaluate the welfare effects of current tax advantages for electric vehicles supplied as fringe benefits by employers. Drawing on...
Persistent link: https://www.econbiz.de/10011261920
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Capital Market Failure, Adverse Selection and Equity Financing of Higher Education
Jacobs, Bas; Wijnbergen, Sweder J.G. van - Tinbergen Institute - 2005
We apply theories of capital market failure to ana1yze
Persistent link: https://www.econbiz.de/10005209498
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Who is at the Top? Wealth Mobility over the Life Cycle
Hochguertel, Stefan; Ohlsson, Henry - Tinbergen Institute - 2012
Who is wealthy? This paper presents empirical estimates of household movements into and out of the top percents of the wealth distribution over individual life cycles. There are life-cycle motives and precautionary motives for wealth accumulation. The opportunities to accumulate wealth create...
Persistent link: https://www.econbiz.de/10009415515
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Capital Market Failure, Adverse Selection and Equity Financing of Higher Education
Jacobs, Bas; Wijnbergen, Sweder J.G. van - Tinbergen Instituut - 2005
We apply theories of capital market failure to ana1yzeoptima1 financing of risky higher education. In the market solution,students can only finance their education through debt. There isunderinvestment in human capita1, because some students with socia1lyprofitable investments in human capita1...
Persistent link: https://www.econbiz.de/10011256826