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Heteroskedasticity-and-Autocorrelation-Consistent Bootstrapping

Davidson, Russel; Monticini, Andrea - 2014

In many, if not most, econometric applications, it is impossible to estimate consistently the elements of the white-noise process or processes that underlie the DGP. A common example is a regression model with heteroskedastic and/or autocorrelated disturbances,where the heteroskedasticity and...

Persistent link: https://www.econbiz.de/10011739586

Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis

Lunina, Veronika - 2016

This study presents a model for the joint dynamics of power price, temperature, and hydrological balance, with a view … towards scenario analysis. Temperature is a major demand-side factor affecting power prices, while hydrobalance is a major … market, the relationship between temperature and power price is driven by the demand for heating, while the cooling effect …

Persistent link: https://www.econbiz.de/10013208773

Which nonlinearity in the Phillips curve? The absence of accelerating deflation in Japan

De Veirman, Emmanuel - 2007

It is standard to model the output-inflation trade-off as a linear relationship with a time-invariant slope. We assess empirical evidence for three types of nonlinearity in the short-run Phillips curve. At an empirical level, we aim to discover why large negative output gaps in Japan during the...

Persistent link: https://www.econbiz.de/10010293439

Hidden Markov models in time series, with applications in economics

Kaufmann, Sylvia - 2016

Markov models introduce persistence in the mixture distribution. In time series analysis, the mixture components relate to different persistent states characterizing the state-specific time series process. Model specification is discussed in a general form. Emphasis is put on the functional form...

Persistent link: https://www.econbiz.de/10011629990

Improvements in bootstrap inference

Davidson, Russell; Monticini, Andrea - 2018

The fast double bootstrap can improve considerably on the single bootstrap when the bootstrapped statistic is approximately independent of the bootstrap DGP. This is because, among the approximations that underlie the fast double bootstrap (FDB), is the assumption of such independence. In this...

Persistent link: https://www.econbiz.de/10012059362

Bootstrap performance with heteroskedasticity

Davidson, Russell; Monticini, Andrea - 2023

The aim of this paper is to illustrate more than one instance of poor bootstrap performance, and to see how available diagnostic techniques can indicate reliably when and how this poor performance can arise. Two particular features that seem to be important to explain bootstrap discrepancy are...

Persistent link: https://www.econbiz.de/10014550294

Enflasyon dinamiklerindeki değişim: Döviz kuru geçişkenliği güçleniyor mu?

Kara, Hakan; Sarıkaya, Çağrı - 2021

Persistent link: https://www.econbiz.de/10013373850

Monetary policy shocks for Sweden

Kilman, Josefin - 2022

This paper estimates monetary policy shocks for Sweden between 1996-2019. I employ the Romer and Romer (2004) (R&R) approach and use annual forecasts of output growth and inflation to estimate monetary policy shocks. I complement the analysis with shocks from a recursive VAR including output,...

Persistent link: https://www.econbiz.de/10014318981

Spurious correlation in estimation of the health production function: A note

Akkoyunlu, Sule; Lichtenberg, Frank R.; Siliverstovs, Boriss - 2009

In this paper, we address the issue of spurious correlation in the production of health in a systematic way. Spurious correlation entails the risk of linking health status to medical (and nonmedical) inputs when no links exist. This note first presents the bounds testing procedure as a method to...

Persistent link: https://www.econbiz.de/10010315553

PPP in the Medium Run Despite Oil Shocks: The Case of Norway

Akram, Q. Farooq - 2002

Existing studies generally reject purchasing power parity (PPP) on datasets from countries that have been affected by large real shocks, including Norway. However, we offer strong evidence of PPP between Norway and its trading partners during the post-Bretton Woods period, in which the Norwegian...

Persistent link: https://www.econbiz.de/10012143592

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