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Risk and Rationality : Uncovering Heterogeneity in Probability Distortion

Bruhin, Adrian; Fehr-Duda, Helga; Epper, Thomas - 2009

It has long been recognized that there is considerable heterogeneity in individual risk taking behavior but little is known about the distribution of risk taking types. We present a parsimonious characterization of risk taking behavior by estimating a finite mixture regression model for three...

Persistent link: https://www.econbiz.de/10014207351

The interest rate, learning, and inventory investment

Maccini, Louis J.; Schaller, Huntley; Moore, Bartholomew - 2004

Economic theory predicts a negative relationship between inventories and the real interest rate, but previous empirical studies (mostly based on the older stock adjustment model) have found little evidence of such a relationship. We derive parametric tests for the role of the interest rate in...

Persistent link: https://www.econbiz.de/10010333073

The Taylor Rule: A Spurious Regression?

Österholm, Pär - 2003

processes, cointegration is a necessary condition both for consistent estimation of the parameters of the model and … compatibility between the model and the data. Tests find little support for cointegration and, together with an out …

Persistent link: https://www.econbiz.de/10010321545

Predicting Inflation : Does The Quantity Theory Help?

Bachmeier, Lance J.; Swanson, Norman R. - 2003

are also reported on. The first shows that cointegration vector parameter estimation error is crucial when using VEC … alternative models, due to parameter estimation error, indicating that caution needs to be exercised when interpreting the results …

Persistent link: https://www.econbiz.de/10010263217

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

Market Segmentation and the Response of the Real Interest Rate to Monetary Policy Shocks

Occhino, Filippo - 2004

Following a contractionary monetary policy shock, the aggregate output decreases over time for six to eight quarters, while the real interest rate increases immediately and remains high for three quarters. Full participation models can hardly replicate the joint response of the aggregate output...

Persistent link: https://www.econbiz.de/10010263223

Real Interest Parity: A Note on Asian Countries Using Panel Stationarity Tests

Holmes, Mark J.; Otero, Jesús; Panagiotidis, Theodore - 2011

Existing panel data studies of real interest parity are either unable to identify which panel members are characterised … breaks and cross-sectional dependencies. Using a panel stationarity testing procedure recently advocated by Hadri and Rao …

Persistent link: https://www.econbiz.de/10010500180

Sustainability of Public Debt and Budget Deficit: Panel cointegration analysis for the European Union Member countries

Prohl, Silika; Schneider, Friedrich G. - 2006

In this study, we analyse the sustainability of fiscal policy of EU member countries within the panel cointegration and … error-correction frameworks. Unlike the previous empirical papers in this area, we apply the test for panel cointegration … panel cointegration relationship. In a next step, we search for the politico-economic factors which explain the variation in …

Persistent link: https://www.econbiz.de/10010294496

Testing for Purchasing Power Parity in Cointegrated Panels

Carlsson, Mikael; Lyhagen, Johan; Österholm, Pär - 2007

This paper applies the recently developed maximum-likelihood-panel cointegration method of Larsson and Lyhagen (2007 … error terms. The findings using this new method are contrasted to those from the Pedroni (1995) cointegration tests and …

Persistent link: https://www.econbiz.de/10010321519

The Dynamics of R&D and Innovation in the Short Run and in the Long Run

Peri, Giovanni; Bottazzi, Laura - 2003

developed tests and panel estimation techniques. We find that the stock of knowledge of a country, its R&D resources and the … innovation output as measured by patent applications. We first estimate a long-run cointegration relation using recently …

Persistent link: https://www.econbiz.de/10010263236

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