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Issues in Estimating New-Keynesian Phillips Curves in the Presence of Unknown Structural Change
Kulish, Mariano; Pagan, Adrian - Reserve Bank of Australia - 2013
Structural change has been conjectured to lead to an upward bias in the estimated forward expectations coefficient in New-Keynesian Phillips curves. We present a simple New-Keynesian model that enables us to assess this proposition. In particular, we investigate the issue of upward bias in the...
Persistent link: https://www.econbiz.de/10010815236
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Chinese resource demand and the natural resource supplier
Dungey, Mardi; Fry-McKibbin, Renée; Linehan, Verity - School of Economics and Finance, Tasmanian School of … - 2013
This paper provides empirical evidence on the effects of Chinese resource demand on the resource rich natural resource supplier using the example of Australia. A structural VAR model is used to examine the effects of Chinese resource demand, commodity prices and foreign output on the...
Persistent link: https://www.econbiz.de/10010905835
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On bootstrap validity for specification tests with weak instruments
Doko Tchatoka, Firmin - School of Economics and Finance, Tasmanian School of … - 2013
This paper investigates the asymptotic validity of the bootstrap for Durbin-WuHausman (DWH) specification tests when … instrumental variables (IVs) may be arbitrary weak. It is shown that under strong identification, the bootstrap offers a better … approximation than the usual asymptotic 2 distributions. However, the bootstrap provides only a first-order approximation when …
Persistent link: https://www.econbiz.de/10010905845
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Specification Tests with Weak and Invalid Instruments
Tchatoka, Firmin Doko - School of Economics, University of Adelaide - 2014
as the sample size increases. We propose size correction based on bootstrap techniques. Our analysis of the proposed … bootstrap tests provides some new insights. More precisely, we show that even for moderate instrument endogeneity, the bootstrap …
Persistent link: https://www.econbiz.de/10010959883
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On Distributions of Ratios
Broda, Simon A.; Kan, Raymond - Tinbergen Instituut - 2014
A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...
Persistent link: https://www.econbiz.de/10011255898
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On bootstrap validity for specification tests with weak instruments
Doko Tchatoka, Firmin - Volkswirtschaftliche Fakultät, … - 2013
This paper investigates the asymptotic validity of the bootstrap for Durbin-Wu-Hausman (DWH) specification tests when … instrumental variables (IVs) may be arbitrary weak. It is shown that under strong identification, the bootstrap offers a better … approximation than the usual asymptotic chi-square distributions. However, the bootstrap provides only a first-order approximation …
Persistent link: https://www.econbiz.de/10011109415
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The Sense and Non-Sense of Holdout Sample Validation in the Presence of Endogeneity
Ebbes, Peter; Papies, Dominik; Heerde, Harald J. van - In: Marketing Science 30 (2011) 6, pp. 1115-1122
Market response models based on field-generated data need to address potential endogeneity in the regressors to obtain consistent parameter estimates. Another requirement is that market response models predict well in a holdout sample. With both requirements combined, it may seem reasonable to...
Persistent link: https://www.econbiz.de/10010990391
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Subjective mortality hazard shocks and the adjustment of consumption expenditures
Bíró, Anikó - In: Journal of Population Economics 26 (2013) 4, pp. 1379-1408
I estimate the effect of shocks to subjective mortality hazards on consumption expenditures of retired individuals using the Survey of Health, Ageing and Retirement in Europe. I measure mortality expectations with survey responses on survival probabilities. To create plausibly exogenous...
Persistent link: https://www.econbiz.de/10010993471
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Enhancing the local power of IVX-based tests in predictive regressions
Demetrescu, Matei - In: Economics Letters 124 (2014) 2, pp. 269-273
IVX estimation is used increasingly often in predictive regressions with regressors of unknown persistence. While not exhibiting the second-order bias the OLS estimator has in this setup, IVX estimators have reduced rates of convergence when the regressors are highly persistent. The reduced...
Persistent link: https://www.econbiz.de/10010933300
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A Comparison of the Relationship between Obesity and Earnings in the U.S. and Germany
Cawley, John H.; Grabka, Markus M.; Lillard, Dean R. - In: EconStor Open Access Articles (2005), pp. 119-129
This paper investigates and compares the relationship between obesity and earnings in the U.S. and Germany. Using data from the Panel Study of Income Dynamics (U.S.) and the German Socio-Economic Panel, instrumental variables models are estimated that account for the endogeneity of body weight....
Persistent link: https://www.econbiz.de/10010954520