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This paper provides a means of accurately simulating explosive autoregressive processes and uses this method to analyze the distribution of the likelihood ratio test statistic for an explosive second-order autoregressive process of a unit root. While the standard Dickey-Fuller distribution is...
Persistent link: https://www.econbiz.de/10005511902
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Corruption is hidden action aimed at influencing the outcome of an event away from its competitive outcome. It is likely common in all walks of life yet its hidden nature makes it diffcult to detect, while its distortionary influence on resource allocation ensures the importance of trying to...
Persistent link: https://www.econbiz.de/10011155519
This paper provides a means of accurately simulating explosive autoregressive processes, and uses this method to analyse the distribution of the likelihood ratio test statistic for an explosive second order autoregressive process. Nielsen (2001) has shown that for the asymptotic distribution of...
Persistent link: https://www.econbiz.de/10010820288
In this paper, the monetary policy independence of European nations in the years before European Economic and Monetary Union (EMU) is investigated using cointegration techniques. Daily data is used to assess pairwise relationships between individual EMU nations and ‘lead’ nation Germany, to...
Persistent link: https://www.econbiz.de/10011048900
This paper investigates to what extent Chinese monetary policy is constrained by the dollar peg. To this end, we use a cointegration framework to examine whether Chinese interest rates are driven by the Fed’s policy. In a second step, we estimate a monetary model for China, in which we include...
Persistent link: https://www.econbiz.de/10010957289
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The contributors expertly provide a comparative perspective on regional integration in different regions of the world while at the same time analysing the various facets of integration, relating to trade, FDI, finance and monetary policies. They provide a comprehensive treatment of the subject...
Persistent link: https://www.econbiz.de/10011180068
Home advantage in football varies over time. Existing theories of home advantage struggle to explain this time-series variation. We argue that the decline in home advantage in English football since the mid-1980s was partly caused by the advent of televised football. We argue that the increase...
Persistent link: https://www.econbiz.de/10005009856
The objective of this paper is to apply the mis-specification (M-S) encompassing perspective to the problem of choosing between "linear" and "log-linear" unit-root models. A simple M-S encompassing test, based on an auxiliary regression stemming from the conditional second moment, is proposed...
Persistent link: https://www.econbiz.de/10005682445