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The effects of variance breaks on homogenous panel unit root tests
Herwartz, Helmut; Siedenburg, Florian - 2009
Noting that many economic variables display occasional shifts in their second order moments, we investigate the performance of homogenous panel unit root tests in the presence of permanent volatility shifts. It is shown that in this case, panel unit root tests derived under time invariant...
Persistent link: https://www.econbiz.de/10003887238
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A new approach to bootstrap inference in functional coefficient models
Herwartz, Helmut (contributor); Fang, Xu (contributor) - 2007
We introduce a new, factor based bootstrap approach which is robust under heteroskedastic error terms for inference in functional coefficient models. Modeling the functional coefficient parametrically, the bootstrap approximation of an F statistic is shown to hold asymptotically. In simulation...
Persistent link: https://www.econbiz.de/10003477963
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Time varying hierarchical archimedean copulae
Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - 2010
There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...
Persistent link: https://www.econbiz.de/10003953027
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State dependence in the finance-growth nexus : a functional coefficient approach
Herwartz, Helmut; Yabibal Mulualem Walle - 2013
Noting that "one size does not fit all" in the case of the finance-growth (FG) nexus, a growing body of literature has recently focused on uncovering economic conditions under which financial development could be beneficial (detrimental) to economic development. We look into these conditions by...
Persistent link: https://www.econbiz.de/10009752169
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An empirical study on causes and consequences of inflation and inflation uncertainty
Hartmann, Matthias - 2012
Empirical study of causality between inflation, inflation uncertainty and other macroeconomicy quantities. Additionally, the issue of how to measure the unobservable inflation uncertainty is addressed.
Persistent link: https://www.econbiz.de/10009671994
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International asset prices : empirical evidence
Morales-Arias, Leonardo - 2009
Persistent link: https://www.econbiz.de/10003869496
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A functional coefficient model view of the Feldstein-Horioka puzzle
Herwartz, Helmut (contributor); Fang, Xu (contributor) - 2007
What does the saving-investment (SI) relation really measure and how should the (SI) relation be measured? These are two of the most discussed issues triggered by the so called Feldstein-Horioka puzzle. Based on panel data we introduce a new variant of functional coefficient models that allow to...
Persistent link: https://www.econbiz.de/10003477959
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Internet based econometric computing
Härdle, Wolfgang; Horowitz, Joel - 1998
Modern econometrics requires implementation of highly specialized software. In contrast to mathematical arguments used in implementing new econometric techniques the corresponding software algorithms require specific platforms. The specialization of hardware and software, in fact, seriously...
Persistent link: https://www.econbiz.de/10009578024
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Increasing weather risk : fact of fiction?
Wang, Weining; Bobojonov, Ihtiyor B.; Härdle, Wolfgang; … - 2011
It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel statistical tools for assessing changes in weather...
Persistent link: https://www.econbiz.de/10009379509
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Long-run links among money, prices, and output : world-wide evidence
Herwartz, Helmut; Reimers, Hans-Eggert - 2001
analyse this topic by means of a P-star model. Based on the quantity theory of money, this approach explains inflation via a …. Moreover, parameter restrictions for the long-run relationships implied by the monetary theory are tested. Country specific P … Preisniveau und dem realen Output testet. Weiterhin werden die Parameterrestriktionen, die sich durch die monet¨are Theorie …
Persistent link: https://www.econbiz.de/10011419407