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The Uncertain Trend in U.S. GDP.
Nelson, C-R; Murray, C-J - Department of Economics, University of Washington - 1997
Several recent papers conclude that US real GDP is trend stationary, implying that all shocks are transitory and the long run path is deterministic.
Persistent link: https://www.econbiz.de/10005785047
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The Uncertain Trend in U.S. GDP.
Nelson, C-R; Murray, C-J - Department of Economics, University of Washington - 1997
Several recent papers conclude that US real GDP is trend stationary, implying that all shocks are transitory and the long run path is deterministic.
Persistent link: https://www.econbiz.de/10005775360
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Friedman's Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components.
Kim, C-J; Nelson, C-R - Department of Economics, University of Washington - 1997
More than thirty years ago Milton Friedman proposed a 'plucking' model of business fluctuations in which output cannot exceed a ceiling level, but will, from time to time, be plucked downward by recession. The model implied that business fluctuations are asymmetric, that recessions have only a...
Persistent link: https://www.econbiz.de/10005474575
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Valid Confidence Intervals and Inference in the Presence of Weak Instruments.
Zivot, E; Startz, R; Nelson, C-R - Department of Economics, University of Washington - 1997
We investigate confidence intervals and inference for the instrumental variables model with weak instruments. Wald-based confidence intervals for a structural parameter perform poorly in that the probability they reject the null is far greater than their nominal size. We show that the preactice...
Persistent link: https://www.econbiz.de/10005198630
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Friedman's Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components.
Kim, C-J; Nelson, C-R - Department of Economics, University of Washington - 1997
More than thirty years ago Milton Friedman proposed a 'plucking' model of business fluctuations in which output cannot exceed a ceiling level, but will, from time to time, be plucked downward by recession. The model implied that business fluctuations are asymmetric, that recessions have only a...
Persistent link: https://www.econbiz.de/10005198636
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Valid Confidence Intervals and Inference in the Presence of Weak Instruments.
Zivot, E; Startz, R; Nelson, C-R - Department of Economics, University of Washington - 1997
We investigate confidence intervals and inference for the instrumental variables model with weak instruments. Wald-based confidence intervals for a structural parameter perform poorly in that the probability they reject the null is far greater than their nominal size. We show that the preactice...
Persistent link: https://www.econbiz.de/10005657386
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Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization.
Kim, C-J; Nelson, C-R - Department of Economics, University of Washington - 1997
A decade ago Fama and French (1998) estimated that 40% variations in stock returns was predictable over horizons of 3-5 years, which they attributed to a mean reverting stationary component in prices. While it has been clear that the Depression and war years exert a strong influence on these...
Persistent link: https://www.econbiz.de/10005685385
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Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization.
Kim, C-J; Nelson, C-R - Department of Economics, University of Washington - 1997
A decade ago Fama and French (1998) estimated that 40% variations in stock returns was predictable over horizons of 3-5 years, which they attributed to a mean reverting stationary component in prices. While it has been clear that the Depression and war years exert a strong influence on these...
Persistent link: https://www.econbiz.de/10005618522