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Real Wages over the Business Cycle:OECD Evidence from the Time and Frequency Domains

Messina, Julián; Strozzi, Chiara; Turunen, Jarkko - Institut zur Zukunft der Arbeit <Bonn> - 2008

We study differences in the adjustment of aggregate real wages in the manufacturing sectorover the business cycle across OECD countries, combining results from different data anddynamic methods. Summary measures of cyclicality show genuine cross-countryheterogeneity even after controlling for...

Persistent link: https://www.econbiz.de/10009418920

Goodness-of-Fit: An Economic Approach

Cowell, Frank A.; Flachaire, Emmanuel; Bandyopadhyay, … - London School of Economics and Political Science; Pôle …; … - 2009

Specific functional forms are often used in economic models of distributions;goodness-of-fit measures are used to assess whether a functional form is appropriatein the light of real-world data. Standard approaches use a distance criterion based onthe EDF, an aggregation of differences in...

Persistent link: https://www.econbiz.de/10005871007

Infinite Dimensional VARs and Factor Models

Chudik, Alexander; Pesaran, Mohammad Hashem - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2007

This paper introduces a novel approach for dealing with the curse of dimensionality in thecase of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VARare proposed that are binding only in a limit as the number of endogenous variables tends toinfinity...

Persistent link: https://www.econbiz.de/10008939752

Identifying Structural Effects in NonseparableSystems Using Covariates

White, Halbert; Chalak, Karim - Boston College / Department of Economics - 2008

This paper demonstrates the extensive scope of an alternative to standardinstrumental variables methods, namely covariate-based methods, for identifying and es-timating effects of interest in general structural systems. As we show, commonly usedeconometric methods, specically parametric,...

Persistent link: https://www.econbiz.de/10009302533

Testing for Breaks Using Alternating Observations

Bunzel, Helle; Iglesias, Emma M. - Iowa State University of Science and Technology <Ames, … - 2008

assumption made for the Monte Carlo adjustmentsis incorrect. We illustrate the new test statistics in the univariate context of …

Persistent link: https://www.econbiz.de/10009360842

Aggregating Phillips Curves

Jean Imbs; Eric Jondeau; Florian Pelgrin - Institut für Schweizerisches Bankwesen <Zürich> - 2007

The New Keynesian Phillips Curve is at the center of two raging empirical debates. First, how can purely forward looking pricing account for the observed persistence in aggregate inflation. Second, price-setting responds to movements in marginal costs, which should therefore be the driving force...

Persistent link: https://www.econbiz.de/10005858242

Absicherung von Strompreisrisiken mit Futures: Theorie und Empirie

Rodt, Marc; Schäfer, Klaus - Universität <Bayreuth> / Lehrstuhl für …; … - 2005

Der Strommarkt in Deutschland befindet sich seit einigen Jahren in einem Liberalisierungsprozess,der zu einem Anstieg der Strompreisvolatilität führt. Für Elektrizitätshandelsunternehmengewinnt damit das Management des Strompreisrisikos eine zentrale Bedeutung. Vordiesem Hintergrund...

Persistent link: https://www.econbiz.de/10005858574

Robust GMM Tests for Structural Breaks

Gagliardini, Patrick; Trojani, Fabio; Urga, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

average statistics derived from robust GMM estimators with a bounded influence function. They imply a bounded linearized …

Persistent link: https://www.econbiz.de/10005858906

Event studies with conditionally heteroscedastic stock return

Bacmann, Jean-Francois; Dubois, Michel - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

statistics for the null hypothesis of no abnormal returns, which is an extension of Boehmer et al. (1991) test statistics. Monte … Carlo simulations and simulations on real data show that the test statistics accounting for conditional heteroscedasticity …, Boehmer et al. (1991) test and the Generalized Sign test proposed by Cowan (1992) are well specified. The test statistics …

Persistent link: https://www.econbiz.de/10005858913

Das Hybride Wahlmodell und seine Anwendung im Marketing

Dannewald, Till; Kreis, Henning; Silberhorn, Nadja - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

In klassischen Wahlmodellen wird davon ausgegangen, dass sich ein beobachtetes Verhalten durch einen nicht näher spezifizierbaren Evaluationsprozess des beobachteten Individuums ergibt. Ist die Aufdeckung dieses Prozesses von Interesse, stoßen reine Wahlmodelle schnell an ihre methodischen...

Persistent link: https://www.econbiz.de/10005860836