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Long Lags or Season Mis-Specification? A Note on Cointegration Testing and the Consumption Function

Albertson, Kevin; Aylen, Jonathan - Manchester Business School - 2007

Writing in Applied Economics Letters, Sumner (2004) advocates use of long lag lengths when conducting cointegration …

Persistent link: https://www.econbiz.de/10005870373

Interdependencies between Fossil Fuel and Renewable Energy Markets:The German Biodiesel Market

Busse, Stefan; Brümmer, Bernhard; Ihle, Rico - Universität <Göttingen> / Department für … - 2010

With this paper, we provide the first quantitative investigation of vertical price transmission inthe biodiesel supply chain in Germany with the focus on the developments during the foodcrisis and the impact of subsidized US biodiesel exports. With the strong promotion of theproduction and use...

Persistent link: https://www.econbiz.de/10009129499

Explaining the (non-) causality betweenenergy and economic growth in the U.S.A multivariate sectoral analysis

Groß, Christian - Max-Planck-Institut für Ökonomik <Jena> / Abteilung …

The rapidly growing literature on the relationship between energy consumption and economicgrowth has not univocally identied the realcausal relationship yet. We argue that bivariate mod-els, which analyze the causality at the level of the total economy, are not appropriate especiallyin...

Persistent link: https://www.econbiz.de/10009138588

The Long-run Determinants of Fertility: One Centuryof Demographic Change 1900-1999

Herzer, Dierk; Strulik, Holger; Vollmer, Sebastian - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2010

We examine the long-run relationship between fertility, mortality, and incomeusing panel cointegration techniques and … results are robust against alternative estimation methods, potentialoutliers, sample selection, dierent measures of mortality …

Persistent link: https://www.econbiz.de/10009302605

Organic Crop Prices, or 2x Conventional Ones?

Singerman, Ariel; Lence, Sergio H.; Kimble-Evans, Amanda - Iowa State University of Science and Technology <Ames, … - 2010

Cointegration is tested between organic and conventional corn and soybean markets in severallocations throughout the U …

Persistent link: https://www.econbiz.de/10009360724

Fixed Bandwidth Asymptotics in Single EquationModels of Cointegration with an Application to MoneyDemand

Bunzel, Helle - Iowa State University of Science and Technology <Ames, … - 2003

This paper provides a new approach to testing cointegration parameters in a singleequationcointegration environment … errors usingfixed bandwidth (fixed-b) asymptotic theory and adapting it to the cointegration environment.It is shown that the … kernel used, evenif the regressors in the cointegration relationship are endogenous. Using asymptoticpower and finite sample …

Persistent link: https://www.econbiz.de/10009418928

Measuring model risk

Sibbertsen, Philipp; Stahl, Gerhard; Luedtke, Corinna - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2008

Model risk as part of the operational risk is a serious problem for financial institutions.As the pricing of derivatives as well as the computation of the marketor credit risk of an institution depend on statistical models the application of awrong model can lead to a serious over- or...

Persistent link: https://www.econbiz.de/10005867398

Integrierte Ex-ante-Rendite-/Risikobewertung von IT-Investitionen

Wehrmann, Alexander; Zimmermann, Steffen - Universität <Augsburg> / Lehrstuhl für BWL, … - 2004

In Unternehmungen werden regelmäßig Entscheidungen über IT-Projekte getroffenmit dem Ziel, den Nutzen dieser Investitionen zu maximieren. Vor dem Hintergrund,dass rund zwei Drittel der IT-Projekte den prognostizierten Nutzen nicht erreichen,wird die Notwendigkeit einer ex ante Bewertung von...

Persistent link: https://www.econbiz.de/10005868485

Dynamic Capital Structure under ManagerialEntrenchment:Evidence from a Structural Estimation

Morellec, Erwan; Nikolov, Boris; Schürhoff, Norman - National Centre of Competence in ResearchFinancial … - 2008

This paper examines the impact of agency conicts on corporate nancing decisions. Werst build a dynamic contingent claims model in which nancing policy results from a trade-obetween tax benets, contracting frictions, and agency conicts. In our setting, partially-entrenched managers set the rms'...

Persistent link: https://www.econbiz.de/10005868708

TWO STAGE QUANTILE REGRESSION WHEN THEFIRST STAGE IS BASED ON QUANTILEREGRESSION

Kim, Tae-Hwan; Muller, Christophe - University <Nottingham> / Department of Economics - 2003

We present the asymptotic properties of double-stage quantile regressionestimators with random regressors, where the first stage is based on quantile regressionswith the same quantile as in the second stage, which ensures robustness of the estimationprocedure. We derive invariance properties...

Persistent link: https://www.econbiz.de/10005868899