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The Present Value Model, Farmland Prices and Structural Breaks

Gutierrez, Luciano; Erickson, Kenneth W.; Westerlund, Joakim - 2005

. We use panel unit root and cointegration analysis to test if the present value model holds for a sample of 31 U.S. States …-cointegrated assuming a constant discount rate. The absence of cointegration may be due to the presence of a regime shift representing a … time-varying discount rate. To accommodate this possibility, we introduce new panel cointegration tests that allow for …

Persistent link: https://www.econbiz.de/10009443865

A Regime Shift Model of the Recent Housing Bubble in the United States

Van Order, Robert - 2006

It has been widely assumed that there was a bubble in the U.S. housing market after1999.This paper analyzes the extent to which that was true. We define a bubble as: (1) a regime shift that is characterized by a change in the properties of deviations from the fundamentals of house price growth,...

Persistent link: https://www.econbiz.de/10009476926

Business cycle dynamics with duration dependence and leading indicators

Layton, Allan; Smith, Daniel - 2007

Durland and McCurdy [Durland, J.M., McCurdy, T.H., 1994. Duration-dependent transitions in a Markov model of US GNP growth. Journal of Business and Economic Statistics 12, 279?288] investigated the issue of duration dependence in US business cycle phases using a Markov regime-switching approach,...

Persistent link: https://www.econbiz.de/10009483399

Macroeconomic models with endogenous learning

Gaus, Eric - 2010

xi, 87 p. : ill. A print copy of this thesis is available through the UO Libraries. Search the library catalog for the location and call number.

Persistent link: https://www.econbiz.de/10009447381

Essays in the Macroeconomics of Emerging Countries

Seoane, Hernan Daniel - 2011

This dissertation is a collection of essays with the main objective of estimate and understand macroeconomic behavior of emerging countries by the lenses of modern tools in general equilibrium modeling. In the first chapter, I study whether structural parameters of Small Open Economy Real...

Persistent link: https://www.econbiz.de/10009475388

The euro and inflation uncertainty in the European Monetary Union

Caporale, GM; Kontonikas, A - 2006

In this paper, we investigate empirically the relationship between inflation and inflation uncertainty in twelve EMU countries. We estimate a time-varying parameter model with a GARCH specification for the conditional volatility of inflation in order to distinguish between short-run (structural...

Persistent link: https://www.econbiz.de/10009481432

Inflation and inflation uncertainty in the Euro area

Caporale, GM; Onorante, L; Paesani, P - 2009

This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates the linkages between them in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in...

Persistent link: https://www.econbiz.de/10009481449

Has the Fed responded to house and stock prices? : a time-varying analysis

Aastveit, Knut Are; Furlanetto, Francesco; Loria, Francesca

En este trabajo utilizamos un modelo VAR estructural con parámetros variables en el tiempo y volatilidad estocástica para investigar si la Reserva Federal ha respondido sistemáticamente a los precios de los activos y si esta respuesta ha cambiado con el tiempo. Para recuperar el componente...

Persistent link: https://www.econbiz.de/10012530552

Deletion diagnostics for transformations of time series

Atkinson, Anthony C.; Shephard, Neil - 1996

Deletion diagnostics are derived for the effect of individual observations on the estimated transformation of a time series. The paper uses the modified power transformation of Box and Cox to provide a parametric family of transformations. Inference about the transformation parameter is made...

Persistent link: https://www.econbiz.de/10009441448

Detecting shocks: outliers and breaks in time series

Atkinson, Anthony C.; Koopman, Siem Jan; Shephard, Neil - 1997

A single outlier in a regression model can be detected by the effect of its deletion on the residual sum of squares. An equivalent procedure is the simple intervention in which an extra parameter is added for the mean of the observation in question. Similarly, for unobserved components or...

Persistent link: https://www.econbiz.de/10009441449

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