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Persistent link: https://www.econbiz.de/10005549080
This paper deals with the design of Monte Carlo experiments in the context of cointegrated VAR models.
Persistent link: https://www.econbiz.de/10005549096
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This paper formulates a conformity test for cointegration for a multivariate I(1) process obeying a VAR specification. The test statistic is a function of the characteristic roots of the sample covariance matrix of the cointegral vector; the latter is obtained from the unrestricted estimation of...
Persistent link: https://www.econbiz.de/10005549161
In this paper we employ the Kullback Information apparatus in (a) obtaining the strong consistency of the maximum likelihood (ML) estimator in the standard version of the general linear structural econometric model (GLSEM); (b) deriving very succintly the necessary and sufficient (nas)...
Persistent link: https://www.econbiz.de/10005549167
Persistent link: https://www.econbiz.de/10005227093
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We study numerical simulations of a standard trade model with labor mobility costs added, modeled in such a way as to generate gross flows in excess of net flows. We find that adjustment to a trade shock can take a long time with plausible values of parameter values. In our base case, for the...
Persistent link: https://www.econbiz.de/10005344535
We consider a dynamic Bertrand game, in which prices are publicly observed and each firm receives a privately observed cost shock in each period. Although cost shocks are independent across firms, within a firm costs follow a first-order Markov process. We analyze the set of collusive equilibria...
Persistent link: https://www.econbiz.de/10005344536
This paper examines how democracy affects long-run growth by influencing the quality of governance. Empirical evidence is presented first showing that measures of the quality of governance are substantially higher in more democratic countries. A generalequilibrium, endogenous growth model is...
Persistent link: https://www.econbiz.de/10005344537