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Unit Roots, Trend Breaks and Transitory Dynamics: A Macroeconomic Perspective.
Kilian, L.; Ohanian, L.E. - Michigan - Center for Research on Economic & Social Theory - 1999
There is a widespread tendency in the applied time series literature to interpret rejections of the unit root null hypothesis in favor of a trend stationary process with possible trend breaks as evidence that the data are better characterized as stationary about a broken trend. This...
Persistent link: https://www.econbiz.de/10005671897
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Did US consumers ‘save for a rainy day’ before the Great Recession?
Anundsen, André K.; Nymoen, Ragnar - Norges Bank - 2015
The 'saving for a rainy day' hypothesis implies that households' saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...
Persistent link: https://www.econbiz.de/10011277155
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Did US Consumers 'Save for a Rainy Day' Before the Great Recession?
Anundsen, André Kallåk; Nymoen, Ragnar - CESifo - 2015
The ‘saving for a rainy day’ hypothesis implies that households’ saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...
Persistent link: https://www.econbiz.de/10011278934
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Purchasing Power Parity among developing countries and their trade-partners. Evidence from selected CEECs and Implications for their membership of EU.
Giannellis, Nikolaos; Papadopoulos, Athanasios - Department of Economics, University of Crete - 2006
Area; US and the rest of the world. By applying univariate unit root tests as well as a multivariate cointegration test, we …
Persistent link: https://www.econbiz.de/10005040057
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SPURIOUS REGRESSION AND COINTEGRATION. NUMERICAL EXAMPLE: ROMANIA’S M2 MONEY DEMAND
Ruxanda, Gheorghe; Botezatu, Andreea - In: Journal for Economic Forecasting 5 (2008) 3, pp. 51-62
problem of spurious regression. When existent, cointegration is the simplest way of eliminating the illogical correlation … established between time series due to the presence of trends. The analysis of macroeconomic time series through cointegration is … a common fact. Modelling the Romanian M2 money demand through cointegration and vector error correction led to somewhat …
Persistent link: https://www.econbiz.de/10005772652
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Purchasing Power Parity among developing countries and their trade-partners. Evidence from selected CEECs and Implications for their membership of EU.
Giannellis, Nikolaos; Papadopoulos, Athanasios P. - Money Macro and Finance Research Group - 2007
Area; US and the rest of the world. By applying both univariate unit root and a multivariate cointegration test, we find …
Persistent link: https://www.econbiz.de/10004975703
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Econometric regime shifts and the US subprime bubble
Anundsen, André K. - Narodowy Bank Polski - 2012
Using aggregate quarterly data for the period 1975q1–2010q4, I find that the US housing market changed from a stable regime with prices determined by fundamentals, to a highly unstable regime at the beginning of the previous decade. My results indicate that these imbalances could have been...
Persistent link: https://www.econbiz.de/10010583586
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Economic Regime Shifts and the US Subprime Bubble
Anundsen, André Kallåk - Økonomisk institutt, Universitetet i Oslo - 2013
Using aggregate quarterly data for the period 1975q1–2010q4, I find that the US housing market changed from a stable regime with prices determined by fundamentals, to a highly unstable regime at the beginning of the previous decade. My results indicate that these imbalances could have been...
Persistent link: https://www.econbiz.de/10010819023
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Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis
Holt, Matthew T.; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2012
This paper examines trends in annual temperature data for the northern and southern hemisphere (1850-2010) by using variants of the shifting-mean autoregressive (SM-AR) model of González and Teräsvirta (2008). Univariate models are first fitted to each series by using the so called QuickShift...
Persistent link: https://www.econbiz.de/10010851222
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Characterizing economic trends by Bayesian stochastic model specifi cation search
Grassi, Stefano; Proietti, Tommaso - Volkswirtschaftliche Fakultät, … - 2010
We apply a recently proposed Bayesian model selection technique, known as stochastic model specification search, for characterising the nature of the trend in macroeconomic time series. We illustrate that the methodology can be quite successfully applied to discriminate between stochastic and...
Persistent link: https://www.econbiz.de/10008468145