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only limited success in the US as a tool for doing empirical macroeconomics, where what might be called a "theory comes … such research methods. The US "theory comes first" approach fits much better with the journal publication metric …
Persistent link: https://www.econbiz.de/10003672225
This paper develops a fully modified OLS estimator for cointegrating polynomial regressions, i.e. for regressions including deterministic variables, integrated processes and powers of integrated processes as explanatory variables and stationary errors. The errors are allowed to be serially...
Persistent link: https://www.econbiz.de/10009686189
This paper develops a fully modified OLS estimator for cointegrating polynomial regressions, i.e. for regressions including deterministic variables, integrated processes and powers of integrated processes as explanatory variables and stationary errors. The errors are allowed to be serially...
Persistent link: https://www.econbiz.de/10009228949
In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lütkepohl (2000b) and Saikkonen, Lütkepohl & Trenkler (2006). The asymptotic properties of the bootstrap test procedures are derived and their...
Persistent link: https://www.econbiz.de/10003324256
Usually cointegrated VAR models of wage formation are analysed in a wage-price setup. However, theoretical wage bargaining models provide the background for a wage-employment setup. The two relations of interest are the labour demand equation from the profit maximizing firms and the (bargained)...
Persistent link: https://www.econbiz.de/10011537459
statistic of Robin and Smith [Econometric Theory (2000), 16, 151–175] usage of numerical optimization for the objective function … singular values in Ratsimalahelo [2002, Rank test based on matrix perturbation theory. Unpublished working paper, U …
Persistent link: https://www.econbiz.de/10011332818
We introduce a new quadratic error correction model that comprehensively accounts for both sign and size asymmetries. We also propose a test protocol that allows to rigorously identify the different sources of long-run nonlinearity, namely, quadratic nonlinearity, size asymmetry and sign...
Persistent link: https://www.econbiz.de/10012832538
We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies of existing rank statistics, like: Necessity of a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson (1951), sensitivity to the ordering of the variables for the...
Persistent link: https://www.econbiz.de/10014090630
Persistent link: https://www.econbiz.de/10003730164
Persistent link: https://www.econbiz.de/10003603877