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Persistent link: https://www.econbiz.de/10001974056
Many macroeconometric models depict situations where the shares of the major demand aggregates in output are stable over time. The joint dynamic behavior of the considered demand aggregate and output may thus be approximated by a cointegrated vector autoregression. However, the shares of many...
Persistent link: https://www.econbiz.de/10009728178
Pooling forecasts obtained from different procedures typically reduces the mean square forecast error and more generally improves the quality of the forecast. In this paper we evaluate whether pooling interpolated or backdated time series obtained from different procedures can also improve the...
Persistent link: https://www.econbiz.de/10014062151
main contribution is that we model the Euro area countries separately. In this version we consider Germany and France … zunächst drei Länder modelliert, nämlich die USA und aus dem Euro-Währungsgebiet Deutschland und Frankreich, die zusammen etwa …
Persistent link: https://www.econbiz.de/10003950731
of certain types of self-employed workers to the corporations’ sector of some countries, most notably Germany and Italy … and impute a labour compensation to self-employed workers for international comparisons. Profit shares in France, Germany … claim of a global increase in the profit share in the last decades is at best debatable for Germany and not backed with the …
Persistent link: https://www.econbiz.de/10011403307
Persistent link: https://www.econbiz.de/10001262799
This paper proposes a double tree structured AR-GARCH model for the analysis of stock index return series, which extends previous approaches to incorporate (i) an arbitrary number of multivariate thresholds in conditional means and volatilities of stock index returns and (ii) a richer...
Persistent link: https://www.econbiz.de/10014089647
In this paper we give a precise definition of long-run causality in a multivariate non-stationary, possibly cointegrated, framework. A variable is said to be causal for another in the long run if knowledge of the past of the former improves long-run predictions of the latter. In a VAR framework,...
Persistent link: https://www.econbiz.de/10013131871
Persistent link: https://www.econbiz.de/10001461142
In this paper, we present an updated version of the reference model used at Banque de France to forecast inflation: MAPI (Model for Analysis and Projection of Inflation). While the conceptual framework of the model remains very close to its initial version, our update takes stock of three...
Persistent link: https://www.econbiz.de/10013294796