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International evidence on time-variation in trend labor productivity growth
Wegmüller, Philipp - 2016 - This version: February 2, 2016
This paper provides international evidence on time-variation in trend productivity growth, based on the dataset for hours worked constructed by Ohanian & Raffo (2012). Applying both the endogenous break tests of Bai & Perron (1998, 2003) and the Stock & Watson (1996, 1998) TVP-MUB methodology,...
Persistent link: https://www.econbiz.de/10011419488
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Testing cointegration relationship in a semiparametric varying coefficient model
Gu, Jingping; Liang, Zhongwen - In: Journal of econometrics 178 (2014) 1, pp. 57-70
Persistent link: https://www.econbiz.de/10010255469
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Nonparametric estimation and inference for conditional density based Granger causality measures
Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264
Persistent link: https://www.econbiz.de/10010433362
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Carry trade activities : a multivariate threshold model analysis
Gubler, Matthias - 2014
Persistent link: https://www.econbiz.de/10010433995
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Adaptive inference in heteroscedastic fractional time series models
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 50-65
Persistent link: https://www.econbiz.de/10012804084
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Measuring granger causality in quantiles
Song, Xiaojun; Taamouti, Abderrahim - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 937-952
Persistent link: https://www.econbiz.de/10012653205
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Inference for structural impulse responses in SVAR-GARCH models
Bruder, Stefan - 2018
simulations. We also present a three-step estimation procedure of the parameters of the SVAR-GARCH model that promises numerical …
Persistent link: https://www.econbiz.de/10011817166
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Mixed-scale jump regressions with bootstrap inference
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
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Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - 2017
We consider estimation and inference in fractionally integrated time series models driven by shocks which can display …. We propose an adaptive version of the CSS estimator, based on non-parametric kernel-based estimation of the unconditional …
Persistent link: https://www.econbiz.de/10011756074
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Testing linear relationships between non-constant variances of economic variables
Hirukawa, Junichi; Raïssi, Hamdi - In: Economic modelling 90 (2020), pp. 182-189
Persistent link: https://www.econbiz.de/10012428132