Showing 1 - 7 of 7
We show how the use of panel data methods such as those proposed in single equations by Kao and Pedroni or in systems by Larsson and Lyhagen to investigate economic hypotheses such as purchading power pariety or the term structure of interest rates may be affected by the existence of cross-unit...
Persistent link: https://www.econbiz.de/10005816391
Using business survey data on German manufacturing firms, this paper provides tests for hypotheses that predict distributrional effects in the transmission mechanism of monetary policy. Effects of monetary policy shocks on the business conditions of firms of several size classes are analysed,...
Persistent link: https://www.econbiz.de/10005816413
This paper develops a framework to test alternative market microstructure models of the bid-ask spread. If, on the one hand, information-based models result in bid and ask quotes that are non-Markovian, and the other hand, the Markov property may hold in equilibrium settings where the market...
Persistent link: https://www.econbiz.de/10005697641
Fractionally integrated ARMA (ARFIMA) models are investigated in an Extended version of Nelson and Plosser's (1982) data set.
Persistent link: https://www.econbiz.de/10005697726
The seasonal structure of quarterly U.K. and Japanese consumption and income is examined by means of fractionally-based tests proposed by Robinson (1994). These series were analysed from an autoregressive unit root viewpoint by Hylleberg, Engle, Granger and Yoo (HEGY, 1990) nd Hylleberg, Engle,...
Persistent link: https://www.econbiz.de/10005697754
Multivariate tests of fractionally integrated hypotheses are proposed in this article. They are a natural generalization of the univariate tests of Robinson (1994) for testing unit roots and other nonstationary hypotheses.
Persistent link: https://www.econbiz.de/10005557694
We derive an approximation to the expectation of the likelihood tatio test for cointegration in the vector autoregressive model. The expression depends on moments of functions of random walk, which are tabulated by simulation, and functions of the parameters, which are estimated. From this...
Persistent link: https://www.econbiz.de/10005557708