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Forecasting UK GDP Growth, Inflation and Interest Rates under Structural Change : A Comparison of Models with Time-Varying Parameters
Barnett, Alina - 2012
Evidence from a large and growing empirical literature strongly suggests that there have been changes in inflation and output dynamics in the United Kingdom. This is largely based on a class of econometric models that allow for time-variation in coefficients and volatilities of shocks. While...
Persistent link: https://www.econbiz.de/10013106251
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GDP Growth Predictions Through the Yield Spread. Time-Variation and Structural Breaks
De Pace, Pierangelo - 2011
We use TVP models and real-time data to describe the evolution of the leading properties of the yield spread for output growth in five European economies and in the US over the last decades and until the third quarter of 2010. We evaluate the predictive performance of benchmark term-structure...
Persistent link: https://www.econbiz.de/10013134715
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Analysing the relationship between CO2 emissions and GDP in China : a fractional integration and cointegration approach
Caporale, Guglielmo Maria; Claudio-Quiroga, Gloria; … - In: Journal of innovation and entrepreneurship : JIE 10 (2021), pp. 1-16
Product (GDP) in China by applying fractional integration and cointegration methods. These are more general than the standard … integration being around 2, whilst the cointegration tests (using both standard and fractional techniques) imply that there exists …
Persistent link: https://www.econbiz.de/10012617211
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Economic policy uncertainty : persistence and cross-country linkages
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2020
countries is examined applying a fractional cointegration method which tests for the possible existence of a long …
Persistent link: https://www.econbiz.de/10012219127
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Oil price and economic growth : a long story?
Gadea, María Dolores; Gómez-Loscos, Ana; Montañés, … - In: Econometrics : open access journal 4 (2016) 4, pp. 1-28
This study investigates changes in the relationship between oil prices and the US economy from a long-term perspective. Although neither of the two series (oil price and GDP growth rates) presents structural breaks in mean, we identify different volatility periods in both of them, separately....
Persistent link: https://www.econbiz.de/10011649469
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The impact of foreign direct investment on Namibia’s economic growth : a time series investigation
Sunde, Tafirenyika - In: Cogent economics & finance 11 (2023) 1, pp. 1-15
2020 using the ARDL cointegration method. The results reveal that FDI, the interactive variable of FDI and trade openness …
Persistent link: https://www.econbiz.de/10014500822
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CO2 emissions and GDP : evidence from China
Caporale, Guglielmo Maria; Claudio-Quiroga, Gloria; … - 2019
fractional integration and cointegration methods. The univariate results indicate that the two series are highly persistent …, their orders of integration being around 2, whilst the cointegration tests (using both standard and fractional techniques …
Persistent link: https://www.econbiz.de/10012119768
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The Impact of Education on Economic Growth in Guatemala : A Time-Series Analysis Applying an Error-Correction Methodology
Loening, Josef Ludger - 2003
This paper investigates the impact of human capital on economic growth in Guatemala through the application of an error-correction methodology. Two channels are analyzed, by which human capital is expected to influence growth. A better-educated labor force appears to have a positive and...
Persistent link: https://www.econbiz.de/10014089191
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The effects of foreign direct investments and economic growth on employment and female employment : a time series analysis with structural breaks for Turkey
Umit, A. Oznur; Alkan, H. Isil - In: International journal of business and economic sciences … 9 (2016) 3, pp. 43-49
Carrion-i Silvestre et. al. (2009) unit root test with multiple structural breaks and the cointegration relationship between … variables is tested with Maki (2012) cointegration test with multiple structural breaks. Dynamic ordinary least squares (DOLS …) method is used for estimating cointegration coefficients. Findings – It is revealed with the study that foreign direct …
Persistent link: https://www.econbiz.de/10011593592
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Measuring the natural rate of interest after COVID-19
Holston, Kathryn; Laubach, Thomas; Williams, John C. - 2023
We modify the Laubach-Williams and Holston-Laubach-Williams models of the natural rate of interest to account for time-varying volatility and a persistent COVID supply shock during the pandemic. Resulting estimates of the natural rate of interest in the United States, Canada, and the Euro Area...
Persistent link: https://www.econbiz.de/10014302828