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Testing the Nominal-to-Real Transformation.
Kongsted, Hans Christian - Økonomisk Institut, Københavns Universitet - 2002
Nominal-to-real data transformations are routinely used in empirical work. A common example is the transformation of … nominal money and prices to real money and the rate of inflation. This paper establishes the necessary and sufficient …-scale simulation experiment. An empirical example illustrates the need to test the nominal-to-real transformation. …
Persistent link: https://www.econbiz.de/10005225498
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Did US consumers 'save for a rainy day' before the Great Recession?
Anundsen, André Kallåk; Nymoen, Ragnar - 2015
The 'saving for a rainy day' hypothesis implies that households' saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...
Persistent link: https://www.econbiz.de/10010518800
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Economic regime shifts and the US subprime bubble
Anundsen, André Kallåk - 2013
results indicate that these imbalances could have been detected with the aid of real time econometric modeling. These results … of financing. -- cointegration ; regime shifts ; US housing bubble ; subprime lending ; bubble indicator …
Persistent link: https://www.econbiz.de/10009704286
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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016
There are a number of econometrics tools to deal with the different types of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011554319
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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016
There are a number of econometrics tools to deal with the different type of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011499608
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Economic regime shifts and the US subprime bubble
Anundsen, André Kallåk - 2013
results indicate that these imbalances could have been detected with the aid of real time econometric modeling. These results …
Persistent link: https://www.econbiz.de/10010330263
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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - In: Economics: The Open-Access, Open-Assessment E-Journal 10 (2016) 2016-26, pp. 1-41
There are a number of econometrics tools to deal with the different types of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011555274
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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016
There are a number of econometrics tools to deal with the different type of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011500010
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Did US Consumers 'Save for a Rainy Day' Before the Great Recession?
Anundsen, André Kallåk; Nymoen, Ragnar - 2015
The ‘saving for a rainy day’ hypothesis implies that households’ saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...
Persistent link: https://www.econbiz.de/10010531814
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Regional US House Price Formation: One Model Fits All?
Anundsen, André K.; Heebøll, Christian - 2014
Does a "one model fits all" approach apply to the econometric modeling of regional house price determination? To answer this question, we utilize a panel of 100 US Metropolitan Statistical Areas over the period 1980q1-2010q2. For each area we estimate a separate cointegrated VAR model, focusing...
Persistent link: https://www.econbiz.de/10012143846