This paper provides a comprehensive Monte Carlo comparison of different finite-sample biascorrection methods for autoregressive processes. We consider situations where the process is either mildly explosive or has a unit root. The case of highly persistent stationary is also studied. We compare...

The paper investigates the link between domestic demand pressure and exports by considering an error correction dynamic panel model for eleven euro area countries over the last two decades. The results sug- gest that there is a statistically signi cant substitution e ect between domestic and...

GARCH specifications have been widely applied in financial literature and practice. For purposes of (Quasi) ML (QML) estimation innovations to GARCH processes are assumed identically and independently distributed (iid) with mean zero and unit variance. In this note GARCH innovations entering...

Structural change affects the estimation of economic signals, like the underlying growth rate or the seasonally adjusted series. An important issue, which has attracted a great deal of attention also in the seasonal adjustment literature, is its detection by an expert procedure. The general to...

A growing strand of literature argues that the financial cycle is considerably longer and larger than the business cycle and that its importance is increasing over time. This paper proposes an empirical approach which is suitable to test these hypotheses. We parametrically estimate the whole...

Normality testing is an evergreen topic in statistics and econometrics and other disciplines. The paper focuses on testing economic time series for normality in a robust way, taking specific data features such as serial dependence and time-varying volatility into account. Here, we suggest tests...

We argue that, under certain conditions, firms consider exports as a substitute for domestic demand. Our econometric model for six euro area countries suggests domestic demand and capacity constraints as additional variables for export equations. We apply the exponential and logistic variant of...

We use National Bank of New Zealand Regional Economic Activity data, to identify and characterise classical business cycle turning points, for New Zealand’s 14 regions and aggregate New Zealand activity. Using Concordance statistic measures, logistic model and GMM estimation methods,...

The so-called Cauchy estimator uses the sign as instrument for the first lag in autoregressions, and the resulting t-type statistic has a standard normal distribution even in the unit root case. Thus, nonstandard asymptotics of the usual unit root tests such as the augmented Dickey-Fuller [ADF]...

The paper analyzes leading indicators for GDP and industrial production in Germany. We focus on the performance of single and pooled leading indicators during the pre-crisis and crisis period using various weighting schemes. Pairwise as well as joint significant tests are used to evaluate single...