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Functional cointegration : definition and nonparametric estimation
Pitarakis, Jean-Yves; Banerjee, Anurag Narayan - 2012
Persistent link: https://www.econbiz.de/10009672420
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Money-multiplier shocks
Benati, Luca; Ireland, Peter N. - 2017
Persistent link: https://www.econbiz.de/10011712889
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Cointegration tests and the classical dichotomy
Benati, Luca - 2017
's tests to detect a cointegration relationship significantly deteriorates under two empirically plausible circumstances: (i … ) when, in addition to a cointegration relationship, a system features one or more "nuisance" series - i.e., series driven by … permanent shocks different from those driving the cointegration relationship; and (ii ) when a system features multiple …
Persistent link: https://www.econbiz.de/10011824292
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What drives money velocity?
Benati, Luca - 2017
Since World War II, permanent interest rate shocks have driven nearly all of the fluctuations of U.S. M1 velocity, which is cointegrated with the short rate, and most of the long-horizon variation in the velocity of M2-M1. Permanent velocity shocks specific to M2-M1, on the other hand, have...
Persistent link: https://www.econbiz.de/10011824316
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A new approach to estimating the natural rate of interest
Benati, Luca - 2021
Building upon the insight that M1 velocity is the permanent component of nominal interest rates - see Benati (2020) - I propose a novel, and straightforward approach to estimating the natural rate of interest, which is conceptually related to Cochrane's (1994) proposal to estimate the permanent...
Persistent link: https://www.econbiz.de/10012520193
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A new approach to estimating the natural rate of interest
Benati, Luca - 2022
Building upon the insight that M1 velocity is the permanent component of nominal interest rates - see Benati (2020) - I propose a novel, and straightforward approach to estimating the natural rate of interest, which is conceptually related to Cochrane's (1994a) proposal to estimate the permanent...
Persistent link: https://www.econbiz.de/10013362282
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Response surface regressions for critical value bounds and approximate p-values in equilibrium correction models
Kripfganz, Sebastian; Schneider, Daniel - 2019
Persistent link: https://www.econbiz.de/10011978852
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Monitoring stationarity and cointegration : conference paper
Wagner, Martin; Wied, Dominik - 2014
cointegrating relationship to a spurious regression. The cointegration monitoring procedure is based on residuals from modified …
Persistent link: https://www.econbiz.de/10010484411
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Estimation of possibly non-stationary first-order auto-regressive processes
Martins, Ana Paula - 2016
This paper inspects a grid search algorithm to estimate the AR(1) process, based on the joint estimation of the canonical AR(1) equation along with its reverse form. The method relies on the GLS principle, accounting for the covariance error structure of the special estimable system....
Persistent link: https://www.econbiz.de/10011784570
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Identification and estimation of the environmental Kuznets curve : pairwise differencing to deal with nonlinearity and nonstationarity
Sen, Suphi; Melenberg, Bertrand; Vollebergh, Herman R. J. - 2016
We propose an estimation strategy that accounts for two major problems raised in the empirical literature testing for the prevalence of the inverted U-shaped relation between environmental degradation and economic activity, namely the Environmental Kuznets Curve (EKC) hypothesis. First, we use...
Persistent link: https://www.econbiz.de/10011447524