This paper introduces a representation of an integrated vectortime series in which the coefficient of multiple correlation computed fromthe long-run covariance matrix of the innovation sequences is a primitiveparameter of the model. Based on this representation, a notion of nearcointegration is...

This paper investigates the finite-sample properties of the smooth transition-based cointegration test proposed by Kapetanios et al. (2006) when the data generating process under the alternative hypothesis is a globally stationary second order LSTR model. The provided procedure describes an...

Empirical support for the long-run Fisher effect, a hypothesis that a permanent change in inflation leads to an equal change in the nominal interest rate, has been hard to come by. This paper provides a plausible explanation of why past studies have been unable to find support for the long-run...

It has become customary to estimate the New Keynesian Phillips Curve (NKPC) with GMM using a large instrument set that includes lags of variables that are ad hoc to the model. Researchers have also conventionally used real unit labor cost (RULC) as the proxy for real marginal cost, even though...

Wage premia related to union membership and coverage are examined over 1991-2003, a period involving first decline, then stabilization, of unionization. Differences in union premia across workers and over time are studied using individual-level British Household Panel Survey data and quantile...

In this paper we analyze the trend of the gender gap between wives and husbands for Mediterranean countries with a strong family tradition, using data from the European Household Panel (ECHP) of 2001 and the European Survey on Income and Living Conditions (EU-SILC) of 2006. In general, wives and...

Instrumental variables estimates of the effect of military service on subsequent civilian earnings either omit schooling or treat it as exogenous. In a more general setting that also allows for the treatment of schooling as endogenous, we estimate the veteran effect for men who were born between...

This paper focuses on the observed empirical relationship between fiscal rules and budget deficits, and examines whether this correlation is driven by an omitted variable, namely voter preferences. We make use of two different estimation methods to capture voter preferences in a panel of Swiss...

Current empirical growth models limit the determinants of country growth to geographic, economic, and institutional variables. This study draws on conflict variables from the Correlates of War (COW) project to ask a critical question: How do different types of conflict affect country growth...

Our paper addresses the correction of the aggregation bias in linear rational expectations models when there is some unobserved micro-parameter heterogeneity and only macro data are available. Starting from Lewbel (1994), we propose two new consistent estimators, which rely on a exible...