Similar Search Results

The Effect of Linear Time Trends on Cointegration Testing in Single Equations

Hassler, Uwe - 2002

cointegration too often. The correct limiting distribution theory of regressions without detrending in the presence of integrated …

Persistent link: https://www.econbiz.de/10010323697

Demographic Change and Partial Funding: Is the Swedish pension reform a role model for Germany?

Jagob, Jochen; Sesselmeier, Werner - 2000

With the exception of Ireland most OECD countries can be described by a similar demographic development which forces the welfare state to reform their social security systems and especially their pension systems. The populations of all the member states are shrinking and getting older. This...

Persistent link: https://www.econbiz.de/10010323701

Seasonal Unit Root Tests under Structural Breaks

Hassler, Uwe; Rodrigues, Paulo M. M. - 2002

In this paper, several seasonal unit root tests are analysed in the context of structural breaks at known time and a new break corrected test is suggested. We show that the widely used HEGY test as well as an LM variant thereof are asymptotically robust to seasonal mean shifts of finite...

Persistent link: https://www.econbiz.de/10010323702

Search Unemployment in a Dynamic New Keynesian Model of the Business Cycle

Gerke, Rafael; Rubart, Jens - 2003

The monetary transmission mechanism plays an important role in studying the effects of monetary policy on the real side of the economy. At least since Chari et al. (2000) it is generally accepted that new keynesian models of the business cycle display a persistence problem. In this paper, we...

Persistent link: https://www.econbiz.de/10010323703

A Residual-Based LM Test for Fractional Cointegration

Hassler, Uwe; Breitung, Jörg - 2002

Nonstationary fractionally integrated time series may possibly be fractionally cointegrated. In this paper we propose a test for the null hypothesis of no cointegration. It builds on a static cointegration regression of the levels of the variables as a first step. In a second step, a univariate...

Persistent link: https://www.econbiz.de/10010323708

Residual Log-Periodogram Inference for Long-Run Relationships

Hassler, Uwe; Marmol, Francesc; Velasco, Carlos - 2002

that guarantee consistent estimation of persistence from residuals. At the same time limiting normality is derived, which … several regressors we consider the joint estimation of the memory parameters of the observed series and of the equilibrium …

Persistent link: https://www.econbiz.de/10010323712

Preisträgheit und reale Wechselkursdynamik. Die Persistenz realer Wechselkurse in dynamischen stochastischen Gleichgewichtsmodellen

Heil, Volker - 2003

Dieses Arbeitspapier untersucht Erklärungen für das hohe Mass an Persistenz und Volatilität des realen Wechselkurses. Dabei wird dem Ansatz gefolgt, dass die Schwankungen des realen Wechselkurses zurückzuführen sind auf exogene Schocks in Interaktion mit trägen Güterpreisen. Der Fokus...

Persistent link: https://www.econbiz.de/10010323721

Entscheidungsregeln und ihr Einfluss auf den Aktienkurs

Trifan, Emanuela - 2004

Der vorliegende Beitrag quantifiziert anhand eines Marktmikrostruktur-Modells mit asymmetrischer Information den Einfluss der Anwender praktischer Entscheidungsregeln auf die Aktienkurse. Letztere werden als unvollständig informierte Anleger betrachtet. Neben diesen Anlegern agieren auf dem...

Persistent link: https://www.econbiz.de/10010323722

Marktstruktur, Wettbewerb und Innovation

Caspari, Volker - 2001

Persistent link: https://www.econbiz.de/10010323724

"To use the words of Keynes...": Olivier J. Blanchard on Keynes and the "Liquidity Trap"

Barens, Ingo - 2011

interest, is seen as one of Keynes's important and lasting contributions to economic theory and to the understanding of the …).3 Unfortunately, the account given there of a supposed connection between Keynes's analysis in his General Theory of Employment … before the publication of Keynes's General Theory of Employment, Interest and Money. …

Persistent link: https://www.econbiz.de/10010323726