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Age-Dependent Multi-Cohort Affine Mortality Model with Cohort Correlation

Zhou, Yuxin; Garces, Len Patrick; Shen, Yang; Sherris, … - 2023

rates and correlation between cohorts. We propose and compare two classes of age-dependent mortality models, namely the age … the cohort. Thus, our models admit an analytical form for the instantaneous correlation between mortality rates of … between cohorts for varying age differences. Our results show that, under most circumstances, the correlation between cohorts …

Persistent link: https://www.econbiz.de/10014359402

Did US consumers 'save for a rainy day' before the Great Recession?

Anundsen, Andre K.; Nymore, 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/10011335600

Economic regime shifts and the US subprime bubble

Anundsen, André Kallåk - 2013

Using aggregate quarterly data for the period 1975q1-2010q4, I find that the US housing market changed from a stable regime with prices determined by fundamentals, to a highly unstable regime at the beginning of the previous decade. My results indicate that these imbalances could have been...

Persistent link: https://www.econbiz.de/10010330263

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

Testing for Structural Breaks

Gregory, Allan W.; Nason, James M. - 1991

to the tests of Hansen, we consider the sensitivity of the augmented Dicky-Fuller (ADF) teest for cointegration in the … failure to reject the null of no cointegration). As a practical example we consider the stability of the long-run coefficients …

Persistent link: https://www.econbiz.de/10011940489

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

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