Multi-horizon non-causality testing (Dufour et al., 2006) and multi-horizon causality measurement (Dufour and Taamouti, 2010). We find in both that housing wealth has a more statistically significant, persistent, and widespread impacts than financial wealth on state/aggregate levels. We also...

We generalize the Unobserved Components (UC) model to allow the permanent component to have different dynamics than the transitory components when decomposing US economic activity using a multivariate UC model of (log) output, consumption and investment. We find that these proposed dynamics in...

Harvey, Kellard, Madsen and Wohar (2010, Review of Economics and Statistics, 92, 367-377) contains data construction errors and the reported results are incorrect. This erratum provides the corrected results

Relying on Clive Granger's many and varied contributions to econometric analysis, this paper considers some of the key econometric considerations involved in estimating Taylor type rules for US data. We focus on the roles of unit roots, cointegration, structural breaks, and non-linearities to...

We investigate the order of integration of aggregate wage, price and productivity measures for the USA. Our investigation differs from previous studies as we employ recently developed tests that allow, under the alternative hypothesis, for structural change between periods in which the data are...

This paper employs unit root tests that allow for two endogenously determined structural breaks to study whether or not invention activities are converging across U.S. regions/states. Using U.S. patent data from 1929 to 1997, we find technological beta convergence in six of the nine Census...