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Are long-run output growth rates falling?
Li, Mengheng; Mendieta-Muñoz, Ivan - 2018
-varying parameter models that incorporate both stochastic volatility and a Heckman-type two-step estimation procedure that deals with …
Persistent link: https://www.econbiz.de/10011823990
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Empirical estimates for the Brazilian total imports equation using quarterly national accounts data (1996-2010)
Gouvêa, Raphael Rocha; Schettini, Bernardo Patta - In: Economia : revista da ANPEC 16 (2015) 2, pp. 250-271
specification needs a better theoretical grounding. Evidence of nonlinearities has been found by different estimation techniques …
Persistent link: https://www.econbiz.de/10011865510
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Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series
Koopman, Siem Jan; Wong, Soon Yip - 2006
model specifications for the parameters are therefore not required. Parameter estimation is carried out in the frequency …
Persistent link: https://www.econbiz.de/10011350381
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More Uncertainty About the Unit Root in U.S. Real Gnp
Rothman, Philip - 1998
Since the seminal work by Nelson and Plosser (1982), ubiquitous evidence in favor of the integration hypothesis across a wide range of macroeconomic and financial time series has been reported in the literature. These results have recently come under attack, however, along several fronts. For...
Persistent link: https://www.econbiz.de/10014066787
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More Uncertainty About the Unit Root in U.S. Real Gnp
Rothman, Philip - 1998
The new KPSS test is used to test the null hypothesis that U.S. real GNP is a trend stationary process. When appropriately sized, the test fails to reject the trend stationary null. This provides an important counter-example to the generic inability to reject the difference stationary null...
Persistent link: https://www.econbiz.de/10014164978
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Comprehensive Time-Series Regression Models Using Gretl — U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013
Shi, Juehui - 2019
Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time...
Persistent link: https://www.econbiz.de/10012904559
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Why Are Bayesian Trend-Cycle Decompositions of U.S. Real GDP So Different?
Kim, Jaeho - 2018
This paper provides an underlying reason for why recent Bayesian trend-cycle decompositions of U.S. real GDP differ despite using identical unobserved components models. We stress that a pitfall in estimating unobserved components models accounts for the divergence in the empirical conclusions....
Persistent link: https://www.econbiz.de/10012934793
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Oil price changes and U.S. real GDP growth : is this time different?
Charfeddine, Lanouar; Klein, Tony; Walther, Thomas - 2018
This paper contributes to the large debate regarding the impact of oil price changes on U.S. GDP growth. Firstly, it replicates empirical findings of prominent studies and finds that the proposed oil price measures have a dissipating effect with recent data up to 2016Q4. Secondly, it re-examines...
Persistent link: https://www.econbiz.de/10011906502
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Modeling Real GDP Per Capita in the USA : Cointegration Test
Kitov, Ivan; Kitov, Oleg; Dolinskaya, Svetlana - 2007
A two-component model for the evolution of real GDP per capita in the USA is presented and tested. The first component … between the growth rate of real GDP per capita and the number of 9-year-olds in the USA is tested for cointegration. For … estimation of the goodness of fit and root mean-square errors, RMSE. The highest R2=0.95 and the best RMSE is obtained in the VAR …
Persistent link: https://www.econbiz.de/10014052234
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A Threshold Model of Real U.S. GDP and the Problem of Constructing Confidence Intervals in TAR Models
Enders, Walter - 2007
We estimate real US GDP growth as a threshold autoregressive process, and construct confidence intervals for the parameter estimates. However, there are various approaches that can be used in constructing the confidence intervals. We construct confidence intervals for the slope coefficients and...
Persistent link: https://www.econbiz.de/10012776370