We propose in this article the use of the Quasi Maximum Likelihood Estimate of Robinson (QMLE, 1995a) for estimating the fractional differencing parameter in the real output and in the growth rate series of France, Italy and the U.K. This method is semiparametric and is robust to the different...

This paper uses an infinite hidden Markov model (IHMM) to analyze U.S. inflation dynamics with a particular focus on the persistence of inflation. The IHMM is a Bayesian nonparametric approach to modeling structural breaks. It allows for an unknown number of breakpoints and is a flexible and...

This paper develops a wavelet (spectral) approach to estimate the parameters of a linear regression model where the regressand and the regressors are persistent processes and contain a measurement error. We propose a wavelet filtering approach which does not require instruments and yields...

A recursive test procedure is suggested that provides a mechanism for testing explosive behavior, date-stamping the origination and collapse of economic exuberance, and providing valid con?dence intervals for explosive growth rates. The method involves the recursive im- plementation of a...

The purpose of this comment is a critical evaluation of the empirical analysis made by Cresti (2005) and her finding that commercial barter behaves differently than corporate barter during the course of business cycles. Here, we correct the arbitrary replacement of the missing observations by...

This note examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The...

In this paper we present an empirically stable euro area money demand model. Using a sample period until 2009:2 shows that the current financial and economic crisis that started in 2007 does not appear to have any noticeable impact on the stability of the euro area money demand function. We also...

In this paper we tested whether the hypothesis of tax-spend, spend-tax, or fiscal synchronization applies to the 31 Chinese provinces using cross-sectional and time series data covering 1999 to 2005. The interaction between government revenues and government expenditures is tested with the newly...

The subject of this paper is the estimation of the Phillips relation ¡V the inflation-output gap tradeoff ¡V for ASEAN countries. Unobserved component (UC) models are employed in order to extract the output gap from GDP data. We also obtain stylised facts on macroeconomic cycles namely, (i)...

This letter investigates the presence of asymmetric dynamics in the behaviour of the current account as emphasized in recent theoretical contributions. We estimate a Markov switching model for long-horizon current account to GDP data for six countries and find substantial asymmetries in the...