104 datasets found

This paper provides a framework for building and estimating non-linear real exchange rate models. The approach derives the stationary distribution from a continuous time error...

This paper develops two conditionally heteroscedastic models which allow an asymmetric reaction of the conditional volatility to the arrival of news. Such a reaction is induced...

In this paper we examine a model of cointegration where long-run parameters are subject to switching between several different cointegrating regimes. These shifts are allowed to...

Cross-validation is a method used to estimate the expected prediction error of a model. Such estimates may be of interest in themselves, but their use for model selection is...

Using sequential trend break and panel data models, we investigate the unit root hypothesis for the inflation rates of thirteen OECD countries. With individual country tests, we...

This study examines the relationship between specifications for long-run output patterns and specifications for business cycle dynamics. In an application to US GDP, it is found...

I derive the dynamic full Laurent model to estimate economic models that assume a dynamic process. The application in this paper is to use the dynamic full Laurent to estimate a...

In this paper an empirically stable money demand model for M3 in Germany is presented. The sample period 1975-94 includes German unification. It is shown that this development...

We present a general class of nonlinear time-series Markov regime-switching models for seasonal data which may exhibit periodic features in the hidden Markov process as well as...

One of the stylized facts of unemployment is that shifts in its mean rate between decades and half-decades account for most of its variance. In this paper, we use a statistical...

Index-futures arbitragers only enter into the market if the deviation from the arbitrage relation is sufficiently large to compensate for transaction costs and associated...

This paper gauges the relative contribution of risk aversion, inter-temporal substitution and taste shocks on postwar monthly US equity premia. The time-varying consumption,...

In two recent papers, Granger and Ding (1995a,b) considered long return series that are first differences of logarithmed price series or price indices. They established a set of...

To study non-durable import demand, we extend previous work done by Clarida (1994) and Ceglowski (1991) by considering a two-good version of the lifecycle model in which we...

This paper considers econometric issues related to time-series data that have been subject to abrupt governmental interventions. The motivating example for this study is the...

A time-varying parameter model with Markov-switching conditional heteroscedasticity is employed to investigate two sources of shifts in real interest rates: (1) shifts in the...

In this paper we investigate the multi-period forecast performance of a number of empirical self-exciting threshold autoregressive (SETAR) models that have been proposed in the...

This paper addresses the problem of testing for the presence of a stochastic bubble in a time series in the case that the bubble is periodically collapsing so that the asset...

This paper derives a method for estimating and testing the Linear Quadratic Adjustment Cost (LQAC) model when the target variable and some of the forcing variables follow I(2)...

When estimating hedonic models of housing prices, the use of time series cross-section repeat sales data can provide improvements in estimator efficiency and correct for...