We examine the properties of the ASA-NBER forecasts for several US macroeconomic variables, specifically: (i) are the actual and forecast series integrated of the same order; (ii) are they cointegrated, and; (iii) is the cointegrating vector consistent with long run unitary elasticity of...

We propose a simple saving-based measure of the cyclical component in GDP. The measure is motivated by the prediction that the represenative consumer changes savings in response to temporary deviations of income from its stochastic trend, while satisfying a present-value budget constraint. To...

Level vector autoregressive (VAR) models and vector error correction models (VECMs) are used extensively in empirical macroeconomic research. However, estimated level VAR models and VECMs may contain explosive roots, which is at odds with the widespread consensus among macroeconomists that roots...

Multiple cointegrating regressions are frequently encountered in empirical work as, for example, in the analysis of panel data. When the equilibrium errors are correlated across equations, the seemingly unrelated regression estimation strategy can be applied to cointegrating regressions to...

This article strives to work out the causal relationship between natural disasters and economic growth in Pakistan. The study empirically tests the linkage using econometric techniques autoregressive distributed lag bound model by Pesaran (2001) and Granger causality test. We develop a proxy for...

Exchange rate forecasts are generated using some popular monetary models of exchange rates in conjunction with several estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following requirements: the forecast and the actual series...

Background: External debt is the loan amount borrowed from the international level,payable with interest and principal. It is the major source of financing budget deficit ina developing country. Debt accumulation for productive investment is a viable strategyfor long-term development. To escape...

An MLE of the unknown parameters of co integrating vectors is presented for systems in which some variables exhibit higher orders of integration, in which there might be deterministic components, and in which the co integrating vector itself might involve variables of differing orders of...

Regime shifts in different economic time series may be interconnected in various ways, some of which are investigated within a Markov-switching modeling framework. We derive restrictions implied by the lead-lag relationship and the conditional independence, estimate the restricted models, and...

Economic historians have been concerned with the evolution of international capital markets over the long run, but empirical testing of market integration has been limited. This paper augments the literature by investigating long- and short-run criteria for capital mobility using time-series and...