Search Results - subject:"STATIONARITY"

Macroeconomic Interdependence under Incomplete Markets

Ghironi, Fabio - Department of Economics, Boston College - 2000

I develop a tractable, two-country, real model of macroeconomic interdependence with a role for net foreign asset dynamics. Absence of Ricardian equivalence in an overlapping generations structure ensures existence of a well-defined, endogenously determined, steady-state, international...

Persistent link: https://www.econbiz.de/10004968825

Understanding Macroeconomic Interdependence: Do We Really Need to Shut Off the Current Account?

Ghironi, Fabio - Department of Economics, Boston College - 2000

transmission of shocks. I solve the stationarity problem of incomplete markets, open economy models by adopting an overlapping …

Persistent link: https://www.econbiz.de/10004968847

Testing for long-run homogeneity in the Linear Almost Ideal Demand System An application on Norwegian quarterly data for non-durables

Skjerpen, Terje; Swensen, Anders Rygh - Statistisk Sentralbyrå, Government of Norway - 2000

We consider testing for long-run homogeneity within a dynamic consumer demand system allowing for non-stationarities. The static long-run solution is assumed to follow the Linear Almost Ideal Demand System and we test for long-run homogeneity within this system utilizing a triangular...

Persistent link: https://www.econbiz.de/10004980567

Reducing size distortions of parametric stationarity tests

Lanne, Markku; Saikkonen, Pentti - Sonderforschungsbereich 373, Quantifikation und … - 2000

The use of asymptotic critical values in stationarity tests against the alternative of a unit rot process is known to …

Persistent link: https://www.econbiz.de/10010956373

Stationarity and memory of ARCH models

Zaffaroni, Paolo - London School of Economics (LSE) - 2000

Sufficient conditions for strict stationarity of ARCH(8) are established, without imposing covariance stationarity and …-negativity constraints are imposed. Second, we show the necessary and sufficient conditions for covariance stationarity of ARCH(8), both for … the levels and the squares. These prove to be much stronger than the strict stationarity conditions. The covariance …

Persistent link: https://www.econbiz.de/10010746506

Towards New Open Economy Macroeconometrics

Ghironi, Fabio - Department of Economics, Boston College - 2000

I estimate the structural parameters of a small open economy model using data from Canada and the United States. The model improves upon the recent literature in open economy macroeconomics from an empirical perspective. I estimate parameters by using non-linear least squares at the...

Persistent link: https://www.econbiz.de/10005074069

Stationarity and Memory of ARCH Models

Zaffaroni, Paolo - Suntory and Toyota International Centres for Economics … - 2000

Persistent link: https://www.econbiz.de/10005310355

Testing for Output Convergence: A Re-Examination

Cheung, Yin-Wong; Pascual, Antonio I. Garcia - CESifo - 2000

highlight some potential problems on interpreting results from some typical multivariate unit root and stationarity tests. …

Persistent link: https://www.econbiz.de/10005181495

Time-Consistent Policies

Karp, Larry; Lee, In Ho - Department of Agricultural and Resource Economics, … - 2000

In many cases the optimal open-loop policy to influence agents who solve dynamic problems is time-inconsistent. We show how to construct a time-consistent open-loop policy rule. We also consider an additional restriction under which the time-consistent open-loop policy is stationary. We use...

Persistent link: https://www.econbiz.de/10010537404

Relation éducation croissance économique au Maroc Long terme ou court terme?

bouoiyour, jamal - Volkswirtschaftliche Fakultät, … - 2000

The aim of this paper is to shed light on the relationship between education and growth in Morocco. Econometric tools (Granger-causality tests and cointegration) was used to evaluate the existence and direction of the relationship. The results show a significant short-term causality between...

Persistent link: https://www.econbiz.de/10008855555