Search Results - subject:"median-unbiased"

Econometric issues in the estimation of the natural rate of interest

Buncic, Daniel - In: Economic modelling 132 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014547947

International evidence on time-variation in trend labor productivity growth

Wegmüller, Philipp - 2016

This paper provides international evidence on time-variation in trend productivity growth, based on the dataset for hours worked constructed by Ohanian & Raffo (2012). Applying both the endogenous break tests of Bai & Perron (1998, 2003) and the Stock & Watson (1996, 1998) TVP-MUB methodology,...

Persistent link: https://www.econbiz.de/10011583288

International evidence on time-variation in trend labor productivity growth

Wegmüller, Philipp - 2016 - This version: February 2, 2016

Persistent link: https://www.econbiz.de/10011419488

Econometric issues with Laubach and Williams' estimates of the natural rate of interest

Buncic, Daniel - 2020

behaviour of 'other factor' z(t). I show that their implementation of Stock and Watson's (1998) Median Unbiased Estimation (MUE …

Persistent link: https://www.econbiz.de/10012497749

Econometric issues with Laubach and Williams' estimates of the natural rate of interest

Buncic, Daniel - 2020

behaviour of ‘other factor’ z(t). I show that their implementation of Stock and Watson’s (1998) Median Unbiased Estimation (MUE …

Persistent link: https://www.econbiz.de/10012319202

Testing for Flexible Nonlinear Trends with an Integrated or Stationary Noise Component

Perron, Pierre; Shintani, Mototsugu; Yabu, Tomoyoshi - Vanderbilt University Department of Economics - 2015

This paper proposes a new test for the presence of a nonlinear deterministic trend approximated by a Fourier expansion in a univariate time series for which there is no prior knowledge as to whether the noise component is stationary or contains an autoregressive unit root. Our approach builds on...

Persistent link: https://www.econbiz.de/10011261648

The Out-of-sample Performance of an Exact Median-Unbiased Estimator for the Near-Unity AR(1) Model

Medel, Carlos; Pincheira, Pablo - Volkswirtschaftliche Fakultät, … - 2015

near-unity context. We focus on the Andrews' (1993) exact median-unbiased estimator (BC), the OLS estimator, and the …

Persistent link: https://www.econbiz.de/10011195671

International evidence of time-variation in trend labor productivity growth

Glocker, Christian; Wegmueller, Philipp - In: Economics letters 167 (2018), pp. 115-119

Persistent link: https://www.econbiz.de/10012016512

Median-Unbiased Estimation in DF-GLS Regressions and the PPP Puzzle

Lopez, C.; Murray, C J.; Papell, D H. - Banque de France - 2011

Using median-unbiased estimation based on Augmented-Dickey-Fuller (ADF) regressions, recent research has questioned the … extend median-unbiased estimation to the DF-GLS regression of Elliott, Rothenberg, and Stock (1996). We find that combining … median-unbiased estimation with this regression has the potential to tighten confidence intervals for the half-lives. Using …

Persistent link: https://www.econbiz.de/10009228696

The out-of-sample performance of an exact median-unbiased estimator for the near-unity AR(1) model

Medel, Carlos A.; Pincheira, Pablo - In: Applied economics letters 23 (2016) 1/3, pp. 126-131

Persistent link: https://www.econbiz.de/10011414456