Search Results - subject:"parameter constancy"

Econometric Analysis of Currency Substitution: A Case of Latvia

Sarajevs, Vadims - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2000

The paper provides a comprehensive econometric analysis of currency substitution for Latvia. Rather than drawing inferences on the degree of currency substitution from domestic money demand modelling, the most common approach to empirical analysis of the phenomenon, direct modelling of currency...

Persistent link: https://www.econbiz.de/10005648637

Modelling the Demand for Imports and Domestic Output

Naug, Bjørn E. - 1999

The paper models domestic output over imports in Norway's expenditure on manufactures. Using Johansen's (1988, 1991) method, we obtain a cointegrating vector between the output-imports ratio, relative prices and a proxy for international specialisation. This vector enters a conditional...

Persistent link: https://www.econbiz.de/10011968014

The Demand for Labour and the Lucas Critique. Evidence from Norwegian Manufacturing

Boug, Pål - 1999

capital). Next, we develop a conditional labour demand model that exhibits parameter constancy. In addition to equilibrium …

Persistent link: https://www.econbiz.de/10011968026

The Demand for Labour and the Lucas Critique. Evidence from Norwegian Manufacturing

Boug, Pål - Statistisk Sentralbyrå, Government of Norway - 1999

capital). Next, we develop a conditional labour demand model that exhibits parameter constancy. In addition to equilibrium …

Persistent link: https://www.econbiz.de/10004980806

Goodness of fit for the constancy of a classical statistical model over time

Koning, Koning, A.J. - Faculteit der Economische Wetenschappen, Erasmus … - 1999

The classical statistical model relates to n independent random variables having a common distribution. In this paper we consider the situation where the common distribution involves an unknown parameter, and where at time 0t 1 only the first [nt] random variables are observed. The innovation...

Persistent link: https://www.econbiz.de/10011149281

Is the short-run Phillips curve nonlinear? Empirical evidence for Australia, Sweden and the United States

Eliasson, Ann-Charlotte - Economics Institute for Research (SIR), … - 1999

and parameter constancy. The nonlinear alternative is specified as a smooth transition regression model. It turns out that …

Persistent link: https://www.econbiz.de/10005649126

Smooth transitions in a UK consumption function

Eliasson, Ann-Charlotte - Economics Institute for Research (SIR), … - 1999

This paper reconsiders the equilibrium correction model of nondurable consumption in the UK by Davidson et al. (1978), denoted DHSY. The DHSY model fails outside the original observation period and several studies claim that this is due to neglected nonlinearities or time-varying parameters....

Persistent link: https://www.econbiz.de/10005649395

Detecting equilibrium correction with smoothly time-varying strength

Eliasson, Ann-Charlotte - Economics Institute for Research (SIR), … - 1999

existing tests of no cointegration and parameter constancy. Smooth transition regressions are chosen to describe the … nonlinearity and the Johansen cointegration test and the Lin and Teräsvirta parameter constancy test are applied. It turns out that … variables freely enter the model in levels. The power of the parameter constancy test for the unrestricted cointegration is …

Persistent link: https://www.econbiz.de/10005207206

Goodness of fit for the constancy of a classical statistical model over time

Koning, A.J. - Erasmus University Rotterdam, Econometric Institute - 1999

Persistent link: https://www.econbiz.de/10008584787

Modelling the Demand for Imports and Domestic Output

Naug, Bjørn E. - Statistisk Sentralbyrå, Government of Norway - 1999

The paper models domestic output over imports in Norway’s expenditure on manufactures. Using Johansen’s (1988, 1991) method, we obtain a cointegrating vector between the output-imports ratio, relative prices and a proxy for international specialisation. This vector enters a conditional...

Persistent link: https://www.econbiz.de/10008462719