In this paper, we examine parameter identification in the hybrid specification of the New Keynesian Phillips Curve proposed by Gali and Gertler [Gali, J., Gertler, M., 1999. Inflation dynamics: a structural econometric analysis. Journal of Monetary Economics 44, 195-222]. We employ recently...

Model averaging (MA) estimators in the linear instrumental variables regression framework are considered. The obtaining of weights for averaging across individual estimates by direct smoothing of selection criteria arising from the estimation stage is proposed. This is particularly relevant in...

A new approach to detect persistence change in fractionally integrated models based on recursive forward and backward estimation of regression-based Lagrange Multiplier tests is proposed. This procedure generalizes approaches for conventional integrated processes to the fractional integration...

International equity markets linkages are characterized by nonlinear dependence and asymmetries. We investigate shifts in long run comovements in stock markets by means of an ‘interrupted’ Markov switching cointegration specification. This flexible approach allow us to study to what extent...