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Volatility, Financial Development and the Natural Resource Curse

Poelhekke, Steven; van der Ploeg, Frederick - C.E.P.R. Discussion Papers - 2007

Cross-country evidence is presented on resource dependence and the link between volatility and growth. First, growth … depends negatively on volatility of unanticipated output growth independent of initial income per capita, the average … growth. Second, the adverse effect of resources on growth operates primarily through higher volatility. The positive effect …

Persistent link: https://www.econbiz.de/10005123919

Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and EU Using Indirect Inference

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - C.E.P.R. Discussion Papers - 2009

We examine a two country model of the EU and the US. Each has a small sector of the labour and product markets in which there is wage/price rigidity, but otherwise enjoys flexible wages and prices with a one quarter information lag. Using a VAR to represent the data, we find the model as a whole...

Persistent link: https://www.econbiz.de/10004973965

Small sample performance of indirect inference on DSGE models

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - C.E.P.R. Discussion Papers - 2015

power of the indirect inference test is by far the greater, necessitating re-estimation to ensure that the model is tested … in its fullest sense. We also find that the small-sample bias with indirect estimation is around half of that with … maximum likelihood estimation. …

Persistent link: https://www.econbiz.de/10011165662

Testing macroeconomic models by indirect inference on unfiltered data

Meenagh, David; Minford, Patrick; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2012

We extend the method of indirect inference testing to data that is not filtered and so may be non-stationary. We apply the method to an open economy real businss cycle model on UK data. We review the method using a Monte Carlo experiment and find that it performs accurately and has good power.

Persistent link: https://www.econbiz.de/10011083255

Testing for Granger Causality with Mixed Frequency Data

Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji - C.E.P.R. Discussion Papers - 2013

It is well known that temporal aggregation has adverse effects on Granger causality tests. Time series are often sampled at different frequencies. This is typically ignored, and data are merely aggregated to the common lowest frequency. We develop a set of Granger causality tests that explicitly...

Persistent link: https://www.econbiz.de/10011083986

Testing DSGE models by Indirect inference and other methods: some Monte Carlo experiments

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick; … - C.E.P.R. Discussion Papers - 2012

far the greatest, necessitating re-estimation by indirect inference to ensure that the model is tested in its fullest …

Persistent link: https://www.econbiz.de/10011084212

How important is the credit channel? An empirical study of the US banking crisis

Liu, Chunping; Minford, Patrick - C.E.P.R. Discussion Papers - 2012

We examine whether by adding a credit channel to the standard New Keynesian model we can account better for the behaviour of US macroeconomic data up to and including the banking crisis. We use the method of indirect inference which evaluates statistically how far a model’s simulated behaviour...

Persistent link: https://www.econbiz.de/10011084294

Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series

Ghysels, Eric; Miller, J. Isaac - C.E.P.R. Discussion Papers - 2013

We examine the effects of mixed sampling frequencies and temporal aggregation on standard tests for cointegration. We find that the effects of aggregation on the size of the tests may be severe. Matching sampling schemes of all series generally reduces size, and the nominal size is obtained when...

Persistent link: https://www.econbiz.de/10011084358

Testing Equilibrium Multiplicity in Dynamic Games

Otsu, Taisuke; Pesendorfer, Martin; Takahashi, Yuya - C.E.P.R. Discussion Papers - 2014

This paper proposes several statistical tests for finite state Markov games to examine the null hypothesis that the data are generated from a single equilibrium. We formulate tests of (i) the conditional choice and state transition probabilities, (ii) the steady-state distribution, and (iii) the...

Persistent link: https://www.econbiz.de/10011084649

Testing Unilateral and Bilateral Link Formation

Comola, Margherita; Fafchamps, Marcel - C.E.P.R. Discussion Papers - 2009

The literature has shown that network architecture depends crucially on whether links are formed unilaterally or bilaterally, that is, on whether the consent of both nodes is required for a link to be formed. We propose a test of whether network data is best seen as an actual link or willingness...

Persistent link: https://www.econbiz.de/10005048556