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Testing Weak Exogeneity in Cointegrated System

Chiying, Hsiao; Pu, Chen - Econometric Society - 2004

This paper develops a limiting theory for Wald tests of weak exogeneity in error correction models (ECMs). It is well known that Wald statistics on cointegrated systems may involve nonstandard distribution and nuisance parameters, if $I(1)$ variables are not negligible in the statistics. To...

Persistent link: https://www.econbiz.de/10005086413

The US Phillips Curve and inflation expectations: A State Space Markov-Switching explanatory model

Million, Nicolas; Guerrero, Guillaume - Econometric Society - 2004

This paper proposes a new empirical representation of US inflation expectations in a Stace-Space Markov-Switching framework in order to identify the expectations regimes which are associated with short and long term Phillips curves. Results suggest that the dynamics of inÂ‡ation expectation...

Persistent link: https://www.econbiz.de/10005086423

Business Cycles and Macroeconomic Policy Coordination in Mercosur

Gonzalez-Rozada, Martin; Fanelli, Jose Maria - Econometric Society - 2004

explaining regional output comovements and the spillover effects between neighbors are significant. Second, volatility matters … than in the US and European countries. Third, finance matters for both volatility and output/price dynamics. Accelerator …

Persistent link: https://www.econbiz.de/10005063563

Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature

Lund, Jesper; Andersen, Torben G.; Benzoni, Luca - Econometric Society - 2004

-factor settings with latent variables that are readily interpreted as the conditional mean and volatility of the interest rate, and … perform illustrative calibrations for the yield curve. We select a three-factor specification featuring stochastic volatility ….S. short rate dynamics. The inclusion of the stochastic volatility factor is critical, whereas the stochastic mean offers a …

Persistent link: https://www.econbiz.de/10005063579

Statistical Models for High Frequency Security Prices

Oomen, Roel C.A. - Econometric Society - 2004

This article studies two extensions of the compound Poisson process with iid Gaussian innovations which are able to characterize important features of high frequency security prices. The first model explicitly accounts for the presence of the bid/ask spread encountered in price-driven markets....

Persistent link: https://www.econbiz.de/10005063597

Conditional Inference in Cointegrating Vector Autoregressive Models

Mavroeidis, Sophocles; Garderen, Kees Jan van - Econometric Society - 2004

A Vector Autoregressive model (VAR) with normally distributed innovations is a Curved Exponential Model (CEM). Cointegration imposes further curvature on the model and this means that in addition to the important reasons for conditioning in non-stationary time series as given by Johansen (1995,...

Persistent link: https://www.econbiz.de/10005063620

Models of foreign exchange intervention: Estimation and testing

Brown, Bryan W.; Hodgson, Douglas J. - Econometric Society - 2004

We propose a general non-linear simultaneous equations framework for the econometric analysis of models of intervention in foreign exchange markets by central banks in response to deviations of exchange rates from possibly time-varying target levels. We consider efficient estimation of possibly...

Persistent link: https://www.econbiz.de/10005063625

Robustness of a semiparametric estimator of a copula

Silvapulle, Param; Kim, Gunky; Silvapulle, Mervyn J. - Econometric Society - 2004

Copulas offer a convenient way of modelling multivariate observations and capturing the intrinsic dependence between the components of a multivariate random variable. A semiparametric method for estimating the dependence parameters of copulas was proposed by Genest, Ghoudi and Rivest (1995), in...

Persistent link: https://www.econbiz.de/10005063630

The Consequences of Systematic Sampling on Granger Causality

Abeysinghe, Tilak; Rajaguru, Gulasekaran - Econometric Society - 2004

In applied econometric literature, the causal inferences are often made based on highly temporally aggregated or systematically sampled data. A number of theoretical studies have pointed out that temporal aggregation has distorting effects on causal inference and systematic sampling preserves...

Persistent link: https://www.econbiz.de/10005063635

The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners

Roca, Eduardo D.; Hatemi-J, Abdulnasser - Econometric Society - 2004

We examine the equity market price interdependence between Australia, on one hand, and Japan, US, UK, Hong Kong, Singapore, Taiwan and Korea, on the other hand, based on Hacker and Hatemi-J (2003) bootstrap causality tests with leveraged adjustments. We cover the period January 1, 1993 to...

Persistent link: https://www.econbiz.de/10005063637