Showing 1 - 6 of 6
We compare the asymptotic local power of upper-tail unit root tests against an explosive alternative based on ordinary least squares (OLS) and quasi-differenced (QD) demeaning/detrending. We find that under an asymptotically negligible initialisation, the QD-based tests are near asymptotically...
Persistent link: https://www.econbiz.de/10010729462
In this paper we consider testing for a unit root in the possible presence of a trend break at an unknown time. Zivot and Andrews (1992) [Journal of Business and Economic Statistics 10, 251–270] proposed using the infimum of t-ratio Dickey–Fuller statistics across all candidate break points...
Persistent link: https://www.econbiz.de/10010580524
Persistent link: https://www.econbiz.de/10005269743
Persistent link: https://www.econbiz.de/10005361548
This paper provides non-parametric tests of the correspondence between the 'words' on price stability from the ECB President's statement and future interest rate changes. It also indicates the commonality of the signal between these indicators of pressure on price stability.
Persistent link: https://www.econbiz.de/10005269788
The importance of truncated distributions for bias in estimation is demonstrated for a Japanese policy reaction function. Due to the proximity of a zero lower bound (ZLB) on interest rates, coefficient estimates can be biased upwards. This paper illustrates the importance of measuring and...
Persistent link: https://www.econbiz.de/10008474069