We estimate a linear and a piecewise linear Phillips curve model with regional labor market data for West German and Neue Länder. Employing regional observations allows us to country difference the data. This eliminates, under the assumption of homogeneous Länder, supply shocks and changes in...

Multiple structural change tests by Bai and Perron (Econometrica 66:47–78, <CitationRef CitationID="CR2">1998</CitationRef>) are applied to the regression by Demetrescu et al. (Econ Theory 24:176–215, <CitationRef CitationID="CR15">2008</CitationRef>) in order to detect breaks in the order of fractional integration. With this instrument we tackle time-varying inflation...</citationref></citationref>

If an economic relationship is superimposed by a linear time trend, the regression without detrending is misspecified. The estimators of such a regression do not converge to the true parameter values. First, the asymptotic limit arising from such misspecified regressions is characterized....

In this paper, we compare alternative estimation approaches for factor augmented panel data models. Our focus lies on panel data sets where the number of panel groups (N) is large relative to the number of time periods (T). The principal component (PC) and common correlated effects (CCE)...

Latent variables are used to rewrite a wide class of structural vector autoregressive (SVAR) models. The framework is general enough to include as particular cases all just and over-identified models recently used in applied macroeconomics. The latent variables representation can conveniently be...