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Schmitt-Grohe, Stephanie; Uribe, Martín - 2001

been proposed to induce stationarity. This paper presents a quantitative comparison of these alternative approaches. Five … asset markets; (5) A model without stationarity-inducing features. The main finding of the paper is that all models deliver …

Persistent link: https://www.econbiz.de/10010318376

Are Labor Force Participation Rates Really Non-Stationary? Evidence from Three OECD Countries

Ozdemir, Zeynel Abidin; Balcilar, Mehmet; Tansel, Aysit - 2012

This paper shows that the structural breaks are an important characteristic of the monthly labor force participation rate (LFPR) series of Australia, Canada and the USA. Therefore we allow for endogenously determined multiple structural breaks in the empirical specifications of fractionally...

Persistent link: https://www.econbiz.de/10010500218

On the "utilization controversy": A rejoinder and some comments

Nikiforos, Michalis - 2019

The critique by Gahn and González (2019) of the conclusions in Nikiforos (2016) regarding what data should be used to evaluate whether capacity utilization is endogenous to demand is weak for the following reasons: (i) The Federal Reserve Board (FRB) measure of utilization is not appropriate...

Persistent link: https://www.econbiz.de/10012142987

Testing for Stationarity in Panel Data when Errors are Serially Correlated. Finite-Sample Results

Jönsson, Kristian - 2005

In this paper, we study the small sample properties of the panel data stationarity test of Hadri (2000). We find that … the previously suggested moments, that are to be used when standardizing the panel data stationarity test, cause size … standardizing moments that are to be used in a panel data stationarity test when samples are small and serial correlation in the …

Persistent link: https://www.econbiz.de/10013208476

Finite-Sample Stability of the KPSS Test

Jönsson, Kristian - 2006

in choosing what test implementation to employ when testing for stationarity in small-sample situations. …

Persistent link: https://www.econbiz.de/10013208507

Symbolic stationarization of dynamic equilibrium models

Canova, Fabio; Paulsen, Kenneth Sæterhagen - 2021

Dynamic equilibrium models are specifted to track time series with unit root-like behavior. Thus, unit roots are typically introduced and the optimality conditions adjusted. This step requires tedious algebra and often leads to algebraic mistakes, especially in models with several unit roots. We...

Persistent link: https://www.econbiz.de/10013373825

International business cycle spillovers

Yilmaz, Kamil - 2009

We apply Diebold-Yilmaz spillover index methodology to monthly industrial production indices to study business cycle interdependence among G-6 industrialized countries since 1958. The business cycle spillover index fluctuates substantially over time, increasing especially after the 1973-75,...

Persistent link: https://www.econbiz.de/10010277269

Mean Reversion in EMS Exchange Rates

Mizrach, Bruce - 1996

Time series evidence on exchange rates has been unable to reject the random walk hypothesis. A simple structural model that accounts for target zone nonlinearities provides conclusive evidence of mean reversion in EMS exchange rates.

Persistent link: https://www.econbiz.de/10010334286

Is there a tendency for the rate of profit to fall? Econometric evidence for the US economy, 1948 - 2007

Basu, Deepankar; Manolakos, Panayiotis T. - 2010

The law of the tendential fall in the rate of profit has been at the center of theoretical and empirical debates within Marxian political economy ever since the publication of Volume III of Capital. An important limitation of this literature is the absence of a comprehensive econometric analysis...

Persistent link: https://www.econbiz.de/10010287890