This paper develops a system instrumental variable method to estimate the speed of adjustment coefficient in the long-run equilibrium of structural error correction models for a class of linear rational expectations models. This method is applied to an exchange rate model with sticky prices, in...

We study the implicit tax incidence of raising state revenue through a monopoly state-run lottery using a new dataset on individual Minnesota lottery game sales by zip code. We use the bootstrap to compute SEs and construct confidence intervals for Suits Indices of seven lottery products. We...

This paper examines whether inflation targeting (IT) influences purchasing power parity (PPP) by a bias correction approach under cross-sectional dependence. The recursive mean adjustment (RMA) method proposed by So and Shin (1999) and Shin and So (2001) is employed to correct a downward bias...

Forecasting sales and demand over 6–24 month horizon is crucial for planning the production processes of automotive and other complex product industries (e.g., electronics and heavy equipment) where typical concept-to-release times are 12–60 month long. However, nonlinear and nonstationary...

When univariate methods are applied to real exchange rates, point estimates of autoregressive coefficients typically imply very slow rates of mean reversion. Rogoff (1996) discusses that the remarkable consensus of 3-5 year half-lives of purchasing power parity (PPP) deviations is found among...

This paper examines the convergence question by contrasting the half-lives of deviations across the producer price index (PPI) and consumer price index (CPI) in a bivariate error correction model. To improve efficiency, the models are estimated jointly using a seemingly unrelated regressions...

Error correction models are widely used to estimate dynamic cointegrated systems. In most applications error correction models are reduced form models. As a result, non-structural speed of adjustment coefficients are estimated in these applications. A single equation instrumental variable method...