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A Pedagogical Note on the Long Run of Macro Economic Models

McAdam, Peter - School of Economics, University of Kent - 1998

estimated macro economic models. It defines some basic stability conditions for such models and illustrates elements of long run …

Persistent link: https://www.econbiz.de/10005763208

Financial Crises and Money Demand in Jamaica

Atkins, Fiona - Birkbeck, Department of Economics, Mathematics & Statistics - 2005

inflation. These feedbacks are investigated within the error correction model.. Stability of Money demand is vital for … predictable policy, and is investigated using CUSUM tests for parameter stability. The Jamaican financial sector suffered a major … crisis in the mid 1990’s, the paper considers whether the stability of money demand was compromised. It is argued that the …

Persistent link: https://www.econbiz.de/10005509604

Current Account Imbalances and Real Exchange Rates in the Euro Area

Arghyrou, Michael - Economics Section, Cardiff Business School - 2006

Global current account imbalances have been one of the focal points of interest for policymakers during the last few years. Less attention has been paid, however, to the diverging current account balances of the individual euro area countries. In this paper we consider the dynamics of current...

Persistent link: https://www.econbiz.de/10005509762

THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY

Fiorentini, Gabriele; Sentana, Enrique; Calzolari, Giorgio - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2000

We provide numerically reliable analytical expressions for the score of conditionally heteroskedastic dynamic regression models when the conditional distribution is multivariate $t$. We also derive one-sided and 2-sided LM tests for multivariate normality versus multivariate $t$ based on the...

Persistent link: https://www.econbiz.de/10005515918

Variance Estimation in a Random Coefficients Model

Schlicht, Ekkehart; Ludsteck, Johannes - Volkswirtschaftliche Fakultät, … - 2006

This papers describes an estimator for a standard state-space model with coefficients generated by a random walk that is statistically superior to the Kalman filter as applied to this particular class of models. Two closely related estimators for the variances are introduced: A maximum...

Persistent link: https://www.econbiz.de/10005518249

Macroeconomic Uncertainty and Performance in Asian Countries

Bredin, Don; Elder, John; Fountas, Stilianos - 2008

We use a very general bivariate GARCH-M model and quarterly data for five Asian countries to test for the impact of real and nominal macroeconomic uncertainty on in°ation and output growth. We conclude the following. First, in the majority of countries uncertainty regarding the output growth...

Persistent link: https://www.econbiz.de/10005518407

Evaluating Alternative Representations of the Choice Sets in Models of Labour Supply

Colombino, Ugo; Aaberge, R.; Wennemo, T. - Centre for Household, Income, Labour and Demographic … - 2006

During the last two decades, the discrete-choice modelling of labour supply decisions has become increasingly popular, starting with Aaberge et al. (1995) and van Soest (1995). Within the literature adopting this approach there are however two potentially important issues t hat so far have not...

Persistent link: https://www.econbiz.de/10005518905

The miracle of the Septuagint and the promise of data mining in economics

Plessis, Stan du - Department of Economics, Fakulteit Ekonomiese en … - 2006

This paper argues that the sometimes-conflicting results of a modern revisionist literature on data mining in econometrics reflect different approaches to solving the central problem of model uncertainty in a science of non-experimental data. The literature has entered an exciting phase with...

Persistent link: https://www.econbiz.de/10005523220

A Specification Search Algorithm for Cointegrated Systems

Mycielski, Jerzy; Kurcewicz, Michal - Society for Computational Economics - SCE - 2004

A specification search algorithm is proposed that aims to assist the user in the process of constructing Vector Error Correction Models. The algorithm automates testing the cointegration rank of the system and performs simplifications based on possible weak exogeneity of some variables....

Persistent link: https://www.econbiz.de/10005537612

Encompassing the VAR: A Formalization of Seasonal Encompassing with an Application on a German Macromodel

Beyer, Andreas - Økonomisk Institut, Københavns Universitet - 1998

In this paper we apply the encompassing principle to test whether a model that has been estimated with seasonally adjusted data (SA) can encompass a model that is based on non-seasonllay adjusted (NSA) data. Building upon and extending the work på Ericsson, Hendry and Tran (1994) who analyze...

Persistent link: https://www.econbiz.de/10005543506