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A dynamic version of Okun's law in the EU15 countries - the role of delays in the unemployment-output nexus

Obst, Thomas - 2019 - Version: August 2019

law with a focus on the dynamic part of the relationship. We find that the negative relationship between unemployment and … misspecification of the short run unemployment-output relationship. A mixed lag structure indirectly controls for missing explanatory …

Persistent link: https://www.econbiz.de/10012040048

Forecasting Australian Unemployment Rates using Spectral Analysis

Wilson, Patrick J.; Perry, L.J. - In: Australian Journal of Labour Economics (AJLE) 7 (2004) 4, pp. 459-480

Univariate spectral analysis is used to model seasonally unadjusted quarterly unemployment rate data for Australia …

Persistent link: https://www.econbiz.de/10008565309

The Incidence of Long-term Unemployment in Australia 1978-2003

Dixon, Robert; Lim, G.C. - In: Australian Journal of Labour Economics (AJLE) 7 (2004) 4, pp. 501-513

long-term unemployment once we have corrected for cyclical factors? Our research leads us to conclude that: (i) the … incidence of male long-term unemployment has been neither rising nor falling, once we allow for cyclical factors, (ii) the … incidence of female long-term unemployment has been rising, once we allow for cyclical factors. We conjecture that there is a …

Persistent link: https://www.econbiz.de/10008566408

Evaluating models of autoregressive conditional duration

Meitz, Mika (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], First version March 2004, revised December 2004

This paper contains two novelties. First, a unified framework for testing and evaluating the adequacy of an estimated autoregressive conditional duration (ACD) model is presented. Second, two new classes of ACD models, the smooth transition ACD model and the time-varying ACD model, are...

Persistent link: https://www.econbiz.de/10001959574

Regime and Treatment Effects in Duration Models : Decomposing Expectation and Transplant Effects on the Kidney Waitlist

Kastoryano, Stephen - 2022

This paper proposes a causal decomposition framework for settings in which an initial regime randomization influences the timing of a treatment duration. The initial randomization and treatment affect in turn a duration outcome of interest. Our empirical application considers the survival of...

Persistent link: https://www.econbiz.de/10014083457

On Nonparametric Identification of Treatment Effects in Duration Models

Johansson, Per - 2016

We show that the main nonparametric identification finding of Abbring and Van den Berg (2003b, Econometrica) for the effect of a timing-chosen treatment on an event duration of interest does not hold. The main problem is that the identification is based on the competing-risks identification...

Persistent link: https://www.econbiz.de/10012981520

Modelling Trade Duration in U.S. Treasury Markets

McKenzie, Michael D. - 2010

This paper models the trading intensity of the US Treasury bond market, which has a unique expandable limit order book that distinguishes it from other asset markets. The results indicate that the trade duration exhibits significant clustering and threshold effects. Further, the time taken to...

Persistent link: https://www.econbiz.de/10013135493

A q-Weibull Autoregressive Conditional Duration Model with an Application to NYSE and HSE Data

Vuorenmaa, Tommi A. - 2011

This paper generalizes the ACD models of Engle and Russell (1998) using the so-called q-Weibull distribution as the conditional distribution. The new specification allows the hazard function to be non-monotonic. We document that the q-Weibull distribution recently suggested in physics as a...

Persistent link: https://www.econbiz.de/10013118929

Testing Mixture of Exponentials Hypothesis in Dynamic Duration Models

Chen, Fei - 2013

A common practice in modeling intertrade durations is to use various hazard functions for data fitting. This paper calls into question this practice and suggests mixing the hazard function as exponential. An underlying hypothesis of the suggestion is that duration data have a mixture of...

Persistent link: https://www.econbiz.de/10013082226

Stochastic Conditional Duration Model with a Mixture-of-Normal Error Distribution : Theoretical Properties and Monte-Carlo Results

Xu, Dinghai - 2013

This paper provides theoretical properties and Monte-Carlo studies of a stochastic conditional duration model with mixture-of-normal error distributions an effcient estimation approach via a continuous empirical characteristic function. The empirical version of this paper is studied in Xu,...

Persistent link: https://www.econbiz.de/10013084061