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Persistent link: https://www.econbiz.de/10009657376
Most macroeconomic data are uncertain - they are estimates rather than perfect measures of underlying economic variables. One symptom of that uncertainty is the propensity of statistical agencies to revise their estimates in the light of new information or methodological advances. This paper...
Persistent link: https://www.econbiz.de/10003799514
Most macroeconomic data are uncertain - they are estimates rather than perfect measures. Use of these uncertain data to form an assessment of current activity can be viewed as a problem of signal extraction. One symptom of that uncertainty is the propensity of statistical agencies to revise...
Persistent link: https://www.econbiz.de/10014221316
Persistent link: https://www.econbiz.de/10003595906
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This paper employs a parametric model of persistent (level) shifts in the conditional mean of stock market returns which are endogenously driven by large positive or negative return shocks. These shocks can be taken to reflect important market announcements, monetary policy regime changes and/or...
Persistent link: https://www.econbiz.de/10011116283
This paper introduces a new model of structural breaks which assumes that structural breaks are driven by large economic shocks. The model specifies that both the timing and size of breaks are stochastic and it can be used to investigate the impact of large economic shocks on the stability of...
Persistent link: https://www.econbiz.de/10005106366
This paper applies a new model of structural breaks developed by Kapetanios and Tzavalis (2004) to investigate if there exist structural changes in the mean reversion parameter of US macroeconomic series. Ignoring such type of breaks may lead to spurious evidence of unit roots in the...
Persistent link: https://www.econbiz.de/10005106413