Showing 1 - 9 of 9
The detection of business-cycle turning points is usually performed with non-linear discrete-regime models such as binary dependent variable (e.g., probit or logit) or Markov-switching methods. The probit model has the drawback that the continuous underlying target variable is discretized, with...
Persistent link: https://www.econbiz.de/10010344635
The topic of this paper is the estimation uncertainty of the Stock-Watson and Gonzalo-Granger permanent-transitory decompositions in the framework of the co-integrated vector autoregression. We suggest an approach to construct the confidence interval of the transitory component estimate in a...
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Anhand einiger zeitreihentheoretischer Überlegungen wird gezeigt, das eine produktivitätsorientierte Lohnpolitik im Sinne der Position des deutschen Sachverständigenrats zur Begutachtung der gesamtwirtschaftlichen Entwicklung (SVR) Mitte der 80er Jahre langfristig daran scheitern muß, die...
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For the timely detection of business-cycle turning points we suggest to use mediumsized linear systems (subset VARs with automated zero restrictions) to forecast the relevant underlying variables, and to derive the probability of the turning point from the forecast density as the probability...
Persistent link: https://www.econbiz.de/10010233998
Eine der größten Herausforderungen für die Konjunkturforschung ist es, konjunkturelle Wendepunkte frühzeitig und zuverlässig zu erkennen. Die Datenlage in Echtzeit ist dabei grundsätzlich problematisch: Einerseits gibt es bei realwirtschaftlichen Indikatoren eine...
Persistent link: https://www.econbiz.de/10009560536
We extend the frequency-specific Granger-causality test of Breitung et al. (2006) to a more general null hypothesis that allows causality testing at unknown frequencies within a prespecified range of frequencies. This setup corresponds better to empirical situations encountered in applied...
Persistent link: https://www.econbiz.de/10011446553
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