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Declared and actual policy of the Russian Central Bank in 2000–2008: how large is the difference? (in Russian)
Sinyakov, Andrey - In: Quantile (2013) 11, pp. 91-106
There is an opinion that the Russian Central Bank's actual policy in 2000–2008 was real exchange rate targeting. At the same time, the Central Bank regularly declared inflation targets, but regularly missed them. We estimate a simple structural threshold VAR model of the Russian economy to...
Persistent link: https://www.econbiz.de/10010668573
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Short Run and Long Run Causality in Time Series: Inference
Dufour, Jean-Marie; Pelletier, Denis; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2003
techniques as well as standard Gaussian asymptotic distributional theory. Bootstrap procedures are also considered. For the case … régression linéaire de même que la théorie distributionnelle asymptotique gaussienne habituelle. Dans le cas des processus … intégrés, nous proposons des méthodes de régression étendue qui ne requièrent pas de théorie asymptotique non standard. L …
Persistent link: https://www.econbiz.de/10005100843
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The estimation uncertainty of permanent-transitory decompositions in cointegrated systems
Schreiber, Sven - 2011 - this version: February 2011
The topic of this paper is the estimation uncertainty of the Stock-Watsonand Gonzalo-Granger permanent-transitory decompositions in the frameworkof the cointegrated vector-autoregression. Specifically, we suggest an approach to construct the confidence interval of the transitory component in...
Persistent link: https://www.econbiz.de/10009530402
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2014
matching estimator. The existing asympotic theory for this estimator does not cover situations in which the number of impulse …
Persistent link: https://www.econbiz.de/10010437938
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Are bootstrapped cointegration test findings unreliable?
Schreiber, Sven - 2018
Applied time series research often faces the challenge that (a) potentially relevant variables are unobservable, (b) it is fundamentally uncertain which covariates are relevant. Thus cointegration is often analyzed in partial systems, ignoring potential (stationary) covariates. By simulating...
Persistent link: https://www.econbiz.de/10011843041
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On (bootstrapped) cointegration tests in partial systems
Schreiber, Sven - 2019
As applied cointegration analysis faces the challenge that (a) potentially relevant variables are unobservable and (b) it is uncertain which covariates are relevant, partial systems are often used and potential (stationary) covariates are ignored. Recently it has been argued that a nominally...
Persistent link: https://www.econbiz.de/10012098817
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On the validity of tests for asymmetry in residual-based threshold cointegration models
Schild, Karl-Heinz; Schweikert, Karsten - In: Econometrics : open access journal 7 (2019) 1/12, pp. 1-13
This paper investigates the properties of tests for asymmetric long-run adjustment which are often applied in empirical studies on asymmetric price transmissions. We show that substantial size distortions are caused by preconditioning the test on finding sufficient evidence for cointegration in...
Persistent link: https://www.econbiz.de/10012025641
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Testing directional forecast value in the presence of serial correlation
Blaskowitz, Oliver J.; Herwartz, Helmut - 2008
Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....
Persistent link: https://www.econbiz.de/10010271838
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The estimation uncertainty of permanent-transitory decompositions in cointegrated systems
Schreiber, Sven - 2011
The topic of this paper is the estimation uncertainty of the Stock-Watsonand Gonzalo-Granger permanent-transitory decompositions in the frameworkof the cointegrated vector-autoregression. Specifically, we suggest an approach to construct the confidence interval of the transitory component in...
Persistent link: https://www.econbiz.de/10010460507
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Measuring Residential Energy Efficiency Improvements with DEA
Grösche, Peter - 2008
This paper measures energy efficiency improvements of US single-family homes between 1997 and 2001 using a two-stage procedure. In the first stage, an indicator of energy efficiency is derived by means of Data Envelopment Analysis (DEA), and the analogy between the DEA estimator and traditional...
Persistent link: https://www.econbiz.de/10010264731