This paper investigates the sampling performance of hypothesis tests based on the fully modified vector autoregression (FM-VAR) that has recently been developed by Phillips (1995). The FM-VAR procedure is applicable without any prior knowledge about the number and location of unit roots. We...

This paper deals with hypothesis testing in vector autoregressive (VAR) models that may contain some unit roots. We consider situations in which the researcher's goal is not detecting the presence (absence) of unit roots or their location (i.e. cointegrating relations), but testing some economic...

ℓ1 polynomial trend filtering, which is a filtering method described as an ℓ1-norm penalized least-squares problem, is promising because it enables the estimation of a piecewise polynomial trend in a univariate economic time series without prespecifying the number and location of knots. This...

Using wavelet analysis, this paper shows empirically that Japanese stock prices contain predictive information on business turning points since the middle of the 1980s. The average leading period is about 13 months.

In this study, we test the Prebisch–Singer hypothesis on the secular decline of relative primary commodity prices with the extended Grilli and Yang (1988) data set, ending at 2010.” Rather than asking whether it holds for the whole sample period, we examine if the hypothesis holds sometimes...

This article presents a new method for estimating the unobservable nonaccelerating inflation rate of unemployment (NAIRU). We improve upon the method employed in Ball and Mankiw (2002) so that (i) the new method can estimate simultaneously both the time-varying NAIRU and the Phillips curve slope...