In this paper we examine small sample properties of a generalized method of moments (GMM) estimation using Monte Carlo simulations. We assume that the generated time series describe the stochastic variance rate of a stock index. We use a mean reverting square-root prooess to simulate the...

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...

We study the sustainability of sovereign debt accumulation in 15 OECD countries using quarterly data from 1980 to 2010 with a focus on how and in what countries debt sustainability changed after the commencement of the Euro Convergence Criteria in 1997 as well as after the financial meltdown in...

Potential output is an elusive concept. This stands in sharp contrast to its prominent role in economic analysis. In particular, monetary targetting as practised by the Deutsche Bundesbank relies on an estimate of future potential output growth. Different approaches usually lead to fairly...

Die vorliegende Arbeit stellt das neue Verfahren der Deutschen Bundesbank zur Schätzung von Zinsstrukturkurven vor. Sie beschreibt dessen methodische Grundlagen (Nelson und Siegel (1987) und Svensson (1994)) und einige grundlegende Konzepte, die ftir die Schätzung und Interpretation solcher...

This paper introduces the Deutsche Bundesbank's new procedure for estimating the term structure of interest rates. It describes the basic methodological approaches used (Nelson and Siegel (1987) and Svensson (1994)) and some fundamental concepts which are important for estimating and...

Schätzwerte mittelfristiger Gleichgewichtszinsen mit der Methode nach Laubach und Williams 2003) werden inzwischen vielfach in der Diskussion um die Geld- und Fiskalpolitik zitiert. Unter anderem wurden sie von Summers (2014a) als Evidenz für eine säkulare Stagnation angeführt und von Yellen...

This article shows how to construct a likelihood for a general class of censoring problems. This likelihood is proven to be valid, i.e. its maximiser is consistent and the respective root-n estimator is asymptotically efficient and normally distributed under regularity conditions. The method...

We propose a wild bootstrap procedure for linear regression models estimated by instrumental variables. Like other bootstrap procedures that we have proposed elsewhere, it uses efficient estimates of the reduced-form equation(s). Unlike them, it takes account of possible heteroskedasticity of...