It is widely known that when there are errors with a moving-average root close to - 1, a high order augmented autoregression is necessary for unit root tests to have good size, but that information criteria such as the "AIC" and the "BIC" tend to select a truncation lag ("k") that is very small....

This paper examines the implications of intergenerational transfers of time and money for labor supply and capital accumulation. Although intergenerational transfers of time in the form of grandparenting are as substantial as monetary transfers in the data, little is known about the role and...

This paper considers the implications of mean shifts in a multivariate setting. It is shown that under the additive outlier type mean shift specification, the intercept in each equation of the vector autoregression (VAR) will be subject to multiple shifts when the break dates of the mean shifts...

Most empirical studies on liquidity constraints classify a consumer as being constrained on the basis of a single indicator such as the asset to income ratio. In this analysis, we model the probability that a consumer faces liquidity constraints as a function of multiple social and economic...

This paper develops a new methodology that makes use of the factor structure of large dimensional panels to understand the nature of non-stationarity in the data We refer to it as PANIC - a 'Panel Analysis of Non-stationarity in Idiosyncratic and Common components' PANIC consists of univariate...

In a recent paper Engel (1999b) presents monte-carlo evidence to suggest that unit root tests can not detect a non-stationary component in the real exchange rate even when this component accounts for almost half of its long-horizon forecast error variance This hidden non-stationary component led...