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Cointegration analysis in the presence of structural breaks in the deterministic trend
Nielsen, Bent; Johansen, Soren; Mosconi, Rocco - Department of Economics, Oxford University - 2000
When analysing macroeconomic data it is often of relevance to allow for structural breaks in the statistical analysis. In particular, cointegration analysis in the presence of structural breaks could be of interest. We propose a cointegration model with piecewise linear trend and known break...
Persistent link: https://www.econbiz.de/10010605048
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The Uncertain Trend in U.S. GDP
Nelson, Charles; Murray, Christian - EconWPA - 1997
Several recent papers conclude that U.S. real GDP is trend stationary, implying that all shocks are transitory and long …
Persistent link: https://www.econbiz.de/10005561523
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MODELLING ECONOMIC FLUCTUATIONS IN SUBSAHARAN AFRICA:A VECTOR AUTOREGRESSIVE APPROACH
NWAOBI, DR. GODWIN CHUKWUDUM - EconWPA - 2004
A controversial result of some current research on the real business cycles is the claim that a common stochastic trend(the cumulative effect of permanent shocks to productivity)underlies the bulk of economic fluctuations. If confirmed, this will imply that many other forces have been relatively...
Persistent link: https://www.econbiz.de/10005412719
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`Weak` trends for inference and forecasting in finite samples
Chevillon, Guillaume - Department of Economics, Oxford University - 2004
This paper studies the small sample properties of processes which exhibit both a stochastic and a deterministic trend. Whereas for estimation, inference and forecasting purposes the latter asymptotically dominates the former, it is not so when only a finite number of observations is available...
Persistent link: https://www.econbiz.de/10005090654
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Modelling and Forecasting UK Mortgage Arrears and Possessions
Aron, Janine; Muellbauer, John - Department of Economics, Oxford University - 2010
This paper presents new models for aggregate UK data on mortgage possessions (foreclosures) and mortgage arrears (payment delinquencies).  The innovations include the treatment of difficuly to observe variations in loan quality and shifts in forbearance policy by lenders, by common latent...
Persistent link: https://www.econbiz.de/10008483763
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An Unobserved Components Model of the Monetary Transmission Mechanism in a Small Open Economy
Vitek, Francis - EconWPA - 2005
This paper develops and estimates an unobserved components model for purposes of monetary policy analysis and inflation …
Persistent link: https://www.econbiz.de/10005412638
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An Unobserved Components Model of the Monetary Transmission Mechanism in a Closed Economy
Vitek, Francis - EconWPA - 2005
This paper develops and estimates an unobserved components model for purposes of monetary policy analysis in a closed economy. Cyclical components are modeled as a multivariate linear rational expectations model of the monetary transmission mechanism, while trend components are modeled as...
Persistent link: https://www.econbiz.de/10005412679
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A PUSH TO GEORGE ( IN ) BUSH
DR.VSR.SUBRAMANIAM - EconWPA - 2005
An imperative need has arisen to provide a Constructive push to the President Bush. American population, Corporate units, Expatriates and all nations with their currency related to US $, are not happy in the current $ dipping situation. Even the currencies of poor nations are galloping upward in...
Persistent link: https://www.econbiz.de/10005556940
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An axes to activate the Egyptian securities market in saving development(in arabic)
Elasrj, Hussein A. Motlb - EconWPA - 2004
1999 to 2003.The total issues declined from LE 55.6 billion in 1999 or 17% of GDP and 146.7% of gross saving to LE 18 ….5 billion in 2003 and or 4.6% of GDP and 31.5% of gross saving .The total value of trading also dropped down from LE 42 ….1 billion or 12.9% of GDP and 111% of gross saving to LE33.7 billion or 8.3% of GDP and 57.2% of gross saving during the period …
Persistent link: https://www.econbiz.de/10005561577
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MANAGEMENT & DEVELOPMENT OF HAPPINESS : A PRIORITY IN SOCIO-ECONOMIC DEVELOPMENT
Dr.VSR.Subramaniam - EconWPA - 2005
happiness, and it can induct problems as well. GDP, a vague relation builder is used as an index to measure the progress and …
Persistent link: https://www.econbiz.de/10005408439