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A time-domain test for some types of nonlinearity
Barnett, A. G.; Wolff, R. C. - 2005
stationary time series. This is because the bispectrum is the Fourier transform of the third-order moment. An advantage of the …The bispectrum and third-order moment can be viewed as equivalent tools for testing for the presence of nonlinearity in … test, whereas when using the bispectrum the entire (or truncated) third-order moment is required to construct the Fourier …
Persistent link: https://www.econbiz.de/10009447971
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A time-domain test for some types of non-linearity
Wolff, Rodney C; Barnett, Adrian G - School of Economics and Finance, Business School - 2006
stationary time series. This is because the bispectrum is the Fourier transform of the third-order moment. An advantage of the …The bispectrum and third-order moment can be viewed as equivalent tools for testing for the presence of nonlinearity in … test, whereas when using the bispectrum the entire (or truncated) third-order moment is required to construct the Fourier …
Persistent link: https://www.econbiz.de/10008694531
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Asymptotic distribution of a simple linear estimator for VARMA models in echelon form
Dufour, Jean-Marie; Jouini, Tarek - Centre Interuniversitaire de Recherche en Analyse des … - 2005
In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for … stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions …
Persistent link: https://www.econbiz.de/10005100706
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Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form
DUFOUR, Jean-Marie; JOUINI, Tarek - Centre Interuniversitaire de Recherche en Économie … - 2005
In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for … stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions …
Persistent link: https://www.econbiz.de/10008671561
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PPP Strikes Back; Aggregation and the Real Exchange Rate
Mumtaz, Haroon; Imbs, Jean; Ravn, Morten O.; Rey, Helene - International Monetary Fund (IMF) - 2003
We show the importance of a dynamic aggregation bias in accounting for the PPP puzzle. We prove that established time-series and panel methods substantially exaggerate the persistence of real exchange rates because of heterogeneity in the dynamics of disaggregated relative prices. When...
Persistent link: https://www.econbiz.de/10005248142
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The Monetary Model Strikes Back; Evidence From the World
Cerra, Valerie; Saxena, Sweta Chaman - International Monetary Fund (IMF) - 2008
We revisit the dramatic failure of monetary models in explaining exchange rate movements. Using the information content from 98 countries, we find strong evidence for cointegration between nominal exchange rates and monetary fundamentals. We also find fundamentalsbased models very successful in...
Persistent link: https://www.econbiz.de/10005263651
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Testing for Structural Breaks in Small Samples
Antoshin, Sergei; Berg, Andrew; Souto, Marcos - International Monetary Fund (IMF) - 2008
statistics for sequential testing. We show that, for most types of data generating processes in samples with as low as 50 …
Persistent link: https://www.econbiz.de/10005264217
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Measuring Oil-Price Shocks Using Market-Based Information
Wu, Tao; Cavallo, Michele - International Monetary Fund (IMF) - 2012
We study the effects of oil-price shocks on the U.S. economy combining narrative and quantitative approaches. After examining daily oil-related events since 1984, we classify them into various event types. We then develop measures of exogenous shocks that avoid endogeneity and predictability...
Persistent link: https://www.econbiz.de/10009650637
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Oil Prices, External Income, and Growth; Lessons From Jordan
Raissi, Mehdi; Mohaddes, Kamiar - International Monetary Fund (IMF) - 2011
This paper extends the long-run growth model of Esfahani et al. (2009) to a labor exporting country that receives large inflows of external income?the sum of remittances, FDI and general government transfers?from major oil-exporting economies. The theoretical model predicts real oil prices to be...
Persistent link: https://www.econbiz.de/10009401201
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Deconstructing the International Business Cycle; Why Does a U.S. Sneeze Give the Rest of the World a Cold?
International Monetary Fund (IMF); International … - 2010
The 2008 crisis underscored the interconnectedness of the international business cycle, with U.S. shocks leading to the largest global slowdown since the 1930s. We estimate spillover effects across major advanced country regions in a structural VAR (SVAR) using pre-crisis data. Our new method...
Persistent link: https://www.econbiz.de/10008727802