Results 141 to 150 of about 67,070 (277)
Testing for cointegration using induced-order statistics. [PDF]
In this paper we explore the usefulness of induced-order statistics in the characterization of integrated series and of cointegration relationships. We propose a non-parametric test statistic for testing the null hypothesis of two independent random ...
Escribano, Álvaro +2 more
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On Measuring the Welfare Cost of Inflation
Journal of Money, Credit and Banking, EarlyView.Abstract This paper uses neoclassical monetary demand theory to measure the welfare cost of inflation. It uses the microeconomic‐ and aggregation‐theoretic approach to the demand for money, that integrates the demand for money with the demands for consumption and leisure, and provides a comparison between the consumer surplus approach based on ...
APOSTOLOS SERLETIS, LIBO XU
wiley +1 more source
Crecimiento económico en México: restricción por la balanza de pagos
Ensayos Revista de Economía, 2016 The paper analyzes the Thirlwall’s Law for Mexico during 1993-2014. It includes unit roots and cointegration tests that incorporate endogenous structural breaks.
Ana Lourdes Morones Carrillo
doaj
An International Comparison of Health Care Expenditure Determinants [PDF]
In this paper, we estimate a health care demand function for 18 OECD countries for the period 1972-1995. We consider a demand side approach where health expenditure depend on per capita GDP and the relative price of health care.
Catherine Bac, Yannick le Pen
core
Taylor Rule Deviations Across Horizons: A Practical Tool for Monetary Policy
Journal of Money, Credit and Banking, EarlyView.Abstract We propose “Taylor rule yields” across horizons for the United States. Applying the standard Taylor rule to expected paths of inflation and the output gap, we construct a sequence of short‐term rates under neutral monetary policy stances, whose average defines the Taylor rule yield at each horizon.
MASAZUMI HATTORI +2 more
wiley +1 more source
The Granger Non-Causality Test in Cointegrated Vector Autoregressions [PDF]
In general, Wald tests for the Granger non-causality in vector autoregressive (VAR) process are known to have non-standard asymptotic properties for cointegrated systems.
Hiroaki Chigira, Taku Yamamoto
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Macroprudential Policy in the Euro Area
Journal of Money, Credit and Banking, EarlyView.Abstract This paper examines the development and impact of macroprudential policies in the euro area. We construct a novel index that captures the stance of macroprudential policy, and we highlight its main stylized facts since the inception of the euro in 1999. We combine a narrative approach and a structural VAR method to show that both unanticipated
ÁLVARO FERNÁNDEZ‐GALLARDO +1 more
wiley +1 more source
Detection of Functional Form Misspecification in Cointegrating Relations [PDF]
A simple specification test based on fully modified residuals and the CUSUM test for cointegration of Xiao and Phillips (Journal of Econometrics, 2002) are considered as means of testing for functional form in long-run cointegrating relations.
Ioannis Kasparis
core
Econometrics at the Extreme: From Quantile Regression to QFAVAR1
Journal of Economic Surveys, EarlyView.ABSTRACT This paper surveys quantile modelling from its theoretical origins to current advances. We organize the literature and present core econometric formulations and estimation methods for: (i) cross‐sectional quantile regression; (ii) quantile time series models and their time series properties; (iii) quantile vector autoregressions for ...
Stéphane Goutte +4 more
wiley +1 more source
Seasonal adjustment and cointegration [PDF]
We examine the effects of seasonal adjustment filters on the size and power of ADF and PP residual-based cointegration tests via a Monte Carlo and an empirical application.
Jeremy Smith, Jesus Otero
core