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An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices [PDF]

open access: yes
We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverting models. We also propose residual-based diagnostic tests and examine out-of-sample
Maral Kichian   +3 more
core  

Unemployment and Hysteresis: A Nonlinear Unobserved Components A Nonlinear Unobserved Components A Nonlinear Unobserved Components A Nonlinear Unobserved Components A Nonlinear Unobserved Components Approach [PDF]

open access: yes
A new test for hysteresis based on a nonlinear unobserved components model is proposed. Observed unemployment rates are decomposed into a natural rate component and a cyclical component.
Silvestro DI SANZO, Alicia PEREZ-ALONSO
core  

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