-
Unit roots in the presence of abrupt governmental interventions with an appli...
This paper considers econometric issues related to time-series data that have been subject to abrupt governmental interventions. The motivating example for this study is the... -
Intertemporal substitution in import demand and habit formation (replication ...
To study non-durable import demand, we extend previous work done by Clarida (1994) and Ceglowski (1991) by considering a two-good version of the lifecycle model in which we... -
Stylized facts of daily return series and the hidden Markov model (replicatio...
In two recent papers, Granger and Ding (1995a,b) considered long return series that are first differences of logarithmed price series or price indices. They established a set of... -
Substitution, risk aversion, taste shocks and equity premia (replication data)
This paper gauges the relative contribution of risk aversion, inter-temporal substitution and taste shocks on postwar monthly US equity premia. The time-varying consumption,... -
A threshold error-correction model for intraday futures and index returns (re...
Index-futures arbitragers only enter into the market if the deviation from the arbitrage relation is sufficiently large to compensate for transaction costs and associated... -
Unemployment persistence: does the size of the shock matter? (replication data)
One of the stylized facts of unemployment is that shifts in its mean rate between decades and half-decades account for most of its variance. In this paper, we use a statistical... -
Bayesian inference for periodic regime-switching models (replication data)
We present a general class of nonlinear time-series Markov regime-switching models for seasonal data which may exhibit periodic features in the hidden Markov process as well as... -
Modelling money demand in Germany (replication data)
In this paper an empirically stable money demand model for M3 in Germany is presented. The sample period 1975-94 includes German unification. It is shown that this development... -
The dynamic Laurent flexible form and the demand for money (replication data)
I derive the dynamic full Laurent model to estimate economic models that assume a dynamic process. The application in this paper is to use the dynamic full Laurent to estimate a... -
Stochastic trends, deterministic trends, and business cycle turning points (r...
This study examines the relationship between specifications for long-run output patterns and specifications for business cycle dynamics. In an application to US GDP, it is found... -
Is there a unit root in the inflation rate? Evidence from sequential break an...
Using sequential trend break and panel data models, we investigate the unit root hypothesis for the inflation rates of thirteen OECD countries. With individual country tests, we... -
FEASIBLE CROSS-VALIDATORY MODEL SELECTION FOR GENERAL STATIONARY PROCESSES (r...
Cross-validation is a method used to estimate the expected prediction error of a model. Such estimates may be of interest in themselves, but their use for model selection is... -
COINTEGRATION AND CHANGES IN REGIME: THE JAPANESE CONSUMPTION FUNCTION (repli...
In this paper we examine a model of cointegration where long-run parameters are subject to switching between several different cointegrating regimes. These shifts are allowed to... -
SIGN- AND VOLATILITY-SWITCHING ARCH MODELS: THEORY AND APPLICATIONS TO INTERN...
This paper develops two conditionally heteroscedastic models which allow an asymmetric reaction of the conditional volatility to the arrival of news. Such a reaction is induced... -
A non-linear model of the real US/UK exchange rate (replication data)
This paper provides a framework for building and estimating non-linear real exchange rate models. The approach derives the stationary distribution from a continuous time error... -
Applied cointegration analysis in the mirror of macroeconomic theory (replica...
Cointegration analyses of macroeconomic time series are often not based on fully specified theoretical models. We use a theoretical model to scrutinize common procedures in... -
On a double-threshold autoregressive heteroscedastic time series model (repli...
Tong's threshold models have been found useful in modelling nonlinearities in the conditional mean of a time series. The threshold model is extended to the so-called... -
The excess co-movement of commodity prices reconsidered (replication data)
This paper provides an empirical reconsideration of evidence for excess co-movement of commodity prices within the framework of univariate and multivariate GARCH(1, 1) models.... -
A time series analysis of real wages, consumption and asset returns (replicat...
This paper re-examines whether the time series properties of aggregate consumption, real wages, and asset returns can be explained by a neoclassical model. Previous empirical... -
Analysing inflation by the fractionally integrated ARFIMA-GARCH model (replic...
This paper considers the application of long-memory processes to describing inflation for ten countries. We implement a new procedure to obtain approximate maximum likelihood...
