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Measuring predictability: theory and macroeconomic applications (replication ...
We propose a measure of predictability based on the ratio of the expected loss of a short-run forecast to the expected loss of a long-run forecast. This predictability measure... -
The demand for M3 in the euro area (replication data)
In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships with... -
A score test for non-nested hypotheses with applications to discrete data mod...
In this paper it is shown that a convenient score test against non-nested alternatives can be constructed from the linear combination of the likelihood functions of the... -
Model uncertainty in cross-country growth regressions (replication data)
We investigate the issue of model uncertainty in cross-country growth regressions using Bayesian Model Averaging (BMA). We find that the posterior probability is spread widely... -
Trend-stationary GNP: evidence from a new exact pointwise most powerful invar...
There has been a substantial debate whether GNP has a unit root. However, statistical tests have had little success in distinguishing between unit-root and trend-reverting... -
Monetary policy analysis and inflation targeting in a small open economy: a V...
Empirical monetary policy research has increased in the last decade, possibly because deregulation and explicit monetary targets have made monetary policy issues more... -
The non-linear dynamics of output and unemployment in the U.S. (replication d...
This paper studies the joint dynamics of U.S. output and unemployment rate in a non-linear VAR model. The non-linearity is introduced through a feedback variable that... -
Estimating shocks and impulse response functions (replication data)
This paper examines the issue of how to identify the shocks in a cointegrated VAR when the following assumptions are made: the variables can be classified as endogenous or... -
Descriptive econometrics for non-stationary time series with empirical illust...
Recent work by the author on methods of spatial density analysis for time series data with stochastic trends is reviewed. The methods are extended to include processes with... -
Bounds testing approaches to the analysis of level relationships (replication...
This paper develops a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known... -
Small-system modelling of real wages, inflation, unemployment and output per ...
The relationships between real wages, output per capita, inflation and unemployment in Italy between 1970 and 1994 are modelled using a cointegrated vector autoregression. There... -
European integration and monetary transmission mechanisms: the case of Italy ...
The focus in this paper is on the monetary transmission mechanism in Italy and how it has changed with the increased independence of the Italian Central Bank and the... -
Modelling UK inflation, 1875-1991 (replication data)
UK inflation has varied greatly in response to many economic policy and exchange-rate regime shifts, two world wars and two oil crises, as well as legislative and technological... -
Earnings, unemployment, and housing in Britain (replication data)
This paper models regional earnings and unemployment in the ten regions of Great Britain between 1972 and 1995, paying particular attention to their interaction and to the... -
An I(2) analysis of inflation and the markup (replication data)
An I(2) analysis of Australian inflation and the markup is undertaken within an imperfect competition model. It is found that the levels of prices and costs are best... -
The effect of physician advice on alcohol consumption: count regression with ...
Although there are encouraging trends, alcohol abuse continues to be a significant public health problem. Econometric studies of alcohol demand have yielded a great deal of... -
Testing of seasonal fractional integration in UK and Japanese consumption and...
The seasonal structure of quarterly UK and Japanese consumption and income is examined by means of fractionally based tests proposed by Robinson (1994). These series were... -
Modelling the conditional volatility of commodity index futures as a regime s...
Commodity index futures offer a versatile tool for gaining different forms of exposure to commodity markets. Volatility is a critical input in many of these applications. This... -
Autoregressive conditional heteroscedasticity in commodity spot prices (repli...
Muth's (1961) rational expectations model of commodity markets implies that inventory carryover creates ARCH processes in prices. The model also indicates that the expected... -
Quasi-fixed inputs and long-run equilibrium in production: a cointegration an...
This paper proposes a cointegration approach to testing the validity long-run equilibrium in production, where capital and labour are taken as quasi-fixed inputs. Previous...
