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  • Articles  (36)
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  • Economics  (36)
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  • Journals
  • Articles  (36)
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  • Springer  (36)
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  • 1
    Electronic Resource
    Electronic Resource
    The HUMP-shaped behavior of macroeconomic fluctuations (1993)
    Springer
    Empirical economics 18 (1993), S. 707-727 
    Details
    ISSN: 1435-8921
    Keywords: Measures of persistence ; unit root ; trend-stationarity ; ARMA models ; non-stationarity ; structural change ; C22 ; E32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We analyze the nature of persistence in macroeconomic fluctuations. The current view is that shocks to macroeconomic variables (in particular realGNP) have effects that endure over an indefinite horizon. This conclusion is drawn from the presence of a unit root in the univariate time series representation. Following Perron (1989), we challenge this assessment arguing that most macroeconomic variables are better construed as stationary fluctuations around a breaking trend function. The trend function is linear in time except for a sudden change in its intercept in 1929 (The Great Crash) and a change in slope after 1973 (following the oil price shock). Using a measure of persistence suggested by Cochrane (1988) we find that shocks have small permanent effects, if any. To analyze the effects of shocks at finite horizon, we select a member of theARMA(p, q) class applied to the appropriately detrended series. For the majority of the variables analyzed the implied weights of the moving-average representation have the once familiar humped shape.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01205417
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  • 2
    Electronic Resource
    Electronic Resource
    Mechanical detrending by Hodrick-Prescott filtering: A note (1994)
    Springer
    Empirical economics 19 (1994), S. 493-500 
    Details
    ISSN: 1435-8921
    Keywords: C32 ; E32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The Hodrick-Prescott filter is widely used to extract cyclical movements about trend in macroeconomic time series. The filter is based on the assumption that nonstationary movements in time series are captured by smooth and slowly changing trends. This note shows that applying the Hodrick-Prescott filter to time series with stochastic trends may extract cyclical movements which are entirely spurious.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01205950
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  • 3
    Electronic Resource
    Electronic Resource
    BVAR models with economic priors: An application to the propagation of U.S. regional cycles to Canada (1994)
    Springer
    Empirical economics 19 (1994), S. 675-690 
    Details
    ISSN: 1435-8921
    Keywords: C11 ; C32 ; C53 ; E32 ; F15 ; O18
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract To overcome the over-parameterization problems typically associated with the estimation of large VAR systems, Litterman (1979, 1986) and Doan, Litterman, and Sims (1984) have proposed the inclusion ofstatistical a priori information. In this paper, we investigate how economica priori information based on regional input-output tables and trade flows statistics could help estimate a large U.S.-Canadian regional model. Instead of relying on the usual Choleski factorization, we present the variance decomposition based on a national-regional unobservable variables model. Using monthly series (total employment, 1966:1-1986:12) on five Canadian regions and four U.S. ones, we are able to characterize the north-south propagation mechanism.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01205823
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  • 4
    Electronic Resource
    Electronic Resource
    Finnish GNP-series 1954/I–1990/IV: Small shock persistance or trend stationarity? Some evidence with variance ratio estimates (1995)
    Springer
    Empirical economics 20 (1995), S. 333-349 
    Details
    ISSN: 1435-8921
    Keywords: C22 ; C14 ; E32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The “shock persistance” of Finnish adjusted quarterly real GNP series in logarithms from 1954/QI to 1990/QIV is analyzed using variance ratio estimators. The results indicate that the random walk component of the series is not big. The small sample properties of variance ratio estimators are studied using empirical distribution derived from simulations. The persistence measures calculated via the ARIMA modelling of the lnGNPt series are biased upwards. The sampling properties show that the simple random walk model is not an alternative model for the lnGNP. A trend stationary alternative, an AR(2) process, gives almost the same “shock persistence” measures as the assumed unit root processes.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01205443
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  • 5
    Electronic Resource
    Electronic Resource
    Modelling nonlinearity in U.S. Gross national product 1889–1987 (1995)
    Springer
    Empirical economics 20 (1995), S. 577-597 
    Details
    ISSN: 1435-8921
    Keywords: Linearity testing ; nonlinear time series ; smooth transition autoregressive model ; structural change ; univariate time series ; C22 ; E32 ; E37
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper considers modelling the annual logarithmed per capita gross national product of the United States in 1889–1987. Some authors have suggested that the parameters of the process generating the data have changed over time but formal parameter constancy tests do not support this argument. The series turns out to be nonlinear and can be adequately characterized by an exponential smooth transition autoregressive model. For comparison, a detrended series is also considered, found nonlinear and modelled using a logistic smooth transition autoregressive model. The behaviour of the estimated models is discussed, and it is seen that nonlinearity is needed to describe the response of the process to exceptionally large exogenous shocks. The properties of the models are further investigated by forecasting several years ahead, and the forecasts are compared with those from other linear and nonlinear models.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01206058
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  • 6
    Electronic Resource
    Electronic Resource
    Cointegration, common features, and persistence in U.S. farm output (1996)
    Springer
    Empirical economics 21 (1996), S. 459-473 
    Details
    ISSN: 1435-8921
    Keywords: C32 ; E32 ; Q11
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This paper determines the persistence of shocks to U.S. farm output at the sectoral and sub-sectoral level using a disaggregated vector autoregression framework. The persistence is measured under models that impose short-run common feature and long-run cointegration restrictions. The sub-sectoral outputs are found to have a relatively high degree of comovement in the short-run and a relatively low degree of comovement in the long-run. The common feature and cointegration restrictions are found to improve the precision of persistence and cross-persistence estimates. Subsectoral persistence shows considerable variation; persistence in Poultry & Eggs sub-sector is nearly three times the persistence in the Fruits & Nuts sub-sector. Two sub-sectors that share long-run common trends, Food Grains and Feed, Hay & Forage, also have significant cross-persistence, implying technological spillovers.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01179867
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  • 7
    Electronic Resource
    Electronic Resource
    Inequality and the business cycle: A consumption viewpoint (1999)
    Springer
    Empirical economics 24 (1999), S. 173-180 
    Details
    ISSN: 1435-8921
    Keywords: Key words: Inequality ; consumption ; inflation ; unemployment ; JEL classifications: D31 ; D12 ; E32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Using Consumer Expenditure Survey data, we obtain summary measures of the distributions of income and consumption for each quarter between 1980 and 1994. We find that the trends in the distribution of income and consumption and the response of these trends to changes in inflation and unemployment were similar during this period. We find that unemployment does not significantly affect the inequality measures and that inflation has a progressive effect, i.e., that a decrease in inflation is associated with an increase in inequality. Finally, we find that the relationship between inequality and macroeconomic variables during the 1990s may be similar to the relationship that existed prior to 1980.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001810050050
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  • 8
    Electronic Resource
    Electronic Resource
    System estimates of potential output and the NAIRU (1999)
    Springer
    Empirical economics 24 (1999), S. 373-388 
    Details
    ISSN: 1435-8921
    Keywords: Key words: Kalman filter ; NAIRU ; Okun's law ; Phillips curve ; potential output ; structural time-series models ; unobserved-components models ; JEL classification: C32 ; E32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This paper proposes a new approach for estimating potential output and the NAIRU. The methodology models these key unobservable economic variables as latent stochastic trends within a trivariate system of observables comprising information on unemployment, GDP, and inflation. Identification is achieved through the use of a standard version of Okun's law and a Phillips curve. The performance of the procedure is investigated using Swedish quarterly data covering the time period 1970:1–1996:3.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001810050061
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  • 9
    Electronic Resource
    Electronic Resource
    Detrending methods and stylized facts of business cycles in Norway – an international comparison (2000)
    Springer
    Empirical economics 25 (2000), S. 369-392 
    Details
    ISSN: 1435-8921
    Keywords: Key words: Unit roots ; trend-cycle estimation ; stylized facts ; real business cycles ; JEL classifications: C20 ; E32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This paper analyses the stylized facts of business cycles in Norway, by comparing different detrending methods. As the choice of the appropriate data transformation depends on the nature of the underlying dynamic properties of the time series, a set of unit root tests are first applied to the data. The detrended data are analysed, both in the time domain and the frequency domain. The evidence suggests that whereas some variables (e.g. consumption and investment) behave consistently procyclically with GDP, for other variables (e.g. real wage and prices), the business cycle properties vary considerably with the detrending methods used. The results are evaluated from a real business cycle perspective, but overall, there is little evidence to support a (supply driven) real business cycle. Symmetries in business cycles are finally analysed by comparing the business cycles in Norway and selected countries.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001810000023
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  • 10
    Electronic Resource
    Electronic Resource
    What color are commodity prices? A fractal analysis (2000)
    Springer
    Empirical economics 25 (2000), S. 563-580 
    Details
    ISSN: 1435-8921
    Keywords: Key words: Fractal Analysis ; Long-Memory and Persistence ; Commodity Price Colors ; JEL Classification: C22 ; E31 ; E32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Commodity price behavior holds much interest not only because these markets are affected by waves of speculative activity similar to security markets but more so that these commodities are linked to industries which purchase them and developing country producers which supply them. Commodity spot and future prices have thus been studied extensively. This research extends this work by employing recent fractal approaches to evaluate how the apparent random movements associated with short term behavior can also persist when examining long run behavior. We thus test for the presence of a persistent and finite variance component (i.e. long memory stationary process) as opposed to an infinite variance component (i.e. short memory nonstationary process) in a selected group of international commodity price series. Both fractal and persistent dependence hypotheses and test statistics have been employed. Estimates made of the power law exponent and of the nonintegral or fractional exponent suggest generating processes which are closer to black noise than to white, pink or brown noise.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001810000033
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